Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis
This paper examines the changes induced by the actual financial crisis in the dynamic relation between the currency rates and the differentials of the interest rates from Romania and euro area. In the framework of the Uncovered Interest Rate Parity hypothesis we apply the Vector Autoregressive methodology for daily values of the currency rates and the interest rates during the crisis. We compare the results obtained with a similar analysis for a period of time before the crisis began and we find significant differences.
|Date of creation:||07 Sep 2009|
|Date of revision:||04 Mar 2010|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bennett T. McCallum, 1992.
"A Reconsideration of the Uncovered Interest Parity Relationship,"
NBER Working Papers
4113, National Bureau of Economic Research, Inc.
- McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
- repec:cup:cbooks:9780521466004 is not listed on IDEAS
- Shinji Takagi, 1991. "Exchange Rate Expectations: A Survey of Survey Studies," IMF Staff Papers, Palgrave Macmillan, vol. 38(1), pages 156-183, March.
- Kenneth A. Froot & Takatoshi Ito, 1988.
"On the Consistency of Short-run and Long-run Exchange Rate Expectations,"
NBER Working Papers
2577, National Bureau of Economic Research, Inc.
- Froot, Kenneth A. & Ito, Takatoshi, 1989. "On the consistency of short-run and long-run exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 487-510, December.
- Saikkonen, Pentti & L tkepohl, Helmut, 2002.
"Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time,"
Cambridge University Press, vol. 18(02), pages 313-348, April.
- Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Testing for a unit root in a time series with a level shift at unknown time," SFB 373 Discussion Papers 1999,72, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Helmut Luetkepohl & Pentti Saikkonen, 2000. "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Econometric Society World Congress 2000 Contributed Papers 0342, Econometric Society.
- repec:cup:cbooks:9780521460477 is not listed on IDEAS
- Markku Lanne & Helmut Lutkepohl & Pentti Saikkonen, 2003.
"Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 65(1), pages 91-115, February.
- Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001. "Test procedures for unit roots in time series with level shifts at unknown time," SFB 373 Discussion Papers 2001,39, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- D'Amato, M. & Pistoresi, B., 1999.
"Interest Rate Spreads between Italy and Germany 1995-1997,"
Economics Working Papers
eco99/8, European University Institute.
- Marcello D'Amato & Barbara Pistoresi, 2001. "Interest rate spreads between Italy and Germany: 1995-1997," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 603-612.
- Ronald Macdonald & Mark P. Taylor, 1992.
"Exchange Rate Economics: A Survey,"
IMF Staff Papers,
Palgrave Macmillan, vol. 39(1), pages 1-57, March.
- Geert Bekaert & Min Wei & Yuhang Xing, 2002.
"Uncovered Interest Rate Parity and the Term Structure,"
NBER Working Papers
8795, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1038-1069, October.
- Wu, Jyh-Lin, 1999. "A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 319-336, February.
- Froot, Kenneth A & Thaler, Richard H, 1990. "Foreign Exchange," Journal of Economic Perspectives, American Economic Association, vol. 4(3), pages 179-92, Summer.
- Geert Bekaert & Campbell R. Harvey, 2000.
"Foreign Speculators and Emerging Equity Markets,"
Journal of Finance,
American Finance Association, vol. 55(2), pages 565-613, 04.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," William Davidson Institute Working Papers Series 79, William Davidson Institute at the University of Michigan.
- Loopesko, Bonnie E., 1984. "Relationships among exchange rates, intervention, and interest rates: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 257-277, December.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:41744. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.