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Fixed versus Flexible : Lessons from EMS Order Flow
Killeen, William P. - 2001
This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two ways. First, our microstructural model provides a qualitatively new explanation for the puzzle. Second, we test implications of our model using Europe's recent shift to rigidly...
Persistent link: https://www.econbiz.de/10012470227
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Taylor Rule Exchange Rate Forecasting During the Financial Crisis
Molodtsova, Tanya - 2012
interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with …
Persistent link: https://www.econbiz.de/10012460332
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One Money, One Market : Estimating the Effect of Common Currencies on Trade
Rose, Andrew K. - 1999
A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international trade. The panel data set used includes bilateral observations for five years spanning 1970 through 1990 for 186 countries. In this data set, there are over one hundred...
Persistent link: https://www.econbiz.de/10012471350
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The Determinants of the Choice between Fixed and Flexible Exchange-Rate Regimes
Edwards, Sebastian - 1996
In recent years, analysts and policy makers alike have been evaluating the nexus between exchange rates and macroeconomic stability. Among the most important questions is why have some countries adopted rigid, including fixed, exchange-rate paper addresses this question from a political economy...
Persistent link: https://www.econbiz.de/10012473078
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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham - 1995
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...
Persistent link: https://www.econbiz.de/10012473491
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D. - 1994
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...
Persistent link: https://www.econbiz.de/10012474328
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Forward and Spot Exchange Rates in a Multi-currency World
Hassan, Tarek A. - 2014
Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...
Persistent link: https://www.econbiz.de/10012458373
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Productivity and the Euro-Dollar Exchange Rate Puzzle
Alquist, Ron - 2002
This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985 … the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area … estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity …
Persistent link: https://www.econbiz.de/10012469891
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The World Price of Foreign Exchange Risk
Dumas, Bernard - 1993
We consider a world capital market in which the investor population is heterogenous. Investors of different countries … CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim … securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature …
Persistent link: https://www.econbiz.de/10012474487
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Analyzing Investments Whose Histories Differ in Length
Stambaugh, Robert F. - 1997
-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk … the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the … sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates …
Persistent link: https://www.econbiz.de/10012472906