In this paper we examine changes on investment decisions induced by the introduction of the Euro. There are two potential sources of portfolio reallocation. First, exchange rate risk diminished within the EMU region. Second, monetary policy has been bundled within one institution. We test for...

Entering the EMU removes currency risk for assets originating in the Euro area while diversification opportunities are likely reduced. Taking the perspective of an investor in one of the 12 countries that joined the EU in 2004/2007 we contrast actual optimal composition of international equity...

In this paper we follow an empirical approach to examine the implications of the Fisher hypothesis, namely cointegration linking interest rates and in°ation, and stationarity of the real interest rate implying in turn homogeneity of the potential equilibrium relation. The considered sample is...

Investigating the German money demand function the paper provides a vector autoregressive model that allows for cointegration at the zero frequency and at the seasonal frequencies. The sample period is 1975:1 to 1995:4 and thus contains the German unification period. Using prediction tests the...

Die Analyse von täglichen Änderungen der deutschen Umlaufsrendite für festverzinsliche Wertpapiere der öffentlichen Hand zeigt starke Evidenz für eine zeitliche Abhängigkeit in den Varianzen für die Periode Januar 1981 - Juli 1996. Der untersuchte Zeitraum umfasst die Einführung von...

In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled...

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Starting from the quantity theory of money we analyse the dynamic relationships between money, real output and prices for an unbalanced panel of 110 economies. Complementary to trivariate analyses we also adopt a P-star model explaining inflation via an equilibrium price level (P-star), which in...