Showing 1 - 10 of 2,363
We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes periods of severe stress, such as the Global Financial Crisis, the COVID-19 pandemic and the Ukrainian War. Using...
Persistent link: https://www.econbiz.de/10014505308
We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...
Persistent link: https://www.econbiz.de/10003997605
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10009011774
This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …
Persistent link: https://www.econbiz.de/10011507830
This paper studies the impact of a broadening of the SDR basket to the Chinese currency on the composition and volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much more significant impact can be expected in the next...
Persistent link: https://www.econbiz.de/10009682824
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro … seven developed countries, four of them Euro-area members. Second, we aggregate the European variables and estimate a model … for the Euro-dollar real exchange rate using time series techniques. After identification and model selection, the same …
Persistent link: https://www.econbiz.de/10011538958
Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate …
Persistent link: https://www.econbiz.de/10009707558
This paper analyses co-movement between Bitcoin exchanges in 34 major countries around the world and the US (the global …
Persistent link: https://www.econbiz.de/10012158101
This paper establishes a causal link between the dollar exchange rate and international trade flows, employing a new instrument for the U.S. Dollar that is based on domestic U.S. housing activity (Ma and Zhang (2019)). In line with the dominant currency paradigm (Gopinath et al. (2020)), import...
Persistent link: https://www.econbiz.de/10012319440
Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the...
Persistent link: https://www.econbiz.de/10013383435