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Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?
Beckmann, Joscha; Czudaj, Robert - 2013
Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...
Persistent link: https://www.econbiz.de/10009771139
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Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10010295734
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Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10011431685
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Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
We address the question of whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. Throughout the analysis, we differentiate between large and small traders, and an upper bound of...
Persistent link: https://www.econbiz.de/10011391722
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Heterogeneous expectations in the foreign exchange market evidence from the daily dollar
Ahrens, Ralf; Reitz, Stefan - 2003
In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...
Persistent link: https://www.econbiz.de/10009765353
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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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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
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Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach
Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10
between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the ARDL bounds … test cointegration was confirmed using the newly-developed combined cointegration, which also provided the same evidence …
Persistent link: https://www.econbiz.de/10011649295
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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