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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
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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
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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
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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
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146
the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …
Persistent link: https://www.econbiz.de/10012619980
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
co-integration tests and the studies on South Africa primarily using short-span data from the post-Bretton Woods era, we … Dollar using annual data from 1910 – 2010. The results provide some support for the monetary model in that long-run co-integration …
Persistent link: https://www.econbiz.de/10009770376
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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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
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020 - This Version: July 2020
the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …
Persistent link: https://www.econbiz.de/10012251074
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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