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Exchange rates and fundamentals: new evidence from real-time data
Ehrmann, Michael; Fratzscher, Marcel - 2004
This paper analyses the link between economic fundamentals and exchange rates by investigating the importance of real …
Persistent link: https://www.econbiz.de/10011604411
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
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The determinants of the euro-dollar exchange rate : synthetic fundamentals and a non-existing currency
Clostermann, Jörg; Schnatz, Bernd - 2000
At the beginning of 1999 the euro was launched as a common currency in 11 European countries. This paper addresses empirically the medium to long-term forces driving the real euro-dollar exchange rate. Constructing a synthetic euro-dollar exchange rate over a period from 1975 to 1998 and...
Persistent link: https://www.econbiz.de/10011418743
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Exchange rates and fundamentals: new evidence from real-time data
Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2004
This paper analyses the link between economic fundamentals and exchange rates by investigating the importance of real …
Persistent link: https://www.econbiz.de/10005070386
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What happened to the transatlantic capital market relations?
Weber, Enzo (contributor) - 2007
This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. Formally based on the uncovered interest rate parity (UIP), backward recursive estimations establish a long-run equilibrium between European and US government bond yields. Since the mid-1990s...
Persistent link: https://www.econbiz.de/10003633549
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How stable are monetary models of the Dollar-Euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
among fundamentals and exchange rates since the breakdown of Bretton Woods. Second, there are no recurring regimes, i ….e. across different regimes either the coefficient values for the same fundamentals differ or the significance differs. Third …, there is no regime in which no fundamentals enter. Fourth, the deviations resulting from the stepwise cointegrating …
Persistent link: https://www.econbiz.de/10003898577
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Monetary policy, model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - 2010
determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility … varies accordingly even though the underlying fundamentals processes remain time-invariant. I investigate the relevance of …
Persistent link: https://www.econbiz.de/10003937806
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The Triffin dilemma again
Campanella, Edoardo - 2010
Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar's double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the...
Persistent link: https://www.econbiz.de/10008648332
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How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
among fundamentals and exchange rates since the breakdown of BrettonWoods. Second, there are no recurring regimes, i ….e. across different regimes either the coefficient values for the same fundamentals differ or the significance differs. Third …, there is no regime in which no fundamentals enter. Fourth, the deviations resulting from the stepwise cointegrating …
Persistent link: https://www.econbiz.de/10003877676
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Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices
Beckmann, Joscha - 2011
Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. Using monthly data from 1973:01 to 2009:12...
Persistent link: https://www.econbiz.de/10009580305