[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
On the construction of two-country cointegrated VAR models with an application to the UK and US. (2012). Krolzig, Hans-Martin ; Heinlein, Reinhold.
In: Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century.
RePEc:zbw:vfsc12:62310.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 39

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aoki, M. (1981). Dynamic analysis of open economies. New York: Academic Press. Bacchetta, P., and van Wincoop, E. (2010). Infrequent portfolio decisions: A solution to the forward discount puzzle. The American Economic Review, 100, 870–904.

  2. Benkwitz, A., Lutkepohl, H., and Wolters, J. (2001). Comparison of bootstrap confidence intervals for impulse responses of German monetary systems. Macroeconomic Dynamics, 5, 81–100.
    Paper not yet in RePEc: Add citation now

  3. Binder, M., Chen, Q., and Zhang, X. (2010). On the effects of monetary policy shocks on exchange rates. Working paper 3162, CESIfo, Munich.

  4. Bjørnland, H. C. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all. Journal of International Economics, 79, 64 – 77.

  5. Bouakez, H., and Normandin, M. (2010). Fluctuations in the foreign exchange market: How important are monetary policy shocks?. Journal of International Economics, 81, 139–153.

  6. Campos, J., Hendry, D. F., and Krolzig, H.-M. (2003). Consistent model selection by an automatic Gets approach. Oxford Bulletin of Economics and Statistics, 65, 803–819.

  7. Cushman, D. O., and Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates. Journal of Monetary Economics, 39, 433 – 448.

  8. Demiralp, S., and Hoover, K. D. (2003). Searching for the causal structure of a Vector Autoregression. Oxford Bulletin of Economics and Statistics, 65, 745–767.

  9. Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of Political Economy, 84, 1161–76.

  10. Eichenbaum, M., and Evans, C. (1995). Some empirical evidence on the effects of shocks to monetary policy on exchange rates. The Quarterly Journal of Economics, 110, 975–1009.

  11. Faust, J. (1998). The robustness of identified VAR conclusions about money. Carnegie-Rochester Conference Series on Public Policy, 49, 207 – 244.
    Paper not yet in RePEc: Add citation now

  12. Faust, J., and Rogers, J. H. (2003). Monetary policy’s role in exchange rate behavior. Journal of Monetary Economics, 50, 1403.

  13. Forni, M., Hallin, M., Lippi, M., and Reichlin, L. (2000). The generalized dynamic-factor model: Identification and estimation. The Review of Economics and Statistics, 82, 540–554.

  14. Frankel, J. A. (1979). On the Mark: A theory of floating exchange rates based on real interest differentials. American Economic Review, 69, 610 – 622.

  15. Gourinchas, P.-O., and Tornell, A. (2004). Exchange rate puzzles and distorted beliefs. Journal of International Economics, 64, 303 – 333.

  16. Granger, C. W. J., and Haldrup, N. (1997). Separation in cointegrated systems and persistent-transitory decompositions. Oxford Bulletin of Economics and Statistics, 59, 449–463.

  17. Grilli, V., and Roubini, N. (1995). Liquidity and exchange rates: Puzzling evidence from the G-7 countries. Working paper, Leonard N. Stern School of Business, Department of Economics, New York University.

  18. Grilli, V., and Roubini, N. (1996). Liquidity models in open economies: Theory and empirical evidence. European Economic Review, 40, 847 – 859.

  19. Hall, P. (1992). The Bootstrap and Edgeworth Expansion. New York: Springer.
    Paper not yet in RePEc: Add citation now

  20. Heinlein, R., and Krolzig, H.-M. (2012). Effects of monetary policy on the US Dollar/UK Pound exchange rate. Is there a ‘delayed overshooting puzzle’?. Review of International Economics, 20, 443–467.

  21. Hendry, D. F., and Krolzig, H.-M. (2005). The properties of automatic GETS modelling. Economic Journal, 115, C62–C98.

  22. Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.

  23. Juselius, K. (2006). The cointegrated VAR model. Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now

  24. Kim, S. (2005). Monetary policy, foreign exchange policy, and delayed overshooting. Journal of Money, Credit and Banking, 37, 775 – 782.

  25. Kim, S., and Roubini, N. (2000). Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach. Journal of Monetary Economics, 45, 561 – 586.

