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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …
Persistent link: https://www.econbiz.de/10003582754
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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
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Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?
Beckmann, Joscha; Czudaj, Robert - 2013
Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...
Persistent link: https://www.econbiz.de/10009771139
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Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset
Kühl, Michael (contributor) - 2008
cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …
Persistent link: https://www.econbiz.de/10003776194
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Testing uncovered interest rate parity using LIBOR
Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - 2012
, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities … cointegration …
Persistent link: https://www.econbiz.de/10009570031
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Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices
Beckmann, Joscha - 2011
; cointegration ; nonlinear vector error correction …
Persistent link: https://www.econbiz.de/10009580305
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
rates ; causality-in-variance ; cointegration …
Persistent link: https://www.econbiz.de/10009727058
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007 - 2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
rates ; Causality-in-variance ; Cointegration …
Persistent link: https://www.econbiz.de/10009735730
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Effective exchange rates, current accounts and global imbalances : conference paper
Beckmann, Joscha; Czudaj, Robert - 2014
This study analyzes the dynamics between real effective exchange rates and current account patterns from a novel perspective. We start by dissecting long-run and time-varying short-run dynamics between both variables. Following this, we extend our framework by including interest rates into our...
Persistent link: https://www.econbiz.de/10010483886
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Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials
Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016
This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....
Persistent link: https://www.econbiz.de/10011414128