caa a22 4500 445859032 CHVBK 20180317145437.0 cr unu---uuuuu 170323e20110401xx s 000 0 eng 10.1007/s10290-010-0074-6 doi (NATIONALLICENCE)springer-10.1007/s10290-010-0074-6 The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach [Elektronische Daten] [Joscha Beckmann, Ansgar Belke, Michael Kühl] This paper investigates the temporal stability of the relationship between the Deutschmark/US dollar exchange rate and macroeconomic fundamentals. We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we come up with some interesting properties of our empirical model. Firstly, there is no stable long-run equilibrium relationship among fundamentals and exchange rates, since the breakdown of Bretton Woods. Secondly, there are no recurring regimes, i.e. across different regimes, either the coefficient values for the same fundamentals differ or the significance differs. Thirdly, there is no regime into which no fundamentals enter. Fourthly, the deviations resulting from the stepwise cointegrating relationship act as a significant error-correction mechanism. In other words, we are able to show that fundamentals play an important role in determining the exchange rate, but their impact differs significantly across different subperiods. The Author(s), 2010 Structural exchange rate models nationallicence Cointegration nationallicence Structural breaks nationallicence Switching regression nationallicence Time-varying coefficient approach nationallicence Beckmann Joscha Department of Economics, University of Duisburg-Essen, 45117, Essen, Germany aut Belke Ansgar Department of Economics, University of Duisburg-Essen, 45117, Essen, Germany aut Kühl Michael Department of Economics, University of Göttingen, 37073, Göttingen, Germany aut Review of World Economics Springer-Verlag 147/1(2011-04-01), 11-40 1610-2878 147:1<11 2011 147 10290 https://doi.org/10.1007/s10290-010-0074-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10290-010-0074-6 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Beckmann Joscha Department of Economics, University of Duisburg-Essen, 45117, Essen, Germany aut NATIONALLICENCE 700 1- Belke Ansgar Department of Economics, University of Duisburg-Essen, 45117, Essen, Germany aut NATIONALLICENCE 700 1- Kühl Michael Department of Economics, University of Göttingen, 37073, Göttingen, Germany aut NATIONALLICENCE 773 0- Review of World Economics Springer-Verlag 147/1(2011-04-01), 11-40 1610-2878 147:1<11 2011 147 10290 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer