Browsing Working Papers by Subject "F31"

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Browsing Working Papers by Subject "F31"

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    Title: Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics  Author(s): BEKIROS, Stelios D. Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...
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    Title: The Multiscale Causal Dynamics of Foreign Exchange Markets  Author(s): BEKIROS, Stelios D.; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...
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    Title: Nonlinear Causality Testing with Stepwise Multivariate Filtering  Author(s): BEKIROS, Stelios D. Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This study explores the direction and nature of causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), ...
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    Title: The Effect of Capital Controls on Exchange Rate Risk  Author(s): VERSTEEG, Roald; STRAETMANS, Stefan Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI MWP;2010/33 Abstract: Many countries try to smooth their exchange rate movements by means of capital controls or otherwise. By the use of statistical extreme value analysis, we investigate if capital controls succeed in lowering foreign exchange ...
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    Title: Are Small Countries Able to set their Own Interest Rates? Assessing the implications of the macroeconomic trilemma  Author(s): HERWARTZ, Helmut; ROESTEL, Jan Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: According to the ’macroeconomic trilemma’ the ability of small economies to pursue an independent monetary policy is jointly determined by country specific foreign exchange (FX) rate flexibility and capital mobility. In ...
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    Title: Forecasting Exchange Rates with a Large Bayesian VAR  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...