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Modelling Ireland's exchange rates : from EMS to EMU
Bond, Derek (contributor); Harrison, Michael J. (contributor) - 2007
to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of …
Persistent link: https://www.econbiz.de/10003616696
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Modelling Ireland's Exchange Rates : From EMS to EMU
Bond, Derek - 2007
to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of …
Persistent link: https://www.econbiz.de/10012775859
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Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices
Beckmann, Joscha - 2011
Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. Using monthly data from 1973:01 to 2009:12...
Persistent link: https://www.econbiz.de/10013122023
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Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices
Beckmann, Joscha - 2011
Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. Using monthly data from 1973:01 to 2009:12...
Persistent link: https://www.econbiz.de/10009580305
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Exchange Rates and Prices : Sources of Sterling Real Exchange Rate Fluctuations, 1973-94
Astley, Mark S.; Garratt, Anthony - 1999
shocks are highly theory-consistent; and (ii) the periods in which the SVARs suggest that particular shocks were especially …
Persistent link: https://www.econbiz.de/10014209306
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Paper Pushers or Paper Money? Empirical Assessment of Fiscal and Monetary Models of Exchange Rate Determination
Chinn, Menzie David - 1998
This paper documents the evidence in support of fiscal and monetary exchange rates for the Canadian dollar, Deutschemark, Yen, and Pound over the 1974-1993 period. Cointegrating relationships between the real exchange rate and (i) fiscal impulses and (ii) productivity and government spending are...
Persistent link: https://www.econbiz.de/10014116846
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082098
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
. -- High frequency data ; long memory ; volatility persistence ; structural breaks …
Persistent link: https://www.econbiz.de/10009735715
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Monetary policy, model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - 2010
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …
Persistent link: https://www.econbiz.de/10003937806