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The impact of monetary policy signals on the intradaily euro-dollar volatility

Mokhtar, Darmoul - HAL - 2006

In this paper, we investigate the impact of monetary policy signals stemming from the ECB Council and the FOMC on the intradaily Euro-dollar volatility, using high-frequency data (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure...

Persistent link: https://www.econbiz.de/10010750789

Equilibrium on International Assets and Goods Markets

Fontaine, Patrice; Van, Cuong Le - HAL - 2010

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...

Persistent link: https://www.econbiz.de/10010603675

Switching Between Expectation Processes in the Foreign Exchange Market: A Probabilistic Approach Using Survey Data

Prat, Georges; Uctum, Remzi - HAL - 2007

This paper relaxes a fundamental hypothesis commonly accepted in the expectation formation literature: expectations are, unchangingly, either rational or generated by one of the three simple extrapolative, regressive or adaptive processes. Using expectations survey data provided by Consensus...

Persistent link: https://www.econbiz.de/10008789553

Fractional integration and cointegration in stock prices and exchange rates

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - HAL - 2010

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

Persistent link: https://www.econbiz.de/10008793955

Forecasting exchange rates better than the random walk thanks to machine learning techniques

Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - HAL - 2014

Using methods from machine learning - adaptive sequential ridge regression with discount factors - that prevent overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP, UIRP and monetary models consistently improve the...

Persistent link: https://www.econbiz.de/10010899931

Understanding Exchange Rates Dynamics

Addo, Peter Martey; Billio, Monica; Guegan, Dominique - HAL - 2013

With the emergence of the chaos theory and the method of surrogates data, nonlinear approaches employed in analysing time series typically suffer from high computational complexity and lack of straightforward explanation. Therefore, the need for methods capable of characterizing time series in...

Persistent link: https://www.econbiz.de/10010635079

Agricultural primary commodity export and environmental degradation: what consequences for population's health?

Drabo, Alassane - HAL - 2011

In the economic literature it is generally found that trade openness affects environment through various channels …. While the mechanisms through which trade is associated with pollution are largely investigated theoretically and empirically …, the role played by each trade component has not yet received enough attention. This paper attempts to bridge this gap by …

Persistent link: https://www.econbiz.de/10009643223

The Rise of China in Sub-Saharan Africa: its Ambiguous Economic Impacts

Sindzingre, Nicole Alice - HAL - 2011

combine trade, aid and investment, which may create 'lock-in' effects. China's trade and investment focus on the commodities …

Persistent link: https://www.econbiz.de/10009353553

Trade, conflicts and political integration : explaining the heterogeneity of regional trade agreements

Vicard, Vincent - HAL - 2008

This paper investigates the determinants of the shape of regional trade agreements (RTAs). Because the world is … constituted by independent political entities, international trade flows take place in a system where property rights are … unsecured and RTAs should be understood as regulation mechanisms. In this theoretical framework, trade and security issues …

Persistent link: https://www.econbiz.de/10010750549

Unemployment and interactions between trade and labour market institutions

Boulhol, Hervé - HAL - 2008

study generalises Davis' (1998) idea according to which the institutions of the trade partners matter also for a country … evidence that the interactions between bilateral trade and relative labour market regulations affect the equilibrium …

Persistent link: https://www.econbiz.de/10010750945