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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … credibility in the foreign exchange market, namely the Deutsche Mark, has been assimilated into the Euro. In order to evaluate if …
Persistent link: https://www.econbiz.de/10003582754
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Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate
Jansen, David-Jan; Haan, Jakob de - 2003
This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …
Persistent link: https://www.econbiz.de/10011507830
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The euro exchange rate and Germany's trade surplus
Hohberger, Stefan; Ratto, Marco; Vogel, Lukas - 2019
We estimate a three-region (DE-REA-RoW) structural macroeconomic model, and we provide a counterfactual on how nominal exchange rate flexibility would have affected the German trade balance (TB) by simulating the shocks of the estimated model under a counterfactual flexible exchange rate regime....
Persistent link: https://www.econbiz.de/10011983671
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Market efficiency of euro exchange rates and trading strategies
Bošnjak, Mile; Novak, Ivan; Vlajčić, Davor - In: Naše gospodarstvo / Our Economy 67 (2021) 2, pp. 10-19
This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming …
Persistent link: https://www.econbiz.de/10014520594
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Fast trading and the virtue of entropy : evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...
Persistent link: https://www.econbiz.de/10012037341
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Nominal exchange rates EUR/GRD and EUR/ITL in the context of leaving the euro zone by Greece and Italy
Dąbrowska-Gruszczyńska, Katarzyna; Gruszczyński, Marcin - In: Journal of economics & management 43 (2021) 1, pp. 293-316
sample covers Greece in 1989-2020 and Italy in 1989-2020. Findings - The research presented the estimation of shadow exchange … rates EUR/GRD and EUR/ITL during the euro zone membership period. Leaving the euro area one can expect the following market … rates: EUR/GRD 600 and EUR/ITL 1850. That would mean 75% depreciation and 5% appreciation to the current euro parities EUR …
Persistent link: https://www.econbiz.de/10013166669
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Using ARIMA forecasts to explore the efficiency of the forward Reichsmark market : Austria-Hungary, 1876-1914
Komlos, John; Flandreau, Marc - 2002
We explore the efficiency of the forward reichsmark market in Vienna between 1876 and 1914. We estimate ARIMA models of the spot exchange rate in order to forecast the one-month-ahead spot rate. In turn we compare these forecasts to the contemporaneous forward rate, i.e., the market's forecast...
Persistent link: https://www.econbiz.de/10010440957
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Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area
Ben Cheikh, Nidhaleddine - 2015
This paper provides an update on the exchange rate pass-through (ERPT) estimates for 12 Euro area (EA) countries. First …-through elasticities, we find very weak evidence of a decline around the inception of the euro in 1999. However, our results reveal that a …
Persistent link: https://www.econbiz.de/10013022505
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Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area
Ben Cheikh, Nidhaleddine - 2014
This paper provides an update on the exchange rate pass-through (ERPT) estimates for 12 Euro area (EA) countries. First … towards more stable macroeconomic conditions across Euro Area (EA) Member States. Second, when assessing the stability of pass …-through elasticities we find very weak evidence of a decline around the inception of the Euro in 1999. However, our results reveal that a …
Persistent link: https://www.econbiz.de/10013045898
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Determinants of the Euro Real Effective Exchange Rate : A Beer/Peer Approach
Maeso Fernández, Francisco; Osbat, Chiara; Schnatz, Bernd - 2021
This paper presents an empirical analysis of the medium-term determinants of the euro effective exchange rate. The … the euro effective exchange rate. Assessing the existence and the extent of the over- or undervaluation of the exchange … models point unambiguously to the undervaluation of the euro in 2000, although the extent of this undervaluation largely …
Persistent link: https://www.econbiz.de/10013320272