Monitoring Euro Area Real Exchange Rates

被引：2

作者：

Aschersleben, Phillip ^{[1
]}

Wagner, Martin ^{[1
]}

Wied, Dominik ^{[1
]}

机构：

[1] Tech Univ Dortmund, Fac Stat, Vogelpothsweg 87, D-44227 Dortmund, Germany

来源：

STOCHASTIC MODELS, STATISTICS AND THEIR APPLICATIONS | 2015年 / 122卷

关键词：

REGRESSIONS; INFERENCE;

D O I：

10.1007/978-3-319-13881-7_40

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We apply the stationarity and cointegration monitoring procedure of Wagner and Wied in (Monitoring stationarity and cointegration. SFB823 Discussion Paper 23/14. http://hdl.handle.net/2003/33430, 2014) to monthly real exchange rate indices, vis-a-vis Germany, of the first round Euro area member states. For all countries except Portugal structural breaks are detected prior to the onset of the Euro area crisis triggered in turn by the global financial crisis. The results indicate that a more detailed investigation of RER behavior in the Euro area may be useful for understanding the unfolding of the deep crisis currently plaguing many countries in the Euro area.

引用

页码：363 / 370

页数：8

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