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Structural breaks in the real exchange rate adjustment mechanism

Copeland, Laurence S.; Heravi, Saeed M. - In: Applied financial economics 19 (2009) 1/3, pp. 121-134

We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al....

Persistent link: https://www.econbiz.de/10003825837

Time-varying betas of sectoral returns to market returns and exchange rate movements

Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168

Persistent link: https://www.econbiz.de/10010204788

Cointegrating behaviour between spot and forward exchange rates

McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144

Persistent link: https://www.econbiz.de/10003213501

A re-examination of the predicting power of forward premia

Wang, Peijie - In: Applied financial economics 15 (2005) 17, pp. 1219-1225

Persistent link: https://www.econbiz.de/10003228794

Real exchange rate volatility and exchange rate regimes : evidence from long-term data

Hasan, Shahriar - In: Economics letters 52 (1996) 1, pp. 67-73

Persistent link: https://www.econbiz.de/10001207394

Testing efficient market hypothesis for the dollar-sterling gold standard exchange rate 1890 - 1906 : MLE with double truncation

Goldman, Elena - In: Economics letters 69 (2000) 3, pp. 253-259

Persistent link: https://www.econbiz.de/10001525548

Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?

Jiang, Christine X.; Chiang, Thomas C. - In: Applied financial economics 10 (2000) 1, pp. 95-104

Persistent link: https://www.econbiz.de/10001525818

Using a VECM to test exogeneity and forecastability in the PPP condition

Norrbin, Stefan C. - In: Applied financial economics 7 (1997) 1, pp. 87-95

Persistent link: https://www.econbiz.de/10001219233

Exchange rate returns, "news", and risk premia

Koedijk, Kees; Wolff, Christiaan Cornelis Petrus - In: Economics letters 50 (1996) 1, pp. 127-134

Persistent link: https://www.econbiz.de/10001194154

The monetary approach to the exchange rate : long-run relationships and coefficient restrictions

MacDonald, Ronald - In: Economics letters 37 (1991) 2, pp. 179-185

Persistent link: https://www.econbiz.de/10001114349

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