Search Results - subject:"Rate"

A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA

Hoencamp, J. H.; Jain, Surbhi; Kandhai, B. D. - In: Quantitative finance 24 (2024) 3/4, pp. 409-432

Persistent link: https://www.econbiz.de/10014552078

Pass-through with volatile exchange rates and inflation targeting

Alexius, Annika; Holmberg, Mikaela - In: Review of world economics 160 (2024) 2, pp. 377-387

Persistent link: https://www.econbiz.de/10014557659

The impact of exchange rate fluctuations on markups : firm-level evidence for Switzerland

Steiner, Elizabeth - 2024

Persistent link: https://www.econbiz.de/10014490488

Monetary policy in Sweden after the end of Bretton Woods

Bylund, Emma; Iversen, Jens; Vredin, Anders - 2024

rate regime (1973 - 1992) and the inflation targeting regime (1993 - 2022). Inflation in Sweden has been more stable under … the inflation targeting regime than under both the Bretton Woods system, and the pegged-but-adjustable exchange rate …

Persistent link: https://www.econbiz.de/10014481194

The monetary model of exchange rate determination for South Africa

Msomi, Simiso; Ngalawa, Harold - In: Economies : open access journal 12 (2024) 8, pp. 1-16

The disconnect between the exchange rate and its macroeconomic fundamentals has been extensively discussed in the … relationship between the exchange rate and its fundamentals. This study used the monetary model of exchange rate determination … developed in the 1970s. The study used the TAR to estimate the exchange change rate behaviour in response to variations in …

Persistent link: https://www.econbiz.de/10015070839

Exchange rate regimes in India : central bank interventions and purchasing power parity in the context of ASEAN currencies

Siddharth, Angad; Alexiou, Constantinos; Vogiazas, Sofoklis - In: Economies : open access journal 12 (2024) 4, pp. 1-21

) interventions and the validity of Purchasing Power Parity (PPP) across two distinct exchange rate regimes: the fixed exchange rate … reveals that under the fixed exchange rate regime, the environment is conducive to PPP due to frequent interventions by the …

Persistent link: https://www.econbiz.de/10014635893

US monetary policy and real exchange rate dynamics : the role of exchange rate arrangements and capital controls

Ma, Zhenyu; Wang, Junbo; Wang, Ning; Xiao, Zehua - In: Economics letters 242 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015079990

Analyzing exchange market pressure dynamics with Markov regime switching : the case of Turkey

İlhan, Ali; Akdeniz, Coşkun; Özdemir, Metin - In: Organizations and markets in emerging economies 13 (2022) 1/25, pp. 238-259

This study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low- and high-pressure periods....

Persistent link: https://www.econbiz.de/10013279667

A roadmap to a successful exchange rate regime transition : takeaways from 6 African transitions

Bouhali, Hamza; Dahbani, Ahmed; Dinar, Brahim - In: Organizations and markets in emerging economies 14 (2023) 3/29, pp. 600-620

This article investigates the role of monetary policies in the success of exchange rate regime transition and the … crisis. The results of this study will provide policymakers with a road map to succeed in the exchange rate regime transition …

Persistent link: https://www.econbiz.de/10014534992

Analysing quantiles in models of forward term rates

McWalter, Thomas A.; Schlögl, Erik; Van Appel, Jacques - In: Risks : open access journal 11 (2023) 2, pp. 1-18

The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...

Persistent link: https://www.econbiz.de/10014233216