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Monetary policy and exchange rates : a balanced two-country cointegrated VAR model approach
Heinlein, Reinhold; Krolzig, Hans-Martin - 2013
decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …
Persistent link: https://www.econbiz.de/10010228354
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Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach
Heinlein, Reinhold; Krolzig, Hans-Martin - School of Economics, University of Kent - 2013
decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …
Persistent link: https://www.econbiz.de/10010859410
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Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?
Heinlein, Reinhold; Krolzig, Hans-Martin - 2011
combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii … correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one …
Persistent link: https://www.econbiz.de/10010443343
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Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?
Heinlein, Reinhold; Krolzig, Hans-Martin - School of Economics, University of Kent - 2011
combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii … correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one …
Persistent link: https://www.econbiz.de/10009399655
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On the construction of two-country cointegrated VAR models with an application to the UK and US
Heinlein, Reinhold; Krolzig, Hans-Martin - 2012
. Symmetry is rejected for the short-run, thus for the given cointegration vectors the final modelling stage is based on the full …, where the VAR based cointegration analysis is combined with a graph-theoretic search for instantaneous causal relations and … unanticipated interest rate change by the Fed. -- Two-country model ; Cointegration ; Structural VAR ; Gets Model Selection …
Persistent link: https://www.econbiz.de/10009672516
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Does the purchasing power parity hypothesis hold after 1998?
Zanetti Chini, Emilio - Volkswirtschaftliche Fakultät, … - 2010
criticized. Multivariate and panel cointegration, and nonlinear models are here implemented. The theory is rejected and both the …
Persistent link: https://www.econbiz.de/10008753101
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Effects of monetary policy on the $/£ exchange rate : is there a 'delayed overshooting puzzle'?
Heinlein, Reinhold; Krolzig, Hans-Martin - 2011
combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii … correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one … to monetary policy shocks. -- Exchange Rates ; Monetary Policy ; Cointegration ; Structural VAR ; Model Selection …
Persistent link: https://www.econbiz.de/10009410483
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Cointegration and the stabilizing role of exchange rates
Alexius, Annika; Post, Erik - 2006
We show that empirical results concerning the behavior of floating exchange rates differ between otherwise identical cointegrated and non-cointegrated VAR models. In particular, virtually all ten-year movements in nominal exchange rates are due to fundamental supply and demand shocks when long...
Persistent link: https://www.econbiz.de/10010321604
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Cointegration and the stabilizing role of exchange rates
Alexius, Annika; Post, Erik - Nationalekonomiska Institutionen, Uppsala Universitet - 2006
We show that empirical results concerning the behavior of floating exchange rates differ between otherwise identical cointegrated and non-cointegrated VAR models. In particular, virtually all ten-year movements in nominal exchange rates are due to fundamental supply and demand shocks when long...
Persistent link: https://www.econbiz.de/10005644552
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Mercados cambiarios y tipos de cambio de Asia y Latinoamérica: Sincronización de largo plazo, cambios estructurales y choques estocásticos
Ruiz Porras, Antonio; Fregoso Becerra, Luis Enrique - In: Revista de Métodos Cuantitativos para la Economía y … 25 (2018), pp. 295-317
structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long …
Persistent link: https://www.econbiz.de/10011995022