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Applications of agent-based models and nonlinear econometrics in finance
Demary, Markus - 2010
rules. However, mispricings increase for larger tax rates, since their harm the stabilizing fundamental trading rules, too …
Persistent link: https://www.econbiz.de/10008664302
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Nonlinear Adjustment in the Real Euro-Dollar Exchange Rate : The Role of the Productivity Differential as a Fundamental
Camarero, Mariam; Ordóñez Monfort, Javier - 2004
In this paper we analyze the adjustment dynamics of the euro-dollar real exchange rate towards one of the most relevant fundamentals: relative productivity. Using testing and estimation non-linear procedures for ESTAR models for the period 1970-2002, we find that the speed of real exchange rate...
Persistent link: https://www.econbiz.de/10014071788
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Volatility Dynamics in Three Euro Exchange Rates : Correlations, Spillovers and Commonality
McMillan, David G. - 2009
In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility … components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach … proposed by Engle and Kozicki (1993). Our results suggest that the three currencies exhibit some degree of volatility spillover …
Persistent link: https://www.econbiz.de/10013155913
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The Anticipated and Concurring Effects of the Emu : Exchange Rate Volatility, Institutions and Growth
Bagella, Michele; Becchetti, Leonardo; Hasan, Iftekhar - 2004
Reduced exchange rate volatility and higher and less heterogeneous quality of institutional rules and macroeconomic …
Persistent link: https://www.econbiz.de/10014068083
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The Ignored Exchange Rate Fundamental
Müller-Plantenberg, Nikolas A. - 2006
Commercial and financial transactions between countries induce payment flows, which influence exchange rates. Exchange rates tend to follow the movements of the current account with a lag. The adjustment delay occurs as countries finance balance of payments deficits by borrowing from abroad....
Persistent link: https://www.econbiz.de/10014058900
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The Role of the Exchange Rate Regime in the Process of Real and Nominal Convergence
D'Adamo, Gaetano - 2013
During the last decade, economists have intensively searched for evidence on the importance of the Balassa-Samuelson (B-S) hypothesis in explaining nominal convergence. One general result is that B-S can at best explain only part of the excess inflation observed in the European catching-up...
Persistent link: https://www.econbiz.de/10013074886
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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
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Has the relationship between the real exchange rate and its fundamentals changed over time?
Cuestas, Juan Carlos; Monfort, Mercedes; Shimbov, Bojan - In: Baltic journal of economics 22 (2022) 2, pp. 68-89
In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the...
Persistent link: https://www.econbiz.de/10014319295
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The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication
Conrad, Christian; Lamla, Michael J. - 2013
We investigate the impact of the European Central Bank’s monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high-frequency. Based on the method of Content Analysis we construct communication indicators for...
Persistent link: https://www.econbiz.de/10014223949
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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian A. (contributor);  … - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …
Persistent link: https://www.econbiz.de/10003763600