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Poland is obligated to adopt the euro after the fulfilment, inter alia, of the exchange rate criterion which requires entering the Exchange Rate Mechanism II (ERM II). The European Central Bank recommends that the ERM II central rate should reflect the best possible assessment of the equilibrium...
Persistent link: https://www.econbiz.de/10010264576
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...
Persistent link: https://www.econbiz.de/10013108338
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...
Persistent link: https://www.econbiz.de/10013158451
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector errorcorrection model, where the structural shocks...
Persistent link: https://www.econbiz.de/10003867061
This paper empirically investigates the Transfer problem for the "Euro area" vis a vis the Rest of the world. The empirical analysis is developed in a theoretically and statistically consistent way and is intended as a contribution to the literature on the macroeconomics of EMU. The paper...
Persistent link: https://www.econbiz.de/10014061593
This paper discusses the macroeconomics of NFA at the Euro Area level. A stylized theoretical model of an open economy, with portfolio choices, and the cointegrated VAR methodology applied to a system including: the real effective exchange rate, domestic and world real GDP per-capita, domestic...
Persistent link: https://www.econbiz.de/10014070609
This paper uses fractional integration and cointegration methods to analyse the determinants of the amount of loans provided to non-financial corporations (NFCs) during the last three decades in four Eurozone countries, namely Germany, France, Italy and Spain. More specifically, ARFIMA...
Persistent link: https://www.econbiz.de/10012310523
The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...
Persistent link: https://www.econbiz.de/10003582754
The validity of the monetary approach to the Drachma/ECU exchange rate determination is investigated through cointegration, impulse response and variance decomposition analysis. The empirical results reported confirm recent findings that the monetary approach may be interpreted as a long-run...
Persistent link: https://www.econbiz.de/10014137884