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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010300150
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …
Persistent link: https://www.econbiz.de/10003582754
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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
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
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Home bias, transactions costs, and prospects for the Euro: A more detailed analysis
Mann, Catherine L.; Meade, Ellen E. - 2002
This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. The empirical findings...
Persistent link: https://www.econbiz.de/10010301750
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Home bias, transactions costs, and prospects for the Euro : a more detailed analysis
Mann, Catherine L.; Meade, Ellen E. - 2002
This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. The empirical findings...
Persistent link: https://www.econbiz.de/10010503711
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ECB monetary policy and commodity prices
Aliyev, Shahriyar; Kočenda, Evžen - 2020
We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional...
Persistent link: https://www.econbiz.de/10012200289
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Exchange rates and political uncertainty : the Brexit case
Manasse, Paolo; Moramarco, Graziano; Trigilia, Giulio - 2020
This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum as it provides a natural experiment where both exchange rate expectations and a time-varying political risk factor can be measured directly. We build a simple portfolio model which predicts that...
Persistent link: https://www.econbiz.de/10012158993
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Measuring the impact of exchange rate movements on domestic prices : a cointegrated VAR analysis
Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014
This paper measures the pass-through of exchange rate changes into domestic inflation within a cointegrated VAR (CVAR) framework. This issue is of particular interest for the euro area (EA) as Member Sates cede their national currencies and no longer have options of using monetary policy to...
Persistent link: https://www.econbiz.de/10011346364
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Are exchange rates less important for trade in a more globalized world? : evidence for the new EU members
Fisera, Boris; Horváth, Roman - 2020
participation plays in this effect for 11 new European Union member states. Using heterogeneous panel cointegration methods, we …
Persistent link: https://www.econbiz.de/10012242810
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011334455