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Autor
Fahrholz Christian (Friedrich-Schiller-University Jena), Schneider Gerald (University of Konstanz, Germany)
Tytuł
A Not So Delicate Sound of Europeanness : European Fiscal Policy Events and the Euro-Dollar Risk Premium
Źródło
Bank i Kredyt, 2012, nr 1, s. 5-25, tab., bibliogr. 31 poz.
Słowa kluczowe
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
Uwagi
summ.
Abstrakt
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)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
0137-5520
Język
eng
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