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Modeling and forecasting realized volatility

Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002020013

Exchange Rate Fluctuations, Pass-Through, and Market Share

International Monetary Fund - 1989

When the exchange rate fluctuates and the market exhibits hysteresis, planning horizons of domestic and foreign competitors will matter in determining pass-through as well as relative market shares of these firms. Using the Cournot duopoly model, it is shown that if the foreign exporter is a...

Persistent link: https://www.econbiz.de/10014396230

External Adjustment and the Strong Yen : Recent Japanese Experience

International Monetary Fund - 1988

The parameters of a conventional model of Japan’s current account were found to be stable in the period of the steeply … rising yen between the fourth quarter of 1985 and the end of 1987. This suggests that Japan’s current account has been … that the rise in the yen has already made a substantial contribution to correcting Japan’s external imbalance …

Persistent link: https://www.econbiz.de/10014395784

Export Pricing Behavior of Manufactuting : U.S.-Japan Comparison

International Monetary Fund - 1988

manufacturers is compared. Major export industries in Japan have higher productivity growth and lower pass-through coefficients than …

Persistent link: https://www.econbiz.de/10014395791

Exchange Rate Movements and International Interdependence of Stock Markets

International Monetary Fund - 1989

This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic...

Persistent link: https://www.econbiz.de/10014396348