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Spillover effects of credit default risk in the euro area and the effects on the euro : a GVAR approach
Bettendorf, Timo - 2016
those of bailouts. Furthermore, we demonstrate that the Euro depreciates significantly against the Yen and US Dollar … following general risk shocks in the euro area and only to a small extent following bailout shocks. The Pound Sterling is not … affected by any of these shocks. The Euro variability is, from the EMU perspective, mainly driven by shocks stemming from large …
Persistent link: https://www.econbiz.de/10011549749
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high …
Persistent link: https://www.econbiz.de/10012180641
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International investment positions and exchange rate dynamics
Binder, Michael; Offermanns, Christian J. - 2014
We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...
Persistent link: https://www.econbiz.de/10010414236
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On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound
Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023
We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the …
Persistent link: https://www.econbiz.de/10014320485
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Applying this approach to the...
Persistent link: https://www.econbiz.de/10012138448
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Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
favor of a causal relationship from speculative positions to exchange rate movements, and therefore an inefficient Euro …
Persistent link: https://www.econbiz.de/10011391722
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Dynamic pricing and exchange rate pass-through : evidence from transaction-level data
Nagengast, Arne J.; Bursian, Dirk; Menz, Jan-Oliver - 2020
Dynamic pricing is a widely employed pricing strategy for goods and services in which firms flexibly set prices, taking into account current market conditions. This paper studies theoretically and empirically the role of this pricing strategy in explaining the heterogeneous response of consumer...
Persistent link: https://www.econbiz.de/10012180768
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Connectedness between G10 currencies : searching for the causal structure
Bettendorf, Timo; Heinlein, Reinhold - 2019
This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Yılmaz (2014), which is based on the forecast error variance decomposition of a VAR model. However, their connectedness measure hinges on critical assumptions with...
Persistent link: https://www.econbiz.de/10011968850
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high-volatility …
Persistent link: https://www.econbiz.de/10011489395
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2013
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10010211958