Similar Search Results

A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets

Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114

Persistent link: https://www.econbiz.de/10011894407

Global risk and the dollar

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021

Persistent link: https://www.econbiz.de/10012543257

What drives the real lek-euro exchange rate fluctuations?

Tanku, Altin; Vika, Ilir - 2020

Persistent link: https://www.econbiz.de/10012493809

Is the exchange rate a shock absorber or a source of shocks? : evidence from the US

De, Kuhelika; Sun, Wei - In: Economic modelling 89 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012425897

Does the euro make a difference? : spatio-temporal transmission of global shocks to real effective exchange rates in an infinite VAR

Bussière, Matthieu; Chudik, Alexander; Mehl, Arnaud - 2011

, the paper applies a newly developed methodology based on infinite VAR theory featuring a dominant unit to a large set of … dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …

Persistent link: https://www.econbiz.de/10008901483

Sources of exchange rate fluctuation in Vietnam : an application of the svar model

Nguyen Van Phuong - 2015

Persistent link: https://www.econbiz.de/10010516652

Symmetry and separability in two-country cointegrated VAR models : representation and testing

Krolzig, Hans-Martin; Heinlein, Reinhold - 2013

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

Persistent link: https://www.econbiz.de/10010228330

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

Persistent link: https://www.econbiz.de/10011473872

Sources of real exchange rate fluctuations in transition economies : the case of Poland and Hungary

Dibooglu, Sel; Kutan, Ali Mustafa - In: Journal of comparative economics : the journal of the … 29 (2001) 2, pp. 257-275

Persistent link: https://www.econbiz.de/10001600845

Towards resolving the exchange rate volatility puzzle

Gaab, Werner; Kempa, Bernd - In: Integration, Währung und Wachstum - Dimensionen …, (pp. 229-242). 2002

Persistent link: https://www.econbiz.de/10001709170