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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

The Structural Relationship Between Current and Capital Account Balance in India : A Time Series Analysis

Chakraborty, Debashis; Mukherjee, Jaydeep; Sinha, Tanaya - 2010

The long run relationship between current account balance (CAB) and capital account balance (KAB) and the repercussions of capital account convertibility (KAC) on growth process of a country is a much debated issue. In particular, in the aftermath of the Southeast Asian crisis, the limitation of...

Persistent link: https://www.econbiz.de/10014194754

Foreign Capital in Latin America : A Long-Run Structural Global VAR Perspective

Boschi, Melisso - 2007

I study the determinants of capital flows to Argentina, Brazil, and Mexico, assessing the relative importance of domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA, and then embed them in a multi-country Global VAR. The...

Persistent link: https://www.econbiz.de/10012728441

Foreign exchange market interventions and the $-¥ exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...

Persistent link: https://www.econbiz.de/10010255146

Foreign exchange market interventions and the $-Yen exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

den Dollar-Yen Wechselkurs langfristig beeinflussen. Die empirische Strategie basiert auf einer Neuschätzung des …/Dollar Wechselkurs und Fundamentalfaktoren bei? 2.) Führen Interventionen zu einer schnelleren Anpassung des Wechselkurses an …, dass vor allem koordinierte Interventionen den Dollar/Yen Wechselkurs langfristig stabilisieren. …

Persistent link: https://www.econbiz.de/10009779186

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …

Persistent link: https://www.econbiz.de/10013044515

Nonlinear pass-through of exchange rate shocks on inflation : a Bayesian smooth transition VAR approach

Rincón Castro, Hernán; Rodríguez-Niño, Norberto - 2016

Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and households. This is an apparently easy and intuitive task, but it faces high complexity and uncertainty. This paper examines the short and long-term impact of an exchange rate shock...

Persistent link: https://www.econbiz.de/10011554700

The impact of uncertainty on professional exchange rate forecasts

Beckmann, Joscha; Czudaj, Robert - 2016

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for four major currencies based on survey data provided by FX4casts. We consider economic policy, macroeconomic, and financial uncertainty as well as disagreement among CPI...

Persistent link: https://www.econbiz.de/10011532311

Time-varying parameters error correction model for real ruble exchange rate and oil prices : what has changed due to capital control and sanctions?

Fokin, Nikita D.; Malikova, Ekaterina V.; Polbin, Andrej - In: Russian journal of economics 10 (2024) 1, pp. 20-33

This paper aims to analyze changes in the long-term and short-term oil price elasticities of the real ruble exchange rate, as well as the speed of convergence of the exchange rate to a long-term equilibrium. The analysis is conducted using an error correction model with time-varying parameters....

Persistent link: https://www.econbiz.de/10015394387

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