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The Microstructure of Exchange Rate Management: FX Intervention and Capital Controls in Brazil
Roure, Calebe de; Furnagiev, Steven; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013
This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...
Persistent link: https://www.econbiz.de/10010886994
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The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - Institut für Weltwirtschaft (IfW) - 2002
This paper presents evidence on the accuracy of press reports regarding the foreign exchange market interventions conducted by the Bank of Japan (BoJ) between January 1995 and December 1999. We find that the reports of interventions in the financial press are a relatively inaccurate indicator...
Persistent link: https://www.econbiz.de/10005755250
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Forecast Evaluation of Explanatory Models of Financial Return Variability
Sucarrat, Genaro - Institut für Weltwirtschaft (IfW) - 2008
A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...
Persistent link: https://www.econbiz.de/10005083354
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Exchange Rate Forecasts and Expected Fundamentals
Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - Institut für Weltwirtschaft (IfW) - 2014
Using a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls....
Persistent link: https://www.econbiz.de/10011074718
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Multifractal Models in Finance: Their Origin, Propterties, and Applications
Segnon, Mawuli; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013
forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and … estimation, and the current state of their empirical applications …
Persistent link: https://www.econbiz.de/10010886985
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Capital Flows, Financial Asset Prices and Real Financial Market Exchange - Rate: A Case Study for an Emerging Market, India
Ghosh, Saurabh; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2012
In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The...
Persistent link: https://www.econbiz.de/10010886833
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Real Financial Market Exchange Rates and Capital Flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan; Taylor, Mark P. - Institut für Weltwirtschaft (IfW) - 2014
Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which...
Persistent link: https://www.econbiz.de/10010886943
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Exchange Rates in Target Zones - Evidence from the Danish Krone
Taylor, Mark P.; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013
Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official target zone of 4.5%, most of the time the exchange rate has remained in a narrow range around its unconditional mean. Estimating a Smooth Transition Autoregression Target Zone (STARTZ) model...
Persistent link: https://www.econbiz.de/10010905572
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Asymmetry and Spillover Effects in the North American Equity Markets
Canarella, Giorgio; Sapra, Sunil K.; Pollard, Stephen K. - Institut für Weltwirtschaft (IfW) - 2007
account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …
Persistent link: https://www.econbiz.de/10005097471
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Exchange Rate Expectations Redux and Monetary Policy
Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002
This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects of permanent monetary policy shocks diminish...
Persistent link: https://www.econbiz.de/10005700523