Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we...

This paper considers how an investor in foreign exchange markets might exploit predictive information in macroeconomic fundamentals by allowing for switching between multivariate time series regression models. These models are chosen to reflect a wide array of established empirical and...

Since the demise of the Bretton Woods, the yen has seen several episodes of strong appreciation, including in the late 1970s, after the 1985 Plaza Agreement, the early and late 1990s and after 2008. These appreciations have not only been associated with “expensive yen recessions” resulting...

Sluggish adjustment of expectations to new information is rational in an environment characterized by information costs and signal-to-noise problems. This paper investigates the role of such information rigidities for exchange rate expectations using data from Consensus Economics for eight...

This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building mechanism in foreign exchange markets. Therefore, we analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. In doing so, we...

This paper deals with the relationship between knowledge, innovation and regional growth. The study is carried out through the application of nonparametric estimation methods to European data at NUTS2 level. We provide evidence that the share of innovative ...firms plays a more relevant role in...

This study explores trends and perspectives of Lithuania's trade in agricultural and food products with the BRIC countries. Agriculture is one of the priority sectors of Lithuania's economy and plays an important economic and social role. The share of agricultural and food products within the...

Unilateral climate policy by the EU can be detrimental for global climate protection. Our purpose is to provide an economic analysis of this policy, to quantify the risk of carbon leakage, and to investigate economic effects related to the potential anti-leakage policy measures. We analyze...

This paper assesses the role of financial variables in real economic fluctuations, in view of analysing the link between financial cycles and business cycles at the global level. A Global VAR modelling approach, which has been proved suitable for modelling country or regional linkages, is used...