Showing 1 - 10 of 31,847
We argue that the literature on optimal international reserve holdings in an era of high-capital mobility fails to find interest rates is a strongly significant factor because of the endogeneity of interest rates and reserves under fixed exchange rate regimes. Using two-stage least squares we...
Persistent link: https://www.econbiz.de/10005471473
Many economic theories connecting the real interest rate and the per-capita consumption growth rate require that both rates evolve together over time. This article investigates whether these rates present similar stationary behaviour for the seven most industrialized countries over the 1957-2005...
Persistent link: https://www.econbiz.de/10004967033
Persistent link: https://www.econbiz.de/10010642685
Persistent link: https://www.econbiz.de/10010100247
Persistent link: https://www.econbiz.de/10008253426
Persistent link: https://www.econbiz.de/10008275489
In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...
Persistent link: https://www.econbiz.de/10011110415
While currency crises have been extensively studied, the opposite phenomenon, large appreciations, has been far less researched. We fill this gap by providing an empirical exploration of historical episodes of large real exchange rate appreciations, using a sample of 28 advanced and 25 emerging...
Persistent link: https://www.econbiz.de/10011259803
We propose a new procedure to increase the power of panel unit root tests when used to study group-wise convergence. When testing for stationarity of the differential between a group of series and their cross-sectional means, although each differential has non-zero mean, the group of...
Persistent link: https://www.econbiz.de/10008596394
We study the behavior of inflation rates among Euro countries. More specifically, we are interested in testing whether and when group convergence dictated by the Maastricht treaty occurs, and we assess the impact of events such as the advent of the Euro and the 2008 financial crisis. Due to the...
Persistent link: https://www.econbiz.de/10008805830