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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubák, Vít; Kocenda, Evžen; Zikes, Filip - CESifo - 2010
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...
Persistent link: https://www.econbiz.de/10008572532
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'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks
Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - CESifo - 2009
What is the role of “large players” like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players...
Persistent link: https://www.econbiz.de/10005181546
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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593
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Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book
Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - CESifo - 2009
beliefs of market participants. We find for our sample that intervention increases exchange rate volatility (and spread) for … the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We … also show for intraday data that the price impact of interbank order flow is smaller on intervention days than on non-intervention …
Persistent link: https://www.econbiz.de/10004979392
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The Impact of Fiscal Rules on Public Finances : Theory and Empirical Evidence for the Euro Area
Marneffe, Wim - 2011
This paper presents a review of the most significant fiscal rules policymakers can choose from. The insights from this review are then applied to the current budgetary situation of the European Union. In the European Union, the supranational Stability and Growth Pact (SGP) should provide the...
Persistent link: https://www.econbiz.de/10013131350
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Exchange Rate Uncertainty and International Portfolio Flows
Caporale, Guglielmo Maria - 2013
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10013081704
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Forecasting Exchange Rates : An Investor Perspective
Melvin, Michael - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10013081705
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On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10013083258
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Exchange Rate Expectations of Chartists and Fundamentalists
Dick, Christian David - 2013
This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally...
Persistent link: https://www.econbiz.de/10013083266
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Testing Uncovered Interest Rate Parity Using LIBOR
Omer, Muhammad - 2013
We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...
Persistent link: https://www.econbiz.de/10013090772