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The impact of central bank FX interventions on currency components
Beine, Michel; Bos, Charles S.; Laurent, Sebastian - 2005
1989-2003. We identify the currency components of the mean and the volatility processes of exchange rates using the recent …
Persistent link: https://www.econbiz.de/10011346461
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Price discovery on foreign exchange markets with differentially informed traders
Jong, Frank de; Mahieu, Ronald J.; Schotman, Peter C.; … - 1999
This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...
Persistent link: https://www.econbiz.de/10011301161
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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Trade policy of transition economics
Moraga-González, José Luis; Viaene, Jean-Marie - 2000
This paper focuses on ignored issues regarding the impact of trade reforms in transition economies. These economies are … and international trade. First, we show that trade liberalization in transition economies reduces the output of local … firms. Second, neither free trade nor zero subsidy is optimal. There exists a rationale for infant-industry protection in …
Persistent link: https://www.econbiz.de/10011304378
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Tainted food, low-quality products and trade
Viaene, Jean-Marie; Zhao, Laixun - 2010
This paper examines international trade in tainted food and other low-quality products. Wefirst find that for a large … class of environments, free trade is the trading system that conveysthe highest incentives to produce non-tainted high …-quality goods by foreign exporters.However, free trade cannot prevent the export of tainted products, and the condition fortainting …
Persistent link: https://www.econbiz.de/10011379610
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Large swings in currencies driven by fundamentals
Cumperayot, Phornchanok J.; Vries, Casper G. de - 2006
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...
Persistent link: https://www.econbiz.de/10011349716
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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011372514
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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
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Does the Canadian economy suffer from Dutch disease?
Beine, Michel; Bos, Charles S.; Coulombe, Serge - 2009
We argue that the failure to disentangle the evolution of the Canadian currency from the U.S. currency leads to potentially incorrect conclusions regarding the case of Dutch disease in Canada. We propose a new approach that is aimed at extracting both currency components and energy- and...
Persistent link: https://www.econbiz.de/10011379360
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The trade and FDI effects of EMU enlargement
Brouwer, Jelle; Paap, Richard; Viaene, Jean-Marie - 2007
investment and a relationship between trade and exchange rate volatility that depend on the sign of bilateral trade balances …This paper considers the nature and the distribution of trade and FDI effects of a potential enlargement of the … gravity models are estimated using a data set of unbalanced panel data that combine bilateral trade flows among 29 countries …
Persistent link: https://www.econbiz.de/10011372974