IDEAS home Printed from https://ideas.repec.org/p/diw/diwwpp/dp1119.html
   My bibliography  Save this paper

Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis

Author

Listed:
  • Joscha Beckmann
  • Ansgar Belke
  • Frauke Dobnik

Abstract

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model.

Suggested Citation

  • Joscha Beckmann & Ansgar Belke & Frauke Dobnik, 2011. "Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis," Discussion Papers of DIW Berlin 1119, DIW Berlin, German Institute for Economic Research.
  • Handle: RePEc:diw:diwwpp:dp1119
    as

    Download full text from publisher

    File URL: https://www.diw.de/documents/publikationen/73/diw_01.c.371800.de/dp1119.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Kühl, Michael, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," University of Göttingen Working Papers in Economics 76, University of Goettingen, Department of Economics.
    3. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2004. "Some cautions on the use of panel methods for integrated series of macroeconomic data," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 322-340, December.
    4. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-1042, November.
    5. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, vol. 20(3), pages 597-625, June.
    6. Haug, Alfred A. & MacKinnon, James G. & Michelis, Leo, 2000. "European Monetary Union: a cointegration analysis," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 419-432, June.
    7. Goldberg, Michael D & Frydman, Roman, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 421-435, October.
    8. M. Hashem Pesaran, 2021. "General diagnostic tests for cross-sectional dependence in panels," Empirical Economics, Springer, vol. 60(1), pages 13-50, January.
    9. Gregory C. Reinsel & Sung K. Ahn, 1992. "Vector Autoregressive Models With Unit Roots And Reduced Rank Structure:Estimation. Likelihood Ratio Test, And Forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(4), pages 353-375, July.
    10. Urbain, J.R.Y.J. & Westerlund, J., 2006. "Spurious regression in nonstationary panels with cross-unit cointegration," Research Memorandum 057, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    11. Sarno,Lucio & Taylor,Mark P., 2003. "The Economics of Exchange Rates," Cambridge Books, Cambridge University Press, number 9780521485845, November.
    12. Jan J. J. Groen, 2002. "Cointegration and the Monetary Exchange Rate Model Revisited," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 361-380, September.
    13. Hakkio, Craig S., 1984. "A re-examination of purchasing power parity : A multi-country and multi-period study," Journal of International Economics, Elsevier, vol. 17(3-4), pages 265-277, November.
    14. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
    15. Mark, Nelson C. & Sul, Donggyu, 2001. "Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel," Journal of International Economics, Elsevier, vol. 53(1), pages 29-52, February.
    16. Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 653-670, November.
    17. Maddala, G S & Wu, Shaowen, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-652, Special I.
    18. Dreger, Christian, 2010. "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 21(3), pages 274-285.
    19. Martin Wagner & Jaroslava Hlouskova, 2010. "The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 182-223, April.
    20. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
    21. McMillan, David G., 2005. "Smooth-transition error-correction in exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 217-232, August.
    22. Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach," Global Finance Journal, Elsevier, vol. 15(3), pages 321-335, February.
    23. Wagner, Helmut, 2000. "Which exchange rate regimes in an era of high capital mobility?," The North American Journal of Economics and Finance, Elsevier, vol. 11(2), pages 191-203, December.
    24. Nelson C. Mark & Donggyu Sul, 2003. "Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 655-680, December.
    25. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
    26. Cerra, Valerie & Saxena, Sweta Chaman, 2010. "The monetary model strikes back: Evidence from the world," Journal of International Economics, Elsevier, vol. 81(2), pages 184-196, July.
    27. Pedroni, Peter, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-670, Special I.
    28. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2005. "Testing for PPP: Should we use panel methods?," Empirical Economics, Springer, vol. 30(1), pages 77-91, January.
    29. Christian Gengenbach & Franz C. Palm & Jean‐Pierre Urbain, 2006. "Cointegration Testing in Panels with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 683-719, December.
    30. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
