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A possible explanation of the 'exchange rate disconnect puzzle' : a common solution to three major macroeconomic puzzles?

Horioka, Charles; Ford, Nicholas - 2016

Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...

Persistent link: https://www.econbiz.de/10011502367

International risk sharing with endogenously Ssegmented asset markets

Cociuba, Simona E.; Ramanarayanan, Ananth - 2017

Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We evaluate whether a model with trade in goods and endogenously segmented asset markets accounts for this puzzling discrepancy. Active households pay a fixed cost to transfer income...

Persistent link: https://www.econbiz.de/10011763742

The Long Swings in the Spot Exchange Rates and the Complex Unit Roots Hypothesis

Al-Zoubi, Haitham - 2017

null from the naïve random walk theory is that they do not: if they would be unit roots with positive drifts they would …

Persistent link: https://www.econbiz.de/10012973058

A Stochastic Volatility Model with Conditional Skewness

Feunou, Bruno; Tédongap, Roméo - 2012

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10014047692

A stochastic volatility model with conditional skewness

Feunou, Bruno; Tédongap, Roméo - 2011

Persistent link: https://www.econbiz.de/10009309462

Oil prices and the US effective exchange rate : a hidden cointegration analysis

Rafailidis, Panagiotis; Katrakilides, K. - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 134-144

Persistent link: https://www.econbiz.de/10011715968

Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach

Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10

between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the ARDL bounds … test cointegration was confirmed using the newly-developed combined cointegration, which also provided the same evidence … for a strong long-run relationship. The Granger causality test results indicate a long-run bidirectional causality between …

Persistent link: https://www.econbiz.de/10011649295

Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices

Beckmann, Joscha - 2011

Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. Using monthly data from 1973:01 to 2009:12...

Persistent link: https://www.econbiz.de/10013122023

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

Effective exchange rates, current accounts and global imbalances : conference paper

Beckmann, Joscha; Czudaj, Robert - 2014

the causality mainly runs from effective exchange rates to current accounts and occurs through valuation e ects. However …

Persistent link: https://www.econbiz.de/10010483886