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International Stock Return Differentials and Real Exchange Rate Changes

Malliaropulos, Dimitris - 2022

This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...

Persistent link: https://www.econbiz.de/10013491880

Paper Pushers or Paper Money? Empirical Assessment of Fiscal and Monetary Models of Exchange Rate Determination

Chinn, Menzie David - 1998

This paper documents the evidence in support of fiscal and monetary exchange rates for the Canadian dollar, Deutschemark, Yen, and Pound over the 1974-1993 period. Cointegrating relationships between the real exchange rate and (i) fiscal impulses and (ii) productivity and government spending are...

Persistent link: https://www.econbiz.de/10014116846

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Consumption Smoothing and Exchange Rate Volatility

Turtelboom, Bart G. - 2006

the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

Persistent link: https://www.econbiz.de/10012781855

Interest rates, exchange rates and world monetary policy

Floyd, John E. - 2010

Persistent link: https://www.econbiz.de/10003888281

Interest Rates, Exchange Rates and World Monetary Policy

Floyd, John E. - 2010

U.K., Japan, France and Germany with respect to the United States is conducted. The resulting conclusion is that real …

Persistent link: https://www.econbiz.de/10013521314

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10011334849

Inference for Adaptive Time Series Models : Stochastic Volatility and Conditionally Gaussian State Space Form

Bos, Charles S.; Shephard, Neil G. - 2004

Persistent link: https://www.econbiz.de/10014073593

Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

Johansen, Soren; Juselius, Katarina; Frydman, Roman; … - 2008

between Germany and USA. The data analyzed consist of nominal exchange rates, relative prices, US in.ation rate, two long …

Persistent link: https://www.econbiz.de/10014217147

Real Exchange Rate Persistence and Systematic Monetary Policy Behaviour

Groen, Jan J.; Matsumoto, Akito - 2005

This paper estimates forward-looking monetary policy rules for Germany over the 1979-98 period and for the United … Kingdom for the periods 1979-90 and 1992-98. The estimation results indicate that there were substantial differences between … systematic monetary policy in Germany and in the United Kingdom, as well as shifts in systematic monetary policy in the United …

Persistent link: https://www.econbiz.de/10014066761