  26. Konishi, T., Ramey, V. A., and Granger, C. W. (1993). Stochastic trends and short-run relationships between financial variables and real activity. Working paper 4275, National Bureau of Economic Research, Cambridge, MA.
    Paper not yet in RePEc: Add citation now
  27. Krolzig, H.-M. (2001). General-to-specific reductions in vector autoregressive processes. In Friedmann, R., Knuppel, L., and Lutkepohl, H. (eds.), Econometric Studies - A Festschrift in Honour of Joachim Frohn, pp. 129–157. Munster: LIT Verlag.
    Paper not yet in RePEc: Add citation now
  28. Krolzig, H.-M. (2003). General-to-specific model selection procedures for structural vector autoregressions. Oxford Bulletin of Economics and Statistics, 65, 769–801.
    Paper not yet in RePEc: Add citation now
  29. Krolzig, H.-M., and Hendry, D. F. (2001). Computer automation of general-to-specific model selection procedures. Journal of Economic Dynamics and Control, 25, 831–866.
    Paper not yet in RePEc: Add citation now

  30. Mumtaz, H., and Surico, P. (2009). The transmission of international shocks: A Factor-Augmented VAR Approach. Journal of Money, Credit and Banking, 41, 71–100.

  31. Pearl, J. (2000). Causality: Models, Reasoning, and Inference. Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now

  32. Pesaran, M. H., Schuermann, T., and Weiner, S. M. (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economic Statistics, 22(2), 129–162.

  33. Rogoff, K. (2002). Dornbusch’s overshooting model after twenty-five years. IMF Staff Papers, 49, Special Issue, 1–35.

  34. Romer, C., and Romer, D. (2004). A new measure of monetary shocks: Derivation and implications.

  35. Scholl, A., and Uhlig, H. (2008). New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates. Journal of International Economics, 76, 1 – 13.

  36. Spirtes, P., Glymour, C., and Scheines, R. (2001). Causation, Prediction, and Search 2nd edn. Cambridge, MA: MIT Press.

  37. Turnovsky, S. (1986). Monetary and fiscal policy under perfect foresight: A symmetric two-country analysis. Economica, 53, 139–157.
    Paper not yet in RePEc: Add citation now
  38. Tuxen, C. K. (2007). An empirical relevant model of inflation in the euro area. Working Paper, Nuffield College, Oxford.
    Paper not yet in RePEc: Add citation now

  39. Voss, G., and Willard, L. (2009). Monetary policy and the exchange rate: Evidence from a two-country model. Journal of Macroeconomics, 31, 708 – 720.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The Chilean peso exchange-rate carry trade and turbulence. (2016). Cox, Paulo ; Carreno, Jose ; Carreo, Jose Gabriel .
    In: Revista CEPAL.
    RePEc:ecr:col070:41256.

    Full description at Econpapers || Download paper

  2. Carry Trades, Order Flow and the Forward Bias Puzzle. (2015). Vitale, Paolo ; Rime, Dagfinn ; Breedon, Francis.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp761.

    Full description at Econpapers || Download paper

  3. Exchange Rates, Interest Rates, and the Risk Premium. (2015). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21042.

    Full description at Econpapers || Download paper

  4. Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro. (2015). Grossmann, Axel ; Simpson, Marc W..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:55:y:2015:i:c:p:124-139.

    Full description at Econpapers || Download paper

  5. Investor attention and FX market volatility. (2015). Goddard, John ; Wang, Qingwei ; Kita, Arben .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:79-96.

    Full description at Econpapers || Download paper

  6. Foreign exchange market inefficiency and exchange rate anomalies. (2015). Li, Jing ; Miller, Norman C..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:34:y:2015:i:c:p:311-320.

    Full description at Econpapers || Download paper

  7. Exchange rates, expected returns and risk. (2014). Munro, Anella.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2014/01.

    Full description at Econpapers || Download paper

  8. The impact of monetary policy on the exchange rate: A high frequency exchange rate puzzle in emerging economies. (2014). Kohlscheen, Emanuel.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:44:y:2014:i:c:p:69-96.

    Full description at Econpapers || Download paper

  9. Generating currency trading rules from the term structure of forward foreign exchange premia. (2014). Taylor, Mark ; Sager, Michael .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:44:y:2014:i:c:p:230-250.

