The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis

This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)’s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality running one-way from bond yield differentials to the exchange rate, but not the other way around.Causality, Exchange rate, Long-term interest rates, Rolling regression

On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey

We examine the predictive ability and consistency properties of exchange rate expectations for the dollar/euro using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. Our results suggest that the PwC panel have some forecasting ability for time horizons from 3 to 9 months, although only for the 3-month ahead expectations we obtain marginal evidence of unbiasedness and efficiency in the forecasts. As for the consistency properties of the exchange rate expectations formation process, we find that survey participants form stabilising expectations in the short-run and destabilising expectations in the long- run and that the expectation formation process is closer to fundamentalists than chartists.Exchange rates, Forecasting; Expectations; Panel data; Econometric models

Under the same sky with Amanar

Due to its technological, scientific and cultural dimensions, astronomy is a unique discipline to help achieve the United Nations Sustainable Development Goals. According to the United Nations High Commissioner for Refugees (UNHCR), there are currently nearly 30 million refugees in the world. While there are many (and very necessary) programmes supporting their basic needs, different indicators suggest that the resolution to refugee and internal displacement situations require not only humanitarian interventions, but also development-led actions. One of these initiatives is Amanar: Under the Same Sky, a project designed to support the Sahrawi refugee community by using astronomy to enhance their resilience and engagement in the community, through skill development and self-empowerment activities.Comment: 5 pages, 2 figures. Comment published on Nature Astronom

El tipo de cambio dólar estadounidense‑euro y el diferencial del rendimiento de los bonos entre EE. UU. y la Zona Euro: Un análisis de causalidad

This paper tests for causality between the US dollar‑euro exchange rate and US‑EMU bond yield differentials. To that end, we apply Hsiao’s (1981) sequential procedure to daily data covering the 1999‑2011 period. Our results suggest the existence of statistically significant Granger causality running one‑way from bond yield differentials to the exchange rate, but not the other way round. The results do not change when using short‑term interest rate differentials or when we examine the Japanese yen‑euro exchange rate. Nevertheless, we detect bi‑directional Granger causality between the pound sterling‑euro exchange rate and the short‑term interest rate differential between UK and EMUEste trabajo realiza un contraste de causalidad entre el tipo de cambio dólar estadounidense‑euro y el diferencial de rendimiento de los bonos entre Estados Unidos y la Zona Euro. Para ello, se aplica el procedimiento secuencial de Hsiao (1981) a datos diarios para el período 1999‑2011. Nuestros resultados sugieren la existencia de causalidad en el sentido de Granger estadísticamente significativa desde el diferencial de rendimiento de los bonos hacia el tipo de cambio, pero no a la inversa. Los resultados no cambian cuando se usan diferenciales de tipos de interés a corto plazo o cuando se analiza el tipo de cambio yen japonés‑euro, sin embargo, detectamos causalidad bidireccional de Granger entre el tipo de cambio libra esterlina‑euro y el diferencial del tipo de interés a corto plazo entre el Reino Unido y la Zona EuroWe are also grateful for the financial support from the Spanish Ministry of Science and Innovation (ECO2011-23189). María del Carmen Ramos‑Herrera also acknowledges her grant (F.P.U.) from the Spanish Ministry of Science and Innovation (Ref. AP2008‑004015

Detection of implicit fluctuation bands and their credibility in EU candidate countries

This paper attempts to identify implicit exchange-rate regimes for currencies of candidate countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data covering the period from 1999:01 to 2012:12. Our results would suggest that implicit bands have existed in many sub-periods for almost all currencies under study. Once we detect de facto discrepancies between de facto and de iure exchange-rate regimes, we make use of different methods to study the credibility of the detected fluctuation bands. The detected lack of credibility in a high percentage of the sample is robust to the use of several credibility tests, suggesting that economic agents do not behave as if these bands actually were in force at time of making their financial plans. These countries do not improve the confidence on the fluctuation bands as time evolves

Headline and Core Inflation: An Empirical Analysis Based on the ECB Survey of Professional Forecasters

Quantifying individual expectations has become a very important topic in economics, both for academic researchers and policymakers. One of the most relevant advantages of collecting probabilistic expectations is that the quantitative answers can be used to compare predictions across different agents and time, as well as to analyse their consistency. The Survey of Professional Forecasters (SPF) conducted by the European Central Bank (ECB) offers expectations about real economic growth, inflation and unemployment rates. In this case, we focus on point and probability distribution forecasts for headline and core inflation rates. Since 1999, this SPF has been conducted quarterly. This survey collects responses from financial and other institutions from around the European Union. It is usually based on approximately 75 professional forecasters with an average of 60 respondents for each round. It is subject to revisions during the survey, adapting to different circumstances. These panellists usually update their forecasts following data releases or other events (such as the financial crisis) and some of them may also update because of significant shocks

Economic growth and deviations from the equilibrium exchange rate

This paper investigates the heterogeneous relationship between per capita economic growth rate and the deviations from the equilibrium exchange rate, as different types of countries might exhibit different dynamics, and macro variables cannot easily capture region-specific heterogeneity. Using annual data for 103 countries during the 1996?2016 period and applying the novel grouped fixed effects estimator developed by Bonhomme and Manresa (2015), the empirical analysis presented in this paper indicates that such relationship varies across groups of countries, endogenously identifying six groups with different time patterns and a different estimated impact (ranging from -0.0643 to -0.0014). Overall, our findings imply that deviations from the equilibrium exchange rate reduce the pace of real economic growth, regardless of income category, documenting that the effects are most pronounced for advanced economies, followed by low income developing countries and, finally, for emerging economies Our results also suggest that fixed and intermediate exchange rate regimes severely slow down economic growth.Ministerio de Economía y Competitivida

Granger causality between public debt and economic growth: further evidence from panel data

This paper examines the causal relationships between public debt and economic growth. To that end, we employ the novel homogeneous approach to testing for Granger non-causality in a heterogeneous panel to a sample of 115 countries from 1995 to 2016. This methodology suits high persistence, moderate time dimension and heterogeneous nuisance parameters. Our results indicate that when examining the pairwise relationship, in most of cases, there is a unidirectional Granger-causality relationship running from debt to growth. Nevertheless, when controlling for the explanatory variables that have been consistently identified as drivers of growth in the literature, in all the cases, we find evidence of bidirectional Granger-causality between public debt and economic growthMinisterio de Economía y Competitivida