    31. Roman Frydman & Michael D. Goldberg, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," Working Papers 50, Oesterreichische Nationalbank (Austrian Central Bank).
    32. Wu, Yangru, 1996. "Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 54-63, February.
    33. Jan J. J. Groen, 1999. "Long horizon predictability of exchange rates: Is it for real?," Empirical Economics, Springer, vol. 24(3), pages 451-469.
    34. Basher, Syed A. & Westerlund, Joakim, 2009. "Panel cointegration and the monetary exchange rate model," Economic Modelling, Elsevier, vol. 26(2), pages 506-513, March.
    35. Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Markov switching regimes in a monetary exchange rate model," Economic Modelling, Elsevier, vol. 22(3), pages 485-502, May.
    36. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
    37. Abuaf, Niso & Jorion, Philippe, 1990. "Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
    38. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    39. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
    40. Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
    41. Husted, Steven & MacDonald, Ronald, 1998. "Monetary-based models of the exchange rate: a panel perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 1-19, January.
    42. Rafael E. De Hoyos & Vasilis Sarafidis, 2006. "Testing for cross-sectional dependence in panel-data models," Stata Journal, StataCorp LP, vol. 6(4), pages 482-496, December.
    43. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    44. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
    45. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
    46. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
    47. Groen, Jan J J, 2002. "Cointegration and the Monetary Exchange Rate Model Revisited," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 361-380, September.
    48. Phengpis, Chanwit & Nguyen, Vanthuan, 2009. "Policy coordination and risk premium in foreign exchange markets for major EU currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 47-62, February.
    49. Rapach, David E. & Wohar, Mark E., 2004. "Testing the monetary model of exchange rate determination: a closer look at panels," Journal of International Money and Finance, Elsevier, vol. 23(6), pages 867-895, October.
    50. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
    51. G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
    52. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    53. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
    2. Evžen Kočenda & Mathilde Maurel & Gunther Schnabl, 2013. "Short- and Long-term Growth Effects of Exchange Rate Adjustment," Review of International Economics, Wiley Blackwell, vol. 21(1), pages 137-150, February.
    3. de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
    4. Ain Shahrier, Nur, 2022. "Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    5. Burret, Heiko T. & Feld, Lars P. & Köhler, Ekkehard A., 2016. "(Un-)Sustainability of Public Finances in German Laender: A Panel Time Series Approach," Economic Modelling, Elsevier, vol. 53(C), pages 254-265.
    6. Beckmann, Joscha, 2013. "Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 176-190.
    7. Joscha Beckmann & Robert Czudaj, 2017. "Effective Exchange Rates, Current Accounts and Global Imbalances," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 500-533, August.
    8. Iorio, Francesca Di & Fachin, Stefano, 2014. "Savings and investments in the OECD, 1970–2007: A test of panel cointegration with regime changes," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 59-76.
    9. Jingfei Wu & Mohsen Bahmani-Oskooee & Tsangyao Chang, 2018. "Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 187-196, February.
    10. Belke, Ansgar & Rees, Andreas, 2014. "Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 306-321.
    11. Dąbrowski, Marek A. & Papież, Monika & Śmiech, Sławomir, 2014. "Exchange rates and monetary fundamentals in CEE countries: Evidence from a panel approach," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 148-159.
    12. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    13. Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.
    14. Robert Czudaj & Joscha Beckmann, 2012. "Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test," Economics Bulletin, AccessEcon, vol. 32(2), pages 1695-1707.
    15. Evžen Kocenda & Mathilde Maurel & Gunther Schnabl, 2012. "Short-Term and Long-Term Growth Effects of Exchange Rate Adjustment," CESifo Working Paper Series 4018, CESifo.
    16. Nguyen, Quynh Nga & Bedoui, Rihab & Majdoub, Najemeddine & Guesmi, Khaled & Chevallier, Julien, 2020. "Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory," Resources Policy, Elsevier, vol. 68(C).
    17. Kristina Spantig, 2015. "International monetary policy spillovers—can the RMB and the euro challenge the hegemony of the US dollar?," Asia Europe Journal, Springer, vol. 13(4), pages 459-478, December.
