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The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa
Égert, Balázs - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10010273784
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Do Commodity Futures Help Forecast Spot Prices?
Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures...
Persistent link: https://www.econbiz.de/10009369445
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The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa
Egert, Balazs - William Davidson Institute, University of Michigan - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollareuro exchange rate on...
Persistent link: https://www.econbiz.de/10008529003
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The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa
Egert, Balazs - CESifo - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10005000381
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The Volatility Trap; Precautionary Saving, Investment, and Aggregate Risk
Cherif, Reda; Hasanov, Fuad - International Monetary Fund (IMF) - 2012
We study the effects of permanent and temporary income shocks on precautionary saving and investment in a "store-or-sow" model of growth. High volatility of permanent shocks results in high precautionary saving in the safe asset and low investment, or a "volatility trap." Namely, big savers...
Persistent link: https://www.econbiz.de/10011242299
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
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After the Boom–Commodity Prices and Economic Growth in Latin America and the Caribbean
Gruss, Bertrand - International Monetary Fund (IMF) - 2014
After skyrocketing over the past decade, commodity prices have remained stable or eased somewhat since mid-2011—and most projections suggest they are not likely to resume the upward trend observed in the last decade. This paper analyzes what this turn in the commodity price cycle may...
Persistent link: https://www.econbiz.de/10011142049
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Understanding Markov-switching rational expectations models
Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao - 2009
We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models, and we develop an algorithm to check these conditions in practice. We use three examples, based on the new Keynesian model of...
Persistent link: https://www.econbiz.de/10010292280
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Public Debt, Economic Growth and Nonlinear Effects: Myth or Reality
Egert, Balazs - 2013
nonlinear relationship between debt and growth is very sensitive to modelling choices. We also show that when nonlinearity is …
Persistent link: https://www.econbiz.de/10010292693
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Nonlinearity as an explanation of the forward exchange rate anomaly
Bond, Derek; Hession, Niall; Harrison, Michael J.; … - 2008
This paper shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using … sterling-Canadian dollar data, and modelling nonlinearity of unspecified form by means of a random field, we find strong … evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of …
Persistent link: https://www.econbiz.de/10010292850