    Full description at Econpapers || Download paper

  10. Time-varying international diversification and the forward premium. (2014). Jonen, Benjamin ; Scheuring, Simon .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:40:y:2014:i:c:p:128-148.

    Full description at Econpapers || Download paper

  11. The forward premium puzzle and the Euro. (2014). Nagayasu, Jun.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:436-451.

    Full description at Econpapers || Download paper

  12. Forward premium anomaly of the British pound and the euro. (2014). Grossmann, Axel ; Lee, Allissa A. ; Simpson, Marc W..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:34:y:2014:i:c:p:140-156.

    Full description at Econpapers || Download paper

  13. Robust control, informational frictions, and international consumption correlations. (2014). Young, Eric ; Nie, Jun ; Luo, Yulei.
    In: European Economic Review.
    RePEc:eee:eecrev:v:67:y:2014:i:c:p:1-27.

    Full description at Econpapers || Download paper

  14. Anticipated Liquidity Shock and Financial Market Equilibrium. (2014). Kumar, Vikram .
    In: Working Papers.
    RePEc:dav:wpaper:14-08.

    Full description at Econpapers || Download paper

  15. Carry Trade y Turbulencias Cambiarias con el Peso Chileno. (2014). Cox, Paulo ; Carreno, Jose ; Carreo, Jose .
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:733.

    Full description at Econpapers || Download paper

  16. The forward premium puzzle and the euro. (2013). Nagayasu, Jun.
    In: Working Papers.
    RePEc:str:wpaper:1317.

    Full description at Econpapers || Download paper

  17. Funding Flows and Credit in Carry Trade Economies. (2013). Rey, Helene ; Agrippino, Silvia Miranda .
    In: RBA Annual Conference Volume.
    RePEc:rba:rbaacv:acv2013-13.

    Full description at Econpapers || Download paper

  18. The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis. (2013). Nath, Golaka .
    In: MPRA Paper.
    RePEc:pra:mprapa:51591.

    Full description at Econpapers || Download paper

  19. The Forward Premium Puzzle And The Euro. (2013). Nagayasu, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:45746.

    Full description at Econpapers || Download paper

  20. Exchange Rates and Interest Parity. (2013). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19336.

    Full description at Econpapers || Download paper

  21. Carry. (2013). Pedersen, Lasse ; Vrugt, Evert B. ; Moskowitz, Tobias J. ; Ralph S. J. Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19325.

    Full description at Econpapers || Download paper

  22. Forward-Rate Bias, Imperfect Knowledge, and Risk: Evidence from Developed and Developing Countries. (2013). Kozlova, Olesia.
    In: 2013 Papers.
    RePEc:jmp:jm2013:pko627.

    Full description at Econpapers || Download paper

  23. Robust Control, Informational Frictions, and International Consumption Correlations. (2013). Young, Eric ; Nie, Jun ; Luo, Yulei.
    In: Working Papers.
    RePEc:hkm:wpaper:212013.

    Full description at Econpapers || Download paper

  24. Are stock markets in Asia related to carry trade?. (2013). Fung, Hung-Gay ; Tse, Yiuman ; Zhao, Lin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:25:y:2013:i:c:p:200-216.

    Full description at Econpapers || Download paper

  25. Robustness and exchange rate volatility. (2013). Kasa, Kenneth ; Djeutem, Edouard.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:91:y:2013:i:1:p:27-39.

    Full description at Econpapers || Download paper

  26. International risk cycles. (2013). Verdelhan, Adrien ; Siemer, Michael ; Gourio, Francois.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:89:y:2013:i:2:p:471-484.

    Full description at Econpapers || Download paper

  27. Monetary Policy Shifts and the Forward Discount Puzzle. (2013). Nikolsko-Rzhevskyy, Alex ; Jetter, Michael.
    In: DOCUMENTOS DE TRABAJO CIEF.
    RePEc:col:000122:010729.

    Full description at Econpapers || Download paper

  28. Real-Time Out-of-Sample Exchange Rate Predictability. (2013). Molodtsova, Tanya ; Ince, Onur.
    In: Working Papers.
    RePEc:apl:wpaper:13-03.

