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Exchange Rates, Innovations and Forecasting

Wolff, Christian C - C.E.P.R. Discussion Papers - 1987

In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange … rate determination. A general finding is that the "news" formulation of monetary exchange rate models leads to relatively … models were not properly tested in a "news" framework. …

Persistent link: https://www.econbiz.de/10005792277

Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions

Bayoumi, Tamim; MacDonald, Ronald - C.E.P.R. Discussion Papers - 1998

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group are...

Persistent link: https://www.econbiz.de/10005666879

Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates

Artis, Michael J; Zhang, Wenda - C.E.P.R. Discussion Papers - 1997

This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM … given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility … clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility …

Persistent link: https://www.econbiz.de/10005792273

Can Oil Prices Forecast Exchange Rates?

Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10009359490

A Perspective on Modelling the Real Trade Weighted Index Since the Float

Aruman, Shakila; Dungey, Mardi - Research School of Economics, College of Business and … - 2001

Persistent link: https://www.econbiz.de/10004967982

Ageing Gracefully? A Bootstrap Analysis of Poverty Among Pensioners Using Evidence from the PACO Databases

Heinrich, Georges - C.E.P.R. Discussion Papers - 1998

In 1998 Hungary embarked on a course of comprehensive pension reform. The reforms are likely to change the distribution of incomes of future generations. The purpose of this paper is two-fold. From a policy point of view, we analyse poverty and income inequality among pensioners in Hungary...

Persistent link: https://www.econbiz.de/10005791337

Selecting Copulas for Risk Management

Koedijk, Kees; Kole, Erik; Verbeek, Marno - C.E.P.R. Discussion Papers - 2006

Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a portfolio and are preferable to the traditional, correlation-based approach. In this paper we show the importance of selecting an accurate copula for risk management. We extend...

Persistent link: https://www.econbiz.de/10005792215

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...

Persistent link: https://www.econbiz.de/10005124143

The Determinants of Realignment Expectations Under the EMS - Some Empirical Regularities

Chen, Zhaohui; Giovannini, Alberto - C.E.P.R. Discussion Papers - 1993

The stability of the EMS depends crucially on the realignment expectations of market participants. In this paper we discuss how to measure such expectations and how to relate them to economic fundamentals, central bank reputation, and the institutional arrangements of the EMS. We find the...

Persistent link: https://www.econbiz.de/10005136742

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2002

It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted as an indication that in-sample evidence is likely to be spurious and should be discounted. In this Paper we question this conventional...

Persistent link: https://www.econbiz.de/10005124323

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