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A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs

Goswami, Gautam; Shrikhande, Milind; Wu, Liuren - EconWPA - 2002

term volatility of the real exchange rate with its slow convergence to parity. Further, the drift and diffusion of the real exchange …

Persistent link: https://www.econbiz.de/10005076998

CAN LONG HORIZON DATA BEAT RANDOM WALK UNDER ENGEL-WEST EXPLANATION?

Wang, Jian - EconWPA - 2005

Engel and West (2004a) provide an explanation to reconcile the random walk behavior of exchange rate and linear present value asset pricing models. In this paper, we study the long horizon property of exchange rate under Engel-West explanation. It is found that the long horizon data can not...

Persistent link: https://www.econbiz.de/10005556624

Persistence Characteristics of Latin American Financial Markets

KYAW, NYO NYO A.; LOS, CORNELIS A.; ZONG, SIJING - EconWPA - 2004

Static time series models usually assume stationarity, normality, and independence for the increments of financial rates of return. This paper investigates the empirical characteristics of financial rates of return from Latin American stock and currency markets and documents that their empirical...

Persistent link: https://www.econbiz.de/10005561684

Return-volatility linkages in the international equity and currency markets

Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004

provides a parsimonious way of testing mean- volatility relationships in currency and equity markets and re-examining the …

Persistent link: https://www.econbiz.de/10005413091

Consumers Sentiment and Cognitive Macroeconometrics Paradoxes and Explanations

Bovi, Maurizio - EconWPA - 2005

Using data from the Business Surveys Unit of the European Commission, this paper examines how, and how accurately, people assess economic systems. As expected, respondents demonstrate to know their own situation better than the system wide one, and the past better than the future. Also,...

Persistent link: https://www.econbiz.de/10005125017

TESTING THE CAUSAL RELATIONSHIP BETWEEN DOMESTIC CREDIT AND RESERVE COMPONENTS OF A COUNTRY'S MONETARY BASE

Feige, Edgar L.; Johannes, James M. - EconWPA - 2004

An important factor that helps distinquish between alternative balance of payments theories is the assumed causal relationship between the domestic credit and reserve components of a country's monetary base. This paper reports test results of this causal relationship in Austrailia, Belgium,...

Persistent link: https://www.econbiz.de/10005119426

Exchange rate exposure of stock returns at firm level

Premaratne, Gamini; Jayasinghe, Prabhath - EconWPA - 2005

The use of conventional augmented CAPM specification in estimating the exchange rate exposure may result in less reliable estimates for, at least, two reasons. First, it does not take into account a few important stylized facts associated with financial time series. Second, one cannot estimate...

Persistent link: https://www.econbiz.de/10005119493

Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach

Chen, Shiu-Sheng - EconWPA - 2003

price volatility, we present a model with multiple equilibria, which thereafter implies a possible switching between the … regimes of high and low volatility of the exchange rates. The theoretical model motivates us to adopt a Markov …

Persistent link: https://www.econbiz.de/10005062695

The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection

Hillebrand, Eric; Schnabl, Gunther - EconWPA - 2004

We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since … results for the impact of foreign exchange intervention on the yen/dollar exchange rate volatility are inconclusive. Sub … 1990s Japanese foreign exchange intervention seems to have increased the volatility of the yen/dollar exchange rate. In …

Persistent link: https://www.econbiz.de/10005556654

The Interaction between Technical Currency Trading and Exchange Rate Fluctuations

Schulmeister, Stephan - EconWPA - 2005

This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of...

Persistent link: https://www.econbiz.de/10005561584