Exchange rates, prices, and interest rates in the Euro area: equilibrium dynamics and determinants of monetary policy
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
2005
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Frankfurt am Main, Univ., Diss., 2006 |
| Beschreibung: | XII, 84 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | CONTENTS ACKNOWLEDGMENTS III LIST OF FIGURES IX LIST OF TABLES XI
PREFACE 1 1 PPP IN PANEL DATA AND THE ROLE OF LONG-RUN HOMOGENEITY IN
EUROPE 7 1.1 INTRODUCTION 7 12 CONCEPTS 9 1.2.1 PURCHASING POWER PARITY
FOR EFFECTIVE EXCHANGE HATES . . . . 9 1.2.2 POOLED MEAN GROUP
ESTIMATION 12 1-3 PRE-EMU HOMOGENEITY IN EUROPE 14 1.3.1 DATA 14 1.3.2
HOMOGENEOUS LONG-RUN RELATIONSHIPS AND COUNTRY-SPECIFIC IMPACTS 15 1.4
CONCLUSION 21 1.5 APPENDIX 22 1.6 REFERENCES 25 V VI CONTENTS 2 DOES THE
EURO FOLLOW THE GERMAN MARK? EVIDENCE FROM THE MONE- TARY MODEL OF THE
EXCHANGE RATE 29 2.1 INTRODUCTION 29 2.2 THE MONETARY MODEL OF THE
EXCHANGE RATE 32 2.2.1 EMPIRICAL IMPLEMENTATION 32 2.2.2 DATA 33 2.3 THE
MONETARY MODEL IN THE PRE-EMU PERIOD: EVIDENCE FOR GERMAN AND SYNTHETIC
EUROPEAN DATA 34 2.3.1 COINTEGRATION TESTS 34 2.3.2 ESTIMATING THE
MONETARY MODEL OVER THE PRE-EMU PERIOD . . 36 2.4 EMU EXCHANGE RATE
BEHAVIOR AND THE EVALUATION OF THE PRE-EMU EXPERIENCE 39 2.4.1
OUT-OF-SAMPTE FORECASTS 39 2.4.2 FORECAST ACCURACY TEST: EUR MODEL VS DM
MODEL 41 2.4.3 FORECAST ACCURACY TEST: EUR AND DM MODEL VS RANDOM WALK
42 2.5 CONCLUSION 43 2.6 APPENDIX 45 2.6.1 CONSTRUCTION OF SYNTHETIC
EUROPEAN DATA 45 2.6.2 FIGURES OF TIME SERIES 47 2.6.3 ALTERNATIVE
SPECIFICATION: TWO COINTEGRATING VECTORS 49 2.6.4 BOOTSTRAPPING CRITICAL
VALUES FOR RMSE RATIOS 52 2.7 REFERENCES 54 3 THE DYNAMIC RELATIONSHIP
BETWEEN THE EURO OVERNIGHT RATE, THE ECB S POLICY RATE AND THE TERM
SPREAD 59 3.1 INTRODUCTION 59 3.2 DATA AND ECONOMETRIC SPECIFICATION 61
CONTENTS VII 3.2.1 (CO-)INTEGRATION PROPERTIES OF THE DATA 61 3.2.2
MODELING OVERNIGHT RATE DYNAMICS 64 3.3 THE ADJUSTMENT OF THE EURO
OVERNIGHT RATE TO THE POLICY RATE AND THE TENN SPREAD 67 3.3.1 THE BASE
MODEL 67 3.3.2 EONIA ADJUSTMENT WITHIN AND AT THE END OF THE RESERVE
PERIOD 68 3.4 ASYMMETRIES IN EONIA ADJUSTMENT AND THE IMPACT OF THE
AUCTION FORMAT 72 3.5 CONCLUSIONS 76 3.6 APPENDIX 78 3.7 REFERENCES 81
|
| adam_txt |
CONTENTS ACKNOWLEDGMENTS III LIST OF FIGURES IX LIST OF TABLES XI
PREFACE 1 1 PPP IN PANEL DATA AND THE ROLE OF LONG-RUN HOMOGENEITY IN
EUROPE 7 1.1 INTRODUCTION 7 12 CONCEPTS 9 1.2.1 PURCHASING POWER PARITY
FOR EFFECTIVE EXCHANGE HATES . . . . 9 1.2.2 POOLED MEAN GROUP
ESTIMATION 12 1-3 PRE-EMU HOMOGENEITY IN EUROPE 14 1.3.1 DATA 14 1.3.2
HOMOGENEOUS LONG-RUN RELATIONSHIPS AND COUNTRY-SPECIFIC IMPACTS 15 1.4
CONCLUSION 21 1.5 APPENDIX 22 1.6 REFERENCES 25 V VI CONTENTS 2 DOES THE
EURO FOLLOW THE GERMAN MARK? EVIDENCE FROM THE MONE- TARY MODEL OF THE
EXCHANGE RATE 29 2.1 INTRODUCTION 29 2.2 THE MONETARY MODEL OF THE
EXCHANGE RATE 32 2.2.1 EMPIRICAL IMPLEMENTATION 32 2.2.2 DATA 33 2.3 THE
MONETARY MODEL IN THE PRE-EMU PERIOD: EVIDENCE FOR GERMAN AND SYNTHETIC
EUROPEAN DATA 34 2.3.1 COINTEGRATION TESTS 34 2.3.2 ESTIMATING THE
MONETARY MODEL OVER THE PRE-EMU PERIOD . . 36 2.4 EMU EXCHANGE RATE
BEHAVIOR AND THE EVALUATION OF THE PRE-EMU EXPERIENCE 39 2.4.1
OUT-OF-SAMPTE FORECASTS 39 2.4.2 FORECAST ACCURACY TEST: EUR MODEL VS DM
MODEL 41 2.4.3 FORECAST ACCURACY TEST: EUR AND DM MODEL VS RANDOM WALK
42 2.5 CONCLUSION 43 2.6 APPENDIX 45 2.6.1 CONSTRUCTION OF SYNTHETIC
