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Author
Fahrholz Christian (Friedrich-Schiller-University Jena), Schneider Gerald (University of Konstanz, Germany)
Title
A Not So Delicate Sound of Europeanness : European Fiscal Policy Events and the Euro-Dollar Risk Premium
Source
Bank i Kredyt, 2012, nr 1, s. 5-25, tab., bibliogr. 31 poz.
Keyword
Unia Gospodarcza i Walutowa (UGW), Kurs walutowy, Euro, Premia za ryzyko, Polityka budżetowa, Model GARCH
Economic and Monetary Union (EMU), Exchange rates, Euro, Risk premium, Budgetary policy, GARCH model
Note
summ.
Abstract
Although the European Monetary Union (EMU) is mainly an economic institution, its future has always hinged upon political manoeuvres. This article examines whether and to what extent non-scheduled and scheduled political events concerning the fiscal governance framework of the EMU have influenced foreign exchange markets. In particular, we estimate how decisions made by the European Commission, the Economic and Financial Affairs Council and the European Council affected the systematic euro-dollar risk premium. Analysing daily data from 2001 to 2005 with a Component GARCH model, we show how the political rhetoric and action have influenced financial markets. Our empirical results highlight crucial shortcomings of the fiscal policy framework of the EMU. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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Bibliography
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ISSN
0137-5520
Language
eng
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