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Taylor Rule Exchange Rate Forecasting During the Financial Crisis

Molodtsova, Tanya - 2012

interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with …

Persistent link: https://www.econbiz.de/10012460332

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market

Elliott, Graham - 1995

This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...

Persistent link: https://www.econbiz.de/10012473491

Currency Crashes in Emerging Markets : Empirical Indicators

Frankel, Jeffrey A. - 1996

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine...

Persistent link: https://www.econbiz.de/10012473427

The impact of subprime mortgage on correlation between stock and FX markets

Chang, Hsiu-yun; Kuo, Yen-ching - In: Applied economics letters 17 (2010) 13/15, pp. 1309-1312

Persistent link: https://www.econbiz.de/10008938303

The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets

Aizenman, Joshua - 2019

Financial Crisis (GFC). Applying the annual data of 58 countries, we confirm that countries that trade more with the US, euro … zone, UK, and Japan, and issue more debt denominated in the big four currencies (US dollar, euro, pound, yen) hoard more IR … economic factors. We also find that TARGET2 balances matter for the currency composition in the euro zone; commodity …

Persistent link: https://www.econbiz.de/10012479884

Currency Centrality in Equity Markets, Exchange Rates and Global Financial Cycles

Rey, Hélène; Stavrakeva, Vania; Tang, Jenny - National Bureau of Economic Research - 2024

The paper explores empirically the tight links between exchange rates and the global network of equity holdings. Exchange rates can be expressed in terms of "equity net currency supplies", i.e. local currency stock market capitalization minus equity holdings, denominated in investors'...

Persistent link: https://www.econbiz.de/10015072944

Identifying Exchange Rate Common Factors

Greenaway-McGrevy, Ryan - 2017

-factor model. We identify them as a dollar factor and a euro factor. Exchange rates are thus driven by global, US, and Euro …

Persistent link: https://www.econbiz.de/10012453985

Fixed Exchange Rates and Trade

Klein, Michael W. - 2004

A classic argument for a fixed exchange rate is its promotion of trade. Empirical support for this, however, is mixed. While one branch of research consistently shows a small negative effect of exchange rate volatility on trade, another, more recent, branch presents evidence of a large positive...

Persistent link: https://www.econbiz.de/10012467995

Five Facts about the UIP Premium

Kalemli-Ozcan, Sebnem; Varela, Liliana - National Bureau of Economic Research - 2021

We document five novel facts about Uncovered Interest Parity (UIP) deviations vis-à-vis the U.S. dollar for 34 currencies of advanced economies and emerging markets, using survey data on expected exchange rate. First, the UIP premium co-moves with global risk perception (VIX) for all...

Persistent link: https://www.econbiz.de/10012585407

The Global Dollar Cycle

Obstfeld, Maurice; Zhou, Haonan - National Bureau of Economic Research - 2023

The U.S. dollar's nominal effective exchange rate closely tracks global financial conditions, which themselves show a cyclical pattern. Over that cycle, world asset prices, leverage, and capital flows move in concert with global growth, especially influencing the fortunes of emerging and...

Persistent link: https://www.econbiz.de/10014247924