EUROPEAN DATA 45 2.6.2 FIGURES OF TIME SERIES 47 2.6.3 ALTERNATIVE
SPECIFICATION: TWO COINTEGRATING VECTORS 49 2.6.4 BOOTSTRAPPING CRITICAL
VALUES FOR RMSE RATIOS 52 2.7 REFERENCES 54 3 THE DYNAMIC RELATIONSHIP
BETWEEN THE EURO OVERNIGHT RATE, THE ECB'S POLICY RATE AND THE TERM
SPREAD 59 3.1 INTRODUCTION 59 3.2 DATA AND ECONOMETRIC SPECIFICATION 61
CONTENTS VII 3.2.1 (CO-)INTEGRATION PROPERTIES OF THE DATA 61 3.2.2
MODELING OVERNIGHT RATE DYNAMICS 64 3.3 THE ADJUSTMENT OF THE EURO
OVERNIGHT RATE TO THE POLICY RATE AND THE TENN SPREAD 67 3.3.1 THE BASE
MODEL 67 3.3.2 EONIA ADJUSTMENT WITHIN AND AT THE END OF THE RESERVE
PERIOD 68 3.4 ASYMMETRIES IN EONIA ADJUSTMENT AND THE IMPACT OF THE
AUCTION FORMAT 72 3.5 CONCLUSIONS 76 3.6 APPENDIX 78 3.7 REFERENCES 81 |
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| author | Offermanns, Christian J. 1975- |
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| illustrated | Illustrated |
| index_date | 2024-07-02T14:29:19Z |
| indexdate | 2024-07-09T20:38:16Z |
| institution | BVB |
| language | English |
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| physical | XII, 84 S. graph. Darst. |
| publishDate | 2005 |
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| spelling | Offermanns, Christian J. 1975- Verfasser (DE-588)131383477 aut Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy vorgelegt von Christian J. Offermanns 2005 XII, 84 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2006 Gleichgewichtstheorie (DE-588)4071876-1 gnd rswk-swf Euro Währung (DE-588)4408931-4 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Euro Währung (DE-588)4408931-4 s Wechselkursänderung (DE-588)4129405-1 s Geldpolitik (DE-588)4019902-2 s Gleichgewichtstheorie (DE-588)4071876-1 s DE-604 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014760549&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Offermanns, Christian J. 1975- Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy Gleichgewichtstheorie (DE-588)4071876-1 gnd Euro Währung (DE-588)4408931-4 gnd Geldpolitik (DE-588)4019902-2 gnd Wechselkursänderung (DE-588)4129405-1 gnd |
| subject_GND | (DE-588)4071876-1 (DE-588)4408931-4 (DE-588)4019902-2 (DE-588)4129405-1 (DE-588)4113937-9 |
| title | Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy |
| title_auth | Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy |
| title_exact_search | Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy |
| title_exact_search_txtP | Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy |
| title_full | Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy vorgelegt von Christian J. Offermanns |
| title_fullStr | Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy vorgelegt von Christian J. Offermanns |
| title_full_unstemmed | Exchange rates, prices, and interest rates in the Euro area equilibrium dynamics and determinants of monetary policy vorgelegt von Christian J. Offermanns |
| title_short | Exchange rates, prices, and interest rates in the Euro area |
| title_sort | exchange rates prices and interest rates in the euro area equilibrium dynamics and determinants of monetary policy |
| title_sub | equilibrium dynamics and determinants of monetary policy |
| topic | Gleichgewichtstheorie (DE-588)4071876-1 gnd Euro Währung (DE-588)4408931-4 gnd Geldpolitik (DE-588)4019902-2 gnd Wechselkursänderung (DE-588)4129405-1 gnd |
| topic_facet | Gleichgewichtstheorie Euro Währung Geldpolitik Wechselkursänderung Hochschulschrift |
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