This paper offers a narrative description of Western European monetary policies during the 1980s, seen from a French and European perspective and based on the archives of the General Council of the Bank of France and of the Committee of Governors (CoG) of the central banks of the member states...

This paper offers a narrative description of Western European monetary policies during the 1980s, seen from a French and European perspective and based on the archives of the General Council of the Bank of France and of the Committee of Governors (CoG) of the central banks of the member states...

This paper examines the effects of foreign exchange (FX) interventions in a setting where agents exchange both short-term and long-term securities. In a two-region theoretical model, calibrated to match the US and its trade partners (foreign region), we show that FX interventions by the foreign...

This work is an endeavor to explore the relationship of Lag between future & underlying market, ie. Spot in foreign exchange market of India. Only the USD/INR exchange rate is considered for the study for the presented work. This study is comprised of both analytical and empirical. The daily...

On Sunday 20 June 1948, the Deutsche Mark was swapped against the Reichsmark and became immediately used in all transactions and evicted all others means of payment. This success was associated with a massive upsurge of consumption and productivity, all things that were predicted by the money...

This paper estimates simultaneously dynamic equations for the Deutsche Mark/Dollar exchange rate and the German wholesale price index, which emerge from a model in which German prices are sticky. This stickiness is due to price adjustment costs which take the form posited by Rotemberg(1982).The...

After a decade of generalized floating, it is clear that bilateral exchange rates exhibit more variability than the economic aggregates; relative prices, incomes, and money supplies, that generally comprise the fundamentals of theories of exchange rate determination. Dornbush's over-shooting...

This paper reconsiders the determinants of the exchange rate by studying the historical episode after the fall of the Iron Curtain. Testing a modified portfolio balance model, we attribute the strength of the deutschmark in the early nineties and the puzzling decline of the euro during its...

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...

This paper reconsiders the determinants of the exchange rate by studying the historical episode after the fall of the Iron Curtain. Testing a modified portfolio balance model, we attribute the strength of the deutschmark in the early nineties and the puzzling decline of the euro during its...

Der grüne Zwanziger, der braune Fünfziger, der blaue Hunderter – Millionen Deutschen sind die Banknoten aus D-Mark-Zeiten noch gut in Erinnerung. Es war das Geld, mit dem sie groß wurden, mit dem sie einen gewissen Wohlstand erreichten. Aber die D-Mark ist nicht nur in der individuellen...

"This book asks how Germany – a country long thought to be irrevocably European and committed to a more social market economy – could have emerged at the center of neoliberal restructuring in Europe."

For many observers, internationalization is the yuan's manifest destiny - an irresistible by-product of the remarkable economic success of the People's Republic of China (PRC). But is such confidence warranted? Recent history has seen the emergence of other currencies that were also expected, at...

For many observers, internationalization is the yuan’s manifest destiny and a by-product of the remarkable economic success of the People’s Republic of China (PRC). But is such confidence warranted? Recent history has seen the emergence of other currencies that were also expected, at least...

Over the last two decades, most European currencies have tended to weaken against the mark as the latter strengthened against the dollar. Moreover, the strength of the response of European cross-rates has tended to remain in the same order over time. I first set out the stylised facts of this...

The current state budget crisis in the EU and the numerous futile efforts to solve the problem has brought back the fraction of people that argument in favour of an exit strategy of Germany from the European monetary union (EMU) or even the break-up of the EMU in total. This paper investigates...

To understand the origin of the modern central bank — its institutional structure and monetary policy — one must understand the history of the Bundesbank. The narrative history offered here examines the evolution of that institution, from the start and the collapse of the Bretton Woods...

The study investigates profitability and price effects of 1024 moving average and momentum models in the DM/dollar market (1973/99) as well as in the yen/dollar market (1976/99). The main results are as follows. First, each of these models would have produced an positive return over the entire...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily...

For the purpose of testing uncovered interest parity (UIP), rates of European currencies against the Mark offer a distinct advantage: the admissible band of the Exchange Rate Mechanism (ERM) induces statistically significant mean-reversion in weekly rates. Thus, unlike for freely floating rates,...

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...

This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and dollar-yen, implied correlation is compared against...

The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at the International Monetary Market (IMM) and the Singapore Exchange (SIMEX). The samples of the German mark currency futures contracts and the Japanese yen currency futures...

The out-of-sample forecasting performances of two univariate time series presentations for the USD/DEM real exchange rate are compared using quarterly data for the period 1957Q1-1998Q4. The linear AR process is frequently fitted to real exchange rate series because it is sufficient for capturing...

This paper compares two approaches for examining the extent to which a country`s actual real effective exchange rate is consistent with economic fundamentals: the FEER approach, which involves calculating the real exchange rate that equates the current account at full employment with sustainable...

This paper analyzes whether specific methods of conducting central bank interventions increase the likelihood of achieving its objectives. Using daily Bundesbank and Fed intervention data covering the entire post-Plaza period, the issue is addressed by estimating binary choice models over the...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...

This paper studies and assesses the impact of G3 Central Bank interventions on the DEM/USD exchange rate properties using daily realized moments of exchange rate returns (obtained from intraday data) for the period 1989-2001. Event studies in terms of the realized moments for the intervention...

amazon.de: Die Mehrheit der Deutschen will wieder die D-Mark zurück. Rund sechzig Prozent bekunden jedenfalls bei repräsentativen Umfragen, kein Vertrauen mehr in den Euro zu haben. Die D-Mark stand über viele Jahrzehnte für den Wiederaufstieg nach dem Zweiten Weltkrieg, für Stabilität,...

In this paper, whether specific methods of conducting central bank interventions increase the likelihood of achieving its objectives in analysed. Daily Bundesbank and Fed intervention data covering the entire Post-Plaza period are used to estimate binary choice models over the sample of...