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Foreign exchange market interventions and the $-¥ exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...

Persistent link: https://www.econbiz.de/10010255146

How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....

Persistent link: https://www.econbiz.de/10010207061

Foreign exchange market interventions and the $-Yen exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

Persistent link: https://www.econbiz.de/10009779186

The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …

Persistent link: https://www.econbiz.de/10011745419

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …

Persistent link: https://www.econbiz.de/10011555939

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146

the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …

Persistent link: https://www.econbiz.de/10012619980

TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

Persistent link: https://www.econbiz.de/10012181050

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …

Persistent link: https://www.econbiz.de/10013179569

The interactions and trade-offs of sovereign Credit Default SWAP (CDS) and bond spreads in a dynamic context

Tampakoudis, Ioannis A.; Tamošiūnas, Andrius; … - In: Journal of business economics and management 20 (2019) 3, pp. 466-488

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...

Persistent link: https://www.econbiz.de/10012175748

Macroeconomic Forces and Stock Prices: Evidence from the Bangladesh Stock Market

Khan, Mashrur Mustaque; Yousuf, Ahmed Sadek - 2013

-series techniques were used which include Cointegration, Vector Error Correction Model (VECM), Impulse Response Functions (IRF) and … Variance Decompositions (VDC). Cointegration analysis, along with the VECM, suggests that interest rates, crude oil prices and …

Persistent link: https://www.econbiz.de/10010311874