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Foreign exchange predictability during the financial crisis: Implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011460619

Oil Wealth and Real Exchange Rates: The FEER for Norway

Akram, Q. Farooq - 2004

It is often argued that Norway's sizeable net foreign assets based on its petroleum wealth imply an appreciation of its real exchange rate to a permanently strong level. We investigate this issue within the framework of the fundamental equilibrium real exchange rate (FEER) approach. It is shown...

Persistent link: https://www.econbiz.de/10012143630

Modelling Inflation in the Euro Area

Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost … growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation …. There is, however, some support in favour of the (reduced form) AWM inflation equation. It is the only model that …

Persistent link: https://www.econbiz.de/10012143624

Knapp's 'State Theory of Money' and its reception in German academic discourse

Ehnts, Dirk H. - 2019

In 1905, Georg Friedrich Knapp published The State Theory of Money in his native German, claiming that money is a "creature of law" and not connected to metals via some intrinsic value. When the English translation appeared in 1924, apparently at the wishes of John Maynard Keynes, the German...

Persistent link: https://www.econbiz.de/10011984407

Reserves accumulation in African countries: Sources, motivations, and effects

Elhiraika, Adam; Ndikumana, Léonce - 2007

intervene in markets to control the exchange rate and inflation. Adequate reserves also allow the country to borrow from abroad … reserve accumulation with a focus on the impact on the exchange rate, inflation, and public and private investment. While the …

Persistent link: https://www.econbiz.de/10010287832

Modeling Credit Aggregates

Kaufmann, Sylvia; Valderrama, Maria Teresa - 2004

The purpose of this paper is to model both loans to households and to non-financial corporations as well as their relation to interest rates and demand variables for Austria, Germany, the Netherlands and the United Kingdom. Credit aggregates are modeled using a Markov-switching vector...

Persistent link: https://www.econbiz.de/10013370007

Loan supply shocks in Macedonia: a Bayesian SVAR approach with sign restrictions

Kabashi, Rilind; Suleva, Katerina - 2016

inflation, while the central bank reacts strongly to adverse shocks hitting the economy. Baseline results are fairly robust to …

Persistent link: https://www.econbiz.de/10011785360

Employment Behaviour in Slack and Tight Labour Markets

Akram, Q. Farooq; Nymoen, Ragnar - 2001

Empirical and theoretical studies suggest that employment behaviour varies with the state of the labour market since hiring and firings costs depend on the availability of labour. Extending earlier empirical work on this subject, we test for state dependence in employment adjustment and in the...

Persistent link: https://www.econbiz.de/10012143585

Real Exchange Rates and Switching Regimes

Bergman, U. Michael; Hansson, Jesper - 2000

We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...

Persistent link: https://www.econbiz.de/10013208399

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...

Persistent link: https://www.econbiz.de/10010280768