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The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?
Federici, Daniela; Gandolfo, Giancarlo - CESifo - 2011
The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents’ beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...
Persistent link: https://www.econbiz.de/10009020093
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Forecasting Exchange Rates: An Investor Perspective
Melvin, Michael; Prins, John; Shand, Duncan - CESifo - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10010659187
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High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?
Menkhoff, Lukas - CESifo - 2008
direction. Interventions increase volatility in the short run as they are regarded as information; but they can reduce … volatility overall. Ways of transmission may reach beyond the signaling channel and also include theportfolio balance and a …
Persistent link: https://www.econbiz.de/10005765791
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The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market
Cheung, Yin-Wong; Rime, Dagfinn - CESifo - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...
Persistent link: https://www.econbiz.de/10010786745
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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubák, Vít; Kocenda, Evžen; Zikes, Filip - CESifo - 2010
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10008572532
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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
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The Undisclosed Renminbi Basket: Are the Markets Telling us something about where the Renminbi – US Dollar Exchange Rate is Going?
Funke, Michael; Gronwald, Marc - CESifo - 2008
. Specifically, the nonlinear models allow for a smooth transition from one optimal level to another. Our estimation results imply …
Persistent link: https://www.econbiz.de/10005765921
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Exchange Rates and fundamentals - a Non-Linear Relationship?
Grauwe, Paul De; Vansteenkiste, Isabel - CESifo - 2001
We test whether the relationship between the nominal exchange rate and the news in its underlying fundamentals has non-linear features. In order to do so, we develop a Markov switching model and apply it to a sample of low and high inflation countries. The empirical analysis shows that for the...
Persistent link: https://www.econbiz.de/10005406259
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Exchange Rates and Asset Prices: Heterogeneous Agents at Work
Piccillo, Giulia - CESifo - 2013
volatility of these markets. The simulated series replicate the stylized facts of real data. We also estimate the DSGE and …
Persistent link: https://www.econbiz.de/10010665041
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Gold, Oil, and Stocks: Dynamic Correlations
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10011272625