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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

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

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

Purchasing power parity: an empirical study of three EMU countries

Duarte, António Portugal - EconWPA - 2005

We apply Purchasing Power Parity (PPP) theory to the analysis of long- run equilibrium in the foreign exchange market. We study the case of Portugal vis-à-vis Germany and Spain, and the case of Spain vis-à-vis Germany, in the period 1960-1990. The empirical analysis was based on unit-root...

Persistent link: https://www.econbiz.de/10005408164

German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs

Entorf; Jamin - EconWPA - 2005

This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways, e.g. by us-ing multi-factor modelling instead of augmented CAPM,...

Persistent link: https://www.econbiz.de/10005408197

Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets

LOS, CORNELIS A. - EconWPA - 2004

For the first time, non-parametric statistical tests, originally developed by Sherry (1992) to test the efficiency of information processing in nervous systems, are used to ascertain if the Asian FX rates followed random walks. The stationarity and serial independence of the price changes are...

Persistent link: https://www.econbiz.de/10005413228

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