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Exchange rate predictability and dynamic Bayesian learning
Schüssler, Rainer; Beckmann, Joscha; Koop, Gary; … - 2018
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...
Persistent link: https://www.econbiz.de/10011892028
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Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator
Demetrescu, Matei; Hanck, Christoph - 2010
The so-called Cauchy estimator uses the sign as instrument for the first lag in autoregressions, and the resulting t-type statistic has a standard normal distribution even in the unit root case. Thus, nonstandard asymptotics of the usual unit root tests such as the augmented Dickey-Fuller [ADF]...
Persistent link: https://www.econbiz.de/10010270299
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Testing for Serial Correlation in Fixed-Effects Panel Data Models
Born, Benjamin; Breitung, Jörg - 2010
In this paper, we propose three new tests for serial correlation in the disturbances of fixed-effects panel data models. First, a modified Bhargava, Franzini and Narendranathan (1982) panel Durbin-Watson statistic that does not need to be tabulated as it follows a standard normal distribution....
Persistent link: https://www.econbiz.de/10010270757
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Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation
Czudaj, Robert; Hanck, Christoph - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when there are structural breaks in the innovation...
Persistent link: https://www.econbiz.de/10010329271
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IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance
Hanck, Christoph; Demetrescu, Matei; Tarcolea, Adina - 2012
While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration---in effect, a joint test against …
Persistent link: https://www.econbiz.de/10010310135
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The dynamic impact of FX interventions on financial markets
Rieth, Malte; Menkhoff, Lukas; Stöhr, Tobias - 2019
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...
Persistent link: https://www.econbiz.de/10012099066
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Fundamental determinants of exchange rate expectations
Beckmann, Joscha; Czudaj, Robert L. - 2020
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...
Persistent link: https://www.econbiz.de/10012287905
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The Yen Exchange Rate and the Hollowing-out of Japanese Industry
Belke, Ansgar; Volz, Ulrich - 2018
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...
Persistent link: https://www.econbiz.de/10011892118
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Information Rigidities and Exchange Rate Expectations
Beckmann, Joscha; Reitz, Stefan - 2018
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...
Persistent link: https://www.econbiz.de/10011892133
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Determinants of the Public Budget Balance: The Role of Official Capital Flows
Steiner, Andreas - 2017
Central banks invest their foreign exchange reserves predominantly in government securities. By means of a panel data analysis we examine the relationship between reserve currency status and public budget balance during different constellations of the international monetary system: the sterling...
Persistent link: https://www.econbiz.de/10011712697