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The euro and the transatlantic capital market leadership : a recursive cointegration analysis
Weber, Enzo (contributor) - 2006
In this paper, the capital market relations between the Euro area and the USA are subject to investigation. Formally based on the uncovered interest rate parity (UIP), first a longrun equilibrium between Euro and US government bond yields is established in backward recursively estimated vector...
Persistent link: https://www.econbiz.de/10003375781
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On optimal currency areas and common cycles : are the acceding countries ready to join the euro?
Grimm, Louisa; Steinkamp, Sven; Westermann, Frank - 2021
The former EU president Jean-Claude Junker has proposed that all countries of the European Union should also adopt the euro as their currency and recent research has shown that countries currently pursuing this goal indeed fulfill the classical Optimal Currency Area (OCA) criterion of positively...
Persistent link: https://www.econbiz.de/10012499619
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On optimal currency areas and common cycles : are the acceding countries ready to join the euro?
Grimm, Louisa; Steinkamp, Sven; Westermann, Frank - 2021
The former EU president Jean-Claude Junker has proposed that all countries of the European Union should also adopt the euro as their currency and recent research has shown that countries currently pursuing this goal indeed fulfill the classical Optimal Currency Area (OCA) criterion of positively...
Persistent link: https://www.econbiz.de/10012506932
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Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18
The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...
Persistent link: https://www.econbiz.de/10012022043
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Spain in the Euro : A General Equilibrium Analysis
Andrés, Javier; Hurtado, Samuel; Ortega, Eva; Thomas, … - 2010
This paper analyzes the determinants of Spain's macroeconomic fluctuations since the inception of the euro in 1999, with a special attention to observed growth and inflation differentials with respect to the rest of the European Monetary Union (EMU). For that purpose we estimate the Banco de...
Persistent link: https://www.econbiz.de/10014198881
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Gasoline Price Asymmetries in the Euro Zone
Polemis, Michail - 2012
This paper uses the generalized method of moments (GMM) estimation to a panel data error correction model (ECM) in order to measure the asymmetries in the transmission of shocks to input prices and exchange rate onto the wholesale and retail gasoline price respectively. For this purpose, we use...
Persistent link: https://www.econbiz.de/10013110230
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Better off without the euro? : structural VAR assessment of European monetary policy
Fritsche, Jan Philipp; Harms, Patrick Christian - 2020
Modern OCA theory has developed different conclusions on when forming a currency union is beneficial. An important pragmatic question in this context is: Did delegating monetary policy to the ECB increase stress in the individual euro area countries? An SVAR analysis reveals that monetary stress...
Persistent link: https://www.econbiz.de/10012301359
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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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The demand for euro banknotes issued in Germany : structural modelling and forecasting
Bartzsch, Nikolaus; Seitz, Franz; Setzer, Ralph - 2015
This paper explains and forecasts the demand for banknotes issued in Germany. For small and large denomination notes we estimate vector error correction models (VECM). The results suggest that the long-run demand for German small denomination notes is mainly driven by domestic transactions and...
Persistent link: https://www.econbiz.de/10011334993