    18. Nazlioglu, Saban, 2014. "Trends in international commodity prices: Panel unit root analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 441-451.
    19. José M. Alonso & Judith Clifton & Daniel Díaz-Fuentes, 2015. "Did New Public Management Matter? An empirical analysis of the outsourcing and decentralization effects on public sector size," Public Management Review, Taylor & Francis Journals, vol. 17(5), pages 643-660, May.
    20. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
    21. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
    22. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    23. Piotr Kębłowski, 2016. "Canonical Correlation Analysis in Panel Vector Error Correction Model. Performance Comparison," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(4), pages 203-217, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:zbw:rwirep:0252 is not listed on IDEAS
    2. Joscha Beckmann & Ansgar Belke & Frauke Dobnik, 2011. "Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis," Ruhr Economic Papers 0252, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    3. Frauke Dobnik, 2011. "OLong-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 0237, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    4. repec:zbw:rwirep:0237 is not listed on IDEAS
    5. Dobnik, Frauke, 2011. "Long-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 237, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    6. Frauke Dobnik, 2013. "Long-run money demand in OECD countries: what role do common factors play?," Empirical Economics, Springer, vol. 45(1), pages 89-113, August.
    7. Dobnik, Frauke, 2011. "Energy Consumption and Economic Growth Revisited: Structural Breaks and Cross-section Dependence," Ruhr Economic Papers 303, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    8. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    9. Frauke Dobnik, 2011. "Energy Consumption and Economic Growth Revisited: Structural Breaks and Cross-section Dependence," Ruhr Economic Papers 0303, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    10. repec:zbw:rwirep:0303 is not listed on IDEAS
    11. Dąbrowski, Marek A. & Papież, Monika & Śmiech, Sławomir, 2014. "Exchange rates and monetary fundamentals in CEE countries: Evidence from a panel approach," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 148-159.
    12. R. Golinelli & I. Mammi & A. Musolesi, 2018. "Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area," Working Papers wp1120, Dipartimento Scienze Economiche, Universita' di Bologna.
    13. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
    14. Belke, Ansgar & Dobnik, Frauke & Dreger, Christian, 2011. "Energy consumption and economic growth: New insights into the cointegration relationship," Energy Economics, Elsevier, vol. 33(5), pages 782-789, September.
    15. Acikgoz, Senay & Ben Ali, Mohamed Sami, 2019. "Where does economic growth in the Middle Eastern and North African countries come from?," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 172-183.
    16. In Choi, 2012. "Panel Cointegration," Working Papers 1208, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    17. Kamrul Hassan & Ruhul Salim, 2011. "The linkage between relative population growth and purchasing power parity," International Journal of Development Issues, Emerald Group Publishing Limited, vol. 10(2), pages 154-169, July.
    18. Fantazzini , Dean, 2009. "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 100-127.
    19. Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011. "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-43, September.
    20. Pedro M. G. Martins, 2010. "Aid Absorption and Spending in Africa: A Panel Cointegration Approach," Working Paper Series 1010, Department of Economics, University of Sussex Business School.
    21. Anna Bottaso & Carolina Castagnetti & Maurizio Conti, 2011. "And Yet they Co-Move! Public Capital and Productivity in OECD: A Panel Cointegration Analysis with Cross-Section Dependence," Quaderni di Dipartimento 154, University of Pavia, Department of Economics and Quantitative Methods.
    22. Sung, Bongsuk & Song, Woo-Yong, 2014. "How government policies affect the export dynamics of renewable energy technologies: A subsectoral analysis," Energy, Elsevier, vol. 69(C), pages 843-859.
    23. Valérie Mignon & Christophe Hurlin, 2007. "Une synthèse des tests de cointégration sur données de panel," Économie et Prévision, Programme National Persée, vol. 180(4), pages 241-265.

    More about this item

    Keywords

    Monetary exchange rate model; common factors; panel data; cointegration; vector error-correction models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:diw:diwwpp:dp1119. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bibliothek (email available below). General contact details of provider: https://edirc.repec.org/data/diwbede.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.