321 Ergebnisse, ab 231
Diskussionspapiere 1288 / 2013

The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, ...

2013| Guglielmo Maria Caporale, Luis A. Gil-Alana, Yuliya Lovcha
DIW Economic Bulletin 44 / 2015

The Ruble between the Hammer and the Anvil: The Impact of Oil Prices and Economic Sanctions

The Russian economy is tightly woven into the global economy, and is therefore highly dependent on the development of exchange rates. Since 2014, the ruble has fallen by more than 50 percent against the US dollar. The de¬valuation goes hand in hand with the Western sanctions that were imposed due to the political tensions between Russia and Ukraine. At the same time, the decline in oil prices may also ...

2015| Christian Dreger, Konstantin Kholodilin
DIW Wochenbericht 44 / 2015

Der Rubel zwischen Hammer und Amboss: der Einfluss von Ölpreisen und Wirtschaftssanktionen

Die russische Wirtschaft ist stark international verflochten und deshalb in hohem Grad von der Entwicklung der Wechselkurse abhängig. Seit 2014 verlor der Rubel mehr als 50 Prozent gegenüber dem Dollar. Die Abwertung der Währung geht einher mit den westlichen Sanktionen, die auf die Spannungen zwischen Russland und der Ukraine zurückzuführen sind. Allerdings könnte auch der Rückgang der Ölpreise zum ...

2015| Christian Dreger, Konstantin Kholodilin
Externe referierte Aufsätze

On the Empirical Relevance of the Lucas Critique: The Case of Euro Area Money Demand

This paper examines the relevance of the Lucas critique for euro area money demand. Based on the money in the utility function approach, a vector error correction model is specified to investigate the relationship between money and inflation in times of policy shifts. A well defined equation for money demand is obtained. The results indicate that the evolution of M3 is still in line with money demand. ...

In: Empirica 43 (2016), 1, S. 61-82 | Christian Dreger, Jürgen Wolters
Externe referierte Aufsätze

Unconventional Monetary Policy and Money Demand

This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. Our empirical evidence shows the existence of stable long run money demand functions even in the period of interest rates near the zero bound, both for the US economy and the euro area. Evidence is based on standard monetary aggregates, i.e. MZM for the US and ...

In: Journal of Macroeconomics 46 (2015), S. 40-54 | Christian Dreger, Jürgen Wolters
Diskussionspapiere 1605 / 2016

Monetary Policy and Mispricing in Stock Markets

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a "leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue that mispricing can arise for two reasons: (i) from false subjective expectations of investors about future ...

2016| Benjamin Beckers, Kerstin Bernoth
Diskussionspapiere 1559 / 2016

Monetary Policy and Defaults in the US

This paper uses a structural VAR model to study the effect of monetary policy on the delinquency rate of business loans and consumer credit. The VAR is identified using at the same time several external instruments, which cover different approaches from the literature. Delinquency rates, defined as the rate of loans whose repayment is overdue for more than a month relative to total loans, are found ...

2016| Michele Piffer
Externe referierte Aufsätze

Basil J. Moore's Horizontalists and Verticalists: An Appraisal 25 Years Later

In 1988 Basil Moore published his book Horizontalists and Verticalists: The Macroeconomics of Credit Money, which this year celebrates its 25th birthday. We discuss this book from today's perspective, and in particular whether Moore's main assertions have been validated or rejected by the development of central bank practice and academic monetary economics. We find that the book has impressively stood ...

In: Review of Keynesian Economics 1 (2013), 4, S. 383-390 | Ulrich Bindseil, Philipp König
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