    Full description at Econpapers || Download paper

  29. Currency Momentum Strategies. (2012). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: Working Paper series.
    RePEc:rim:rimwps:09_12.

    Full description at Econpapers || Download paper

  30. The Forward Premium Puzzle And Risk Premiums. (2012). Nagayasu, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:42472.

    Full description at Econpapers || Download paper

  31. Econometric Analysis of Present Value Models When the Discount Factor Is near One. (2012). West, Kenneth.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18247.

    Full description at Econpapers || Download paper

  32. Conflicting evidence and decisions by agency professionals: an experimental test in the context of merger regulation. (2012). Zizzo, Daniel ; Menzies, Gordon ; Lyons, Bruce.
    In: Theory and Decision.
    RePEc:kap:theord:v:73:y:2012:i:3:p:465-499.

    Full description at Econpapers || Download paper

  33. Exchange-Rate Dark Matter. (2012). Evans, Martin ; Martin D. D. Evans, .
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~12-12-01.

    Full description at Econpapers || Download paper

  34. The Thursday effect of the forward premium puzzle. (2012). Ding, Liang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:21:y:2012:i:1:p:302-318.

    Full description at Econpapers || Download paper

  35. When does uncovered interest parity hold?. (2012). Roche, Maurice ; Moore, Michael.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:4:p:865-879.

    Full description at Econpapers || Download paper

  36. Currency momentum strategies. (2012). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:660-684.

    Full description at Econpapers || Download paper

  37. Econometric analysis of present value models when the discount factor is near one. (2012). West, Kenneth.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:171:y:2012:i:1:p:86-97.

    Full description at Econpapers || Download paper

  38. Has the Euro changed the Business Cycle?. (2012). Müller, Gernot ; Jung, Philip ; Enders, Zeno ; Muller, Gernot.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9233.

    Full description at Econpapers || Download paper

  39. Currency Momentum Strategies. (2012). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8747.

    Full description at Econpapers || Download paper

  40. The Fragility of Overshooting. (2012). Pippenger, John .
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt4rd5j98c.

    Full description at Econpapers || Download paper

  41. What Covered Interest Parity Implies about the Theory of Uncovered Interest Parity.. (2012). Pippenger, John .
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt0zk6t2hj.

    Full description at Econpapers || Download paper

  42. Systematic monetary policy and the forward premium puzzle. (2012). Tarashev, Nikola ; TAMBAKIS, DEMOSTHENES.
    In: BIS Working Papers.
    RePEc:bis:biswps:396.

    Full description at Econpapers || Download paper

  43. End-of-the-year economic growth and time-varying expected returns. (2012). Møller, Stig ; Moller, Stig V. ; Rangvid, Jesper .
    In: CREATES Research Papers.
    RePEc:aah:create:2012-42.

    Full description at Econpapers || Download paper

  44. The Forward Discount Puzzle: Identi cation of Economic Assumptions. (2011). Velasco, Carlos ; Moon, Seongman.
    In: Working Papers.
    RePEc:sgo:wpaper:1112.

    Full description at Econpapers || Download paper

  45. Exchange Rate Dynamics Under Alternative Optimal Interest Rate Rules. (2011). Cheung, Yin-Wong ; Binici, Mahir.
    In: Working Papers.
    RePEc:hkm:wpaper:362011.

    Full description at Econpapers || Download paper

  46. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. (2011). Engel, Charles.
    In: Working Papers.
    RePEc:hkm:wpaper:272011.

    Full description at Econpapers || Download paper

  47. The solution to the forward-bias puzzle. (2011). Pippenger, John .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:2:p:296-304.

    Full description at Econpapers || Download paper

  48. A COMPLETE SOLUTION TO THE FORWARD-BIAS PUZZLE. (2011). Pippenger, John .
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt5gq9z4j0.

    Full description at Econpapers || Download paper

  49. Currency Momentum Strategies. (2011). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: BIS Working Papers.
    RePEc:bis:biswps:366.

    Full description at Econpapers || Download paper

  50. The Impact of Monetary Policy on the Exchange Rate: puzzling evidence from three emerging economies. (2011). Kohlscheen, Emanuel.
    In: Working Papers Series.
    RePEc:bcb:wpaper:259.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-03 22:26:27 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.