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Modelling Ireland's Exchange Rates : From EMS to EMU

Bond, Derek - 2007

to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long …

Persistent link: https://www.econbiz.de/10012775859

Modelling Ireland’s exchange rates: from EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007

to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, PPP is found to be valid not only in the long …

Persistent link: https://www.econbiz.de/10011604869

Price dividend ratio and long-run stock returns: A score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012422031

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Macroeconomic implications of oil price fluctuations: A regime-switching framework for the euro area

Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...

Persistent link: https://www.econbiz.de/10011853307

Exchange rate forecasting on a napkin

Ca' Zorzi, Michele; Rubaszek, Michał - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10011916855

Explaining and Forecasting Euro Area Exports : Which Competitiveness Indicator Performs Best?

Ca'Zorzi, Michele; Schnatz, Bernd - 2022

From a conceptual point of view there is little consensus of what should be the 'ideal indicator' of international cost and price competitiveness as each of the standard measures typically employed has its own merits and drawbacks. This calls for addressing the question from an empirical angle,...

Persistent link: https://www.econbiz.de/10014222682

Spatial Considerations on the PPP Debate

Ca'Zorzi, Michele - 2015

This paper studies the influence of aggregating across space when (i) testing the PPP theory or more generally pair …-wise cointegration and (ii) evaluating the PPP puzzle. Our contribution is threefold: we show that aggregating foreign data and applying … an ADF test may lead to erroneously reject the PPP hypothesis. We then show, on the basis of theoretical arguments as …

Persistent link: https://www.econbiz.de/10013035746

Real Exchange Rates and International Co-Movement : News-Shocks and Non-Tradable Goods with Complete Markets

Lambrias, Kyriacos - 2016

We propose a fully flexible, complete-market model of the international business cycle that is consistent with two major empirical facts: positive cross-country co-movement of economic aggregates and a negative correlation between the real exchange rate and relative consumption (the Backus-Smith...

Persistent link: https://www.econbiz.de/10012984300

The Predictive Power of Equilibrium Exchange Rate Models

Ca'Zorzi, Michele - 2020

Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that … there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but … better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …

Persistent link: https://www.econbiz.de/10012844460