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The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …

Persistent link: https://www.econbiz.de/10011604412

Exchange rates and fundamentals: new evidence from real-time data

Ehrmann, Michael; Fratzscher, Marcel - 2004

-time data. We find that such economic news in the United States, Germany and the euro area have indeed been a driving force … macroeconomic news is at least partly explained by their earlier release time compared to corresponding German and euro area news …. The exchange rate is also shown to respond more strongly to news in periods of large market uncertainty and when negative …

Persistent link: https://www.econbiz.de/10011604411

The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?

Ehrmann, Michael; Osbat, Chiara; Stráský, Jan; … - 2013

makers than previously feared. Still, there are instances where exchange rate volatility was increasing in response to news …

Persistent link: https://www.econbiz.de/10011605577

Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - 2009

There is a broad consensus that the quality of the political system and its institutions are fundamental for a country’s prosperity. The paper focuses on olitical events in Italy over the past 35 years and asks whether the adoption of the euro in 1999 has helped insulate Italy’s financial...

Persistent link: https://www.econbiz.de/10011605110

In-sample or out-of-sample tests of predictability: which one should we use?

Inoue, Atsushi; Kilian, Lutz - 2002

It is widely known that significant in-sample evidence of predictability does not garantuee significant out-of-sample predictability. This is often interpreted as an indiciation that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...

Persistent link: https://www.econbiz.de/10011604241

Inflation persistence in the European Union, the euro area, and the United States

Gadzinski, Gregory; Orlandi, Fabrice - 2004

In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area...

Persistent link: https://www.econbiz.de/10011604460

Break in the mean and persistence of inflation: a sectoral analysis of French CPI

Bilke, Laurent - 2005

This paper uses disaggregated CPI time series to show that a break in the mean of French inflation occurred in the mid-eighties and that the 1983 monetary policy shift mostly accounted for it. CPI average yearly growth declined from nearly 11% before the break date (May 1985) to 2.1% after. No...

Persistent link: https://www.econbiz.de/10011604509

Inflation convergence and divergence within the European Monetary Union

Busetti, Fabio; Forni, Lorenzo; Harvey, Andrew; … - 2006

We study the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980-2004. Given the Maastricht agreements and the adoption of the single currency, the sample can be naturally split into two parts, before and after the birth of the euro....

Persistent link: https://www.econbiz.de/10011604620

Cointegration in panel data with breaks and cross-section dependence

Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2006

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one structural break when testing the null hypothesis of no cointegration that...

Persistent link: https://www.econbiz.de/10011604637

Dealing with endogeneity in threshold models using copulas: An illustration to the foreign trade multiplier

Christopulos, Dimitris K.; Tzavalis, Elias; McAdam, Peter - 2018

illustration, we estimate a threshold model of the foreign-trade multiplier conditional on the real exchange rate volatility regime …

Persistent link: https://www.econbiz.de/10011853324