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This paper analyses the link between economic fundamentals and exchange rates by investigating the importance of real …
Persistent link: https://www.econbiz.de/10011604411
role for macroeconomic fundamentals, policy actions and the public debate by policy makers. It finds that the euro exchange … rate mainly danced to its own tune, with a particularly low explanatory power for macroeconomic fundamentals. Among the few …
Persistent link: https://www.econbiz.de/10011605577
Exchange rate movements affect the economy through changes in net exports, i.e. the trade channel, and through valuation changes in assets and liabilities denominated in foreign currencies, i.e. the financial channel. In this paper, I investigate the macroeconomic and financial effects of U.S....
Persistent link: https://www.econbiz.de/10014278274
40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with …
Persistent link: https://www.econbiz.de/10012389558
during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong … crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals … fundamentals. …
Persistent link: https://www.econbiz.de/10011604370
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10011604644
This paper quantifies the pass-through of a US dollar appreciation on trade variables and domestic financial conditions in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US expansionary shock, the positive effects of stronger...
Persistent link: https://www.econbiz.de/10014278393
This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well...
Persistent link: https://www.econbiz.de/10011604617
This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity (EXPPP) and the real interest parity (RIP) using a VAR approach for the US dollar, the British sterling and the Japanese yen interest rates, exchange rates and changes in prices. The...
Persistent link: https://www.econbiz.de/10011605449
Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...
Persistent link: https://www.econbiz.de/10011605450