Arbeitspapier
How stable are monetary models of the Dollar-Euro exchange rate? A time-varying coefficient approach
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we come up with interesting properties of our empirical models. First, there is no stable long-run equilibrium relationship among fundamentals and exchange rates since the breakdown of Bretton Woods. Second, there are no recurring regimes, i.e. across different regimes either the coefficient values for the same fundamentals differ or the significance differs. Third, there is no regime in which no fundamentals enter. Fourth, the deviations resulting from the stepwise cointegrating relationship act as a significant error-correction mechanism. In other words, we are able to show that fundamentals play an important role in determining the exchange rate although their impact differs significantly across different sub-periods.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 944
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Foreign Exchange
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Structural exchange rate models
cointegration
structural breaks
switching regression
time-varying coefficient approach
Wechselkurs
US-Dollar
Euro
Monetäre Wechselkurstheorie
Kointegration
Strukturbruch
Regression
Schätzung
USA
EU-Staaten
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beckmann, Joscha
Belke, Ansgar
Kühl, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Beckmann, Joscha
- Belke, Ansgar
- Kühl, Michael
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2009
Ähnliche Objekte (12)
How stable are monetary models of the dollar-euro exchange rate? A time-varying coefficient approach
How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach
Towards a genuine economic and monetary Union-comments on a roadmap
Naturkatastrophe in Japan : Verwerfungen auf den Weltfinanzmärkten?: Kommentar
Ausstieg aus der unkonventionellen Geldpolitik - die EZB sollte vorangehen : Kommentar
Wettbewerbsfähigkeit - eine Obsession Europas? : Kommentar
Wachwechsel in der EZB - Trichets Erbe : Kommentar
Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland
Helicopter Money: Should Central Banks Rain Money from the Sky?
The euro area crisis management framework: Consequences and institutional follow-ups
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Central bank communication: Managing expectations through the monetary dialogue
How stable are monetary models of the dollar-euro exchange rate? A time-varying coefficient approach
How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach
Towards a genuine economic and monetary Union-comments on a roadmap
Naturkatastrophe in Japan : Verwerfungen auf den Weltfinanzmärkten?: Kommentar
Ausstieg aus der unkonventionellen Geldpolitik - die EZB sollte vorangehen : Kommentar
Wettbewerbsfähigkeit - eine Obsession Europas? : Kommentar
Wachwechsel in der EZB - Trichets Erbe : Kommentar
Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland
Helicopter Money: Should Central Banks Rain Money from the Sky?
The euro area crisis management framework: Consequences and institutional follow-ups
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Central bank communication: Managing expectations through the monetary dialogue
How stable are monetary models of the dollar-euro exchange rate? A time-varying coefficient approach
How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach
Towards a genuine economic and monetary Union-comments on a roadmap
Naturkatastrophe in Japan : Verwerfungen auf den Weltfinanzmärkten?: Kommentar
Ausstieg aus der unkonventionellen Geldpolitik - die EZB sollte vorangehen : Kommentar
Wettbewerbsfähigkeit - eine Obsession Europas? : Kommentar
Wachwechsel in der EZB - Trichets Erbe : Kommentar
Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland
Helicopter Money: Should Central Banks Rain Money from the Sky?
The euro area crisis management framework: Consequences and institutional follow-ups
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield