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Monetary policy and exchange rates : a balanced two-country cointegrated VAR model approach

Heinlein, Reinhold; Krolzig, Hans-Martin - 2013

decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …

Persistent link: https://www.econbiz.de/10010228354

Effects of monetary policy on the $/£ exchange rate : is there a 'delayed overshooting puzzle'?

Heinlein, Reinhold; Krolzig, Hans-Martin - 2011

combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii … correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one … to monetary policy shocks. -- Exchange Rates ; Monetary Policy ; Cointegration ; Structural VAR ; Model Selection …

Persistent link: https://www.econbiz.de/10009410483

Cointegration and the stabilizing role of exchange rates

Alexius, Annika; Post, Erik - 2006

We show that empirical results concerning the behavior of floating exchange rates differ between otherwise identical cointegrated and non-cointegrated VAR models. In particular, virtually all ten-year movements in nominal exchange rates are due to fundamental supply and demand shocks when long...

Persistent link: https://www.econbiz.de/10010321604

Monetary policy and exchange rates : a balanced two-country cointegrated var model approach

Heinlein, Reinhold; Krolzig, Hans-Martin - In: Macroeconomic dynamics 23 (2019) 5, pp. 1838-1874

Persistent link: https://www.econbiz.de/10012127247

Why has the Norwegian krone exchange rate been persistently weak? : a fully simultaneous VAR approach

Benedictow, Andreas; Hammersland, Roger - 2022

We identify variables that help explain the persistent weakness of the Norwegian krone since 2016 within a fully simultaneous model of the underlying process driving the krone-euro exchange rate. In addition to a set of fundamental variables we consider non-traditional explanatory variables...

Persistent link: https://www.econbiz.de/10013257136

Reconsidering Cointegration in International Finance : Three Case Studies of Size Distortion in Finite Samples

Godbout, Marie-Josée; Van Norden, Simon - 1998

particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected … of cointegration tests in particular applied settings and provides information on the potential sources of size … distortion in these tests. Three case studies are presented. The first is the literature on cointegration and prediction of …

Persistent link: https://www.econbiz.de/10014073552

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard - 2004

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

Persistent link: https://www.econbiz.de/10014071206

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard - 2004

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …

Persistent link: https://www.econbiz.de/10014116819

Exchange Rates and Monetary Fundamentals : What Do We Learn from Long-Horizon Regressions?

Kilian, Lutz - 1998

Long-horizon regression tests are widely used in empirical finance, despite evidence of severe size distortions. This paper introduces a new bootstrap method for small-sample inference in long-horizon regressions. A Monte Carlo study shows that this bootstrap test has much smaller size...

Persistent link: https://www.econbiz.de/10014072162

Exchange Rate Dynamics in Indonesia : 1980-1998

Saxena, Sweta Chaman - 2004

using cointegration approach, unobserved component model and structural vector autoregression (SVAR). The paper uses these …

Persistent link: https://www.econbiz.de/10014073319