Availability: Exchange rates, prices, and interest rates in the Euro area

Exchange rates, prices, and interest rates in the Euro area: equilibrium dynamics and determinants of monetary policy

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Bibliographic Details
Main Author:	Offermanns, Christian J. 1975- (Author)
Format:	Book
Language:	English
Published:	2005
Subjects:	Gleichgewichtstheorie Euro > Währung Geldpolitik Wechselkursänderung Hochschulschrift
Links:	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
Item Description:	Frankfurt am Main, Univ., Diss., 2006
Physical Description:	XII, 84 S. graph. Darst.

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Record in the Search Index

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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
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language	English
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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_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
url	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
work_keys_str_mv	AT offermannschristianj exchangeratespricesandinterestratesintheeuroareaequilibriumdynamicsanddeterminantsofmonetarypolicy

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