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What drives long-term interest rates? : evidence from the entire Swiss franc history 1852-2020

Hauzenberger, Niko; Kaufmann, Daniel; Stuart, Rebecca; … - 2022

We study domestic and international drivers of long-term interest rates using newly compiled financial market data for Switzerland starting in 1852. We use a time-varying parameter vector autoregressive model to estimate long-term trends in nominal interest rates, exchange rate growth, and...

Persistent link: https://www.econbiz.de/10013175583

Maximum likelihood estimation of continuous-time diffusion models for exchange rates

Choi, Seungmoon; Lee, Jaebum - In: East Asian economic review 24 (2020) 1, pp. 61-87

Persistent link: https://www.econbiz.de/10012225756

Monetary policy with flexible exchange rates and forward interest rates as indicators

Svensson, Lars E. O. - In: Cahiers économiques et monétaires (1994), pp. 305-332

Persistent link: https://www.econbiz.de/10001332136

Wechselkursdynamik und Zinsentwicklung vor Regimewechseln des Währungssystems

Wilfling, Bernd - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013432291

The impact of macroeconomic news on the euro-dollar exchange rate

Caruso, Alberto - 2016

Persistent link: https://www.econbiz.de/10011672457

The euro to dollar exchange rate in the Covid-19 era : evidence from spectral causality and Markov-switching estimation

Konstantakis, Konstantinos N.; Melissaropoulos, Ioannis G. - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 2037-2055

Persistent link: https://www.econbiz.de/10014253649

A tale of two yield curves : modeling the joint term structure of dollar and euro interest rates

Egorov, Alexej V.; Li, Haitao; Ng, David Tat-chee - In: Journal of econometrics 162 (2011) 1, pp. 55-70

Persistent link: https://www.econbiz.de/10009270706

The Swiss franc safety premium

Leutert, Jessica - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 1-21

This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk...

Persistent link: https://www.econbiz.de/10011962943

Macro wine in financial skins : the Oil-FX interdependence

Weber, Enzo (contributor) - 2008

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing …

Persistent link: https://www.econbiz.de/10003727689

Shock monetari e reali, ciclo economico e valore dell'euro

Filosa, Renato - In: Moneta e credito 56 (2003), pp. 295-324

Persistent link: https://www.econbiz.de/10003332398