Narrow search
Showing 1 - 10 of 2,449
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets
Kräussl, Roman; Canto, Bea - 2023
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...
Persistent link: https://www.econbiz.de/10014352510
Cover Image
Does the Timing of Central Bank Announcements Matter? Trade-Level Data on Hedge Fund Behavior Before Swiss National Bank Meetings
Farrell, Diana - 2019
Just over three years after enacting a Minimum Exchange Rate policy for the Swiss Franc vs. Euro (EUR/CHF), the Swiss National Bank (SNB) removed it in a surprise announcement on January 15, 2015. The announcement shocked the FX market — EUR/CHF dropped 25.5 percent in the minutes that...
Persistent link: https://www.econbiz.de/10012890284
Cover Image
How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10010207061
Cover Image
Four currencies outside the eurozone
Vámos, Imre; Novák, Zsuzsanna - In: International journal of business and economic sciences … 8 (2015) 3, pp. 97-108
balance of payments equilibrium. Findings -Based on a uniform behavioural exchange rate model cointegration can only be …
Persistent link: https://www.econbiz.de/10011434309
Cover Image
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
Cover Image
Zur Qualität professioneller Wechselkursprognosen
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010305747
Cover Image
Should one rely on professional exchange rate forecasts: An empirical analysis of professional forecasts for the €/US-$ rate
Bofinger, Peter; Schmidt, Robert - 2003
The study analyses the characteristics of professional exchange rate forecasts for the €/US-$ rate. The results indicate that the quality of forecasts produced by profes-sional economists is rather poor and incompatible with the rational expectations hy-pothesis. This dismal result is...
Persistent link: https://www.econbiz.de/10010305755