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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates
Hossfeld, Oliver - 2010
panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced … cross-sectionally augmented panel unit root tests by Pesaran (2007) and bootstrapped error correction-based panel …
Persistent link: https://www.econbiz.de/10011374380
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Equilibrium exchange rates and misalignments : the case of homogenous emerging countries
Tipoy, Christian K.; Breitenbach, Marthinus C.; … - In: Spoudai : journal of economics and business 66 (2016) 4, pp. 3-25
We compute the exchange rate misalignment for a set of emerging economies between 1980 and 2013 using the behavioural equilibrium exchange rate definition. The real equilibrium exchange rate is constructed using a parsimonious model and estimators that are robust to cross-sectional independence...
Persistent link: https://www.econbiz.de/10011619498
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The monetary exchange rate model as a long-run phenomenon
Groen, Jan J. J. - 1998
with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the …
Persistent link: https://www.econbiz.de/10011299983
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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
for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …
Persistent link: https://www.econbiz.de/10011302148
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Some Further Evidence on Exchange-Rate Volatility and Exports
Hondroyiannis, G.; Swamy, P.A.V.B; Tavlas, G. S.; Ulan, … - 2022
, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the … estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not …
Persistent link: https://www.econbiz.de/10014080676
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Frontiers of Macrofinancial Linkages
Claessens, Stijn - 2018
The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...
Persistent link: https://www.econbiz.de/10012929483
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Linking net foreign portfolio debt and equity to exchange rate movements
Gardberg, Malin - 2018
financial turbulence. Using a panel of 26 currencies over the period 1/1997 - 6/2016, I show that the composition of net foreign …
Persistent link: https://www.econbiz.de/10011926196
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The US$/€ Exchange Rate : Structural Modeling and Forecasting During the Recent Financial Crises
Morana, Claudio - 2015
The paper investigates the determinants of the US$/€ exchange rate since its introduction in 1999, with a special focus on the recent subprime mortgage and sovereign debt financial crises. The econometric model is grounded on the asset pricing theory of exchange rate determination, which...
Persistent link: https://www.econbiz.de/10013009488
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Dollar Carry Timing
de Oliveira Souza, Thiago - 2021
Dollar carry trade risk premiums – unlike dollar-neutral or foreign exchange carry risk premiums – are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default...
Persistent link: https://www.econbiz.de/10013242629
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Dollar Carry Timing
de Oliveira Souza, Thiago - 2021
Dollar carry trade risk premiums - unlike dollar-neutral or foreign exchange carry risk premiums - are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default spread....
Persistent link: https://www.econbiz.de/10013242806