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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubak, Vit - 2013
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10013094673
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
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International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
Caporale, Guglielmo Maria - 2015
Pakistan, Thailand, and the Philippines, whilst they increase the probability of staying in the high volatility state in the …This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong …
Persistent link: https://www.econbiz.de/10013009868
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Exchange Rate Volatility and Growth in Emerging Europe and East Asia
Schnabl, Gunther - 2021
The paper investigates the impact of exchange rate volatility on growth in Emerging Europe and East Asia. Exchange … panel estimations provide evidence for a negative impact of exchange rate volatility on growth both in Emerging Europe and …
Persistent link: https://www.econbiz.de/10013317017
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10013126003
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Price Formation on the EuroMTS Platform
Caporale, Guglielmo Maria - 2013
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10013095113
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The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets
Égert, Balázs - 2013
news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …
Persistent link: https://www.econbiz.de/10013079876
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The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate : Evidence from South Africa
Égert, Balázs - 2013
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10013095999
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On the Inclusion of the Chinese Renminbi in the SDR Basket
Bénassy-Quéré, Agnès - 2013
volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much …
Persistent link: https://www.econbiz.de/10013089684
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The Signaling Channel of Central Bank Interventions : Modelling the Yen/US Dollar Exchange Rate
Chen, Yu-Fu - 2013
This paper presents a theoretical framework analyzing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...
Persistent link: https://www.econbiz.de/10013092279