Showing 41 - 50 of 403
We contribute to the empirical debate on the role of money in monetary policy by analysing the features of the relationship between money growth and inflation in a Bayesian Markov Switching framework for a set of four countries, the US, the UK, the Euro area and Japan, over an estimation period...
Persistent link: https://www.econbiz.de/10013080491
The UIP theorem has had very little empirical support over the past 25 years. Moreover, it has been shown that high-rate currencies have tended to appreciate and low-rate currencies to depreciate, the reverse of theory. The failure of UIP has been no secret to participants in currency markets,...
Persistent link: https://www.econbiz.de/10012718451
This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10012718563
Persistent link: https://www.econbiz.de/10009124397
The objective of this paper is to address the question of convergence across German districts in the first decade after German unification by drawing out and emphasising some stylised facts of regional per capita income dynamics. We achieve this by employing non-parametric techniques which focus...
Persistent link: https://www.econbiz.de/10013318277
How long does it take for exchange rate changes to pass through into in ation? Does it make a difference whether the exchange rate depreciates or appreciates? Do relatively large exchange rate changes entail more exchange rate pass-through? In this paper, we examine possible non-linearities in...
Persistent link: https://www.econbiz.de/10012150116
Persistent link: https://www.econbiz.de/10012213057
This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10005247756
This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10005326316
This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10005357432