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Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10010877722

Nominal and Real Exchange Rate Models in South Africa: How Robust are they?

Egert, Balazs - CESifo - 2012

This paper addresses difficulties in modelling exchange rates in South Africa. Real exchange rate models of earlier research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation methods. Alternative exchange rate models proposed in...

Persistent link: https://www.econbiz.de/10010554826

The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets

Egert, Balazs; Kocenda, Evžen - CESifo - 2013

news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

Persistent link: https://www.econbiz.de/10010668471

Dumping in Developing and Transition Economies

Moraga-González, José Luis; Viaene, Jean-Marie - CESifo - 2004

We build a simple theoretical model to understand why developing and transition economies have increasingly applied anti-dumping laws. To that end, we investigate the strategic incentives of oligopolistic exporting firms to undertake dumping in these economies. We show that dumping may be due to...

Persistent link: https://www.econbiz.de/10005765640

Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach

Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael - CESifo - 2008

rate’s volatility are dominated by the other determinants. …

Persistent link: https://www.econbiz.de/10005765679

China’s Exchange Rate and International Adjustment in Wages, Prices, and Interest Rates: Japan Déjà Vu?

McKinnon, Ronald Ian; Schnabl, Gunther - CESifo - 2006

China keeps its exchange rate tightly fixed to the dollar. Its productivity growth and trade surplus have been high, and it continues to accumulate large dollar reserves. Many observers take this as evidence that the renminbi is undervalued and should be appreciated to reduce the Chinese trade...

Persistent link: https://www.econbiz.de/10005765836

Exchange Rate Pass-Through in the Deflationary Japan: How Effective is the Yen’s Depreciation for Fighting Deflation?

Fujii, Eiji - CESifo - 2004

There is an increasing endorsement for the yen’s depreciation as a means to fight the ongoing deflation in Japan. The idea of generating inflation via depreciation relies on the assumption that exporters pass-through most of the effect of the exchange rate changes to the Japanese importers and...

Persistent link: https://www.econbiz.de/10005766039

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

Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book

Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - CESifo - 2008

increases exchange rate volatility (and spread) for the next minutes but that intervention days show a lower degree of … volatility (and spread) than non-intervention days. We also show for intraday data that the price impact of interbank order flow … position taking, the targeted exchange rate range holds and volatility, spread and price impact go down. Overall, the credible …

Persistent link: https://www.econbiz.de/10005181265

Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach

Bauer, Christian; Grauwe, Paul De; Reitz, Stefan - CESifo - 2007

puzzles of exchange rates: excessive volatility, fat tails, volatility clustering, and disconnection from the fundamentals. In … addition, the target zone regime replicates a reduced nominal volatility for the same level of fundamental volatility as in the …

Persistent link: https://www.econbiz.de/10005405760