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~institution:"CESifo"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"Monte Carlo methods"
~subject:"central bank communication"
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Erasmus University Rotterdam, Econometric Institute
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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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Nonlinearities and outliers: robust specification of STAR models
Escribano, A.
;
Franses, Ph.H.B.F.
;
Dijk, D.J.C. van
-
Erasmus University Rotterdam, Econometric Institute
-
1998
Outliers and
nonlinearity
may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …
Persistent link: https://www.econbiz.de/10008584751
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