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Exchange rate parities and taylor rule deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role … follows. First, the nonlinear specification provides much stronger evidence for the PPP and UIP conditions, the estimated … exchange rate from the PPP- and UIP-implied equilibrium. …
Persistent link: https://www.econbiz.de/10012491545
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Black market and official exchange rates : long-run equilibrium and short-run dynamics
Caporale, Guglielmo Maria (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003397221
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China, Hong Kong, and Taiwan : a quantitative assessment of real and financial integration
Cheung, Yin-Wong; Chinn, Menzie David; Fujii, Eiji - 2003
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10011514149
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The euro exchange rate and Germany's trade surplus
Hohberger, Stefan; Ratto, Marco; Vogel, Lukas - 2019
We estimate a three-region (DE-REA-RoW) structural macroeconomic model, and we provide a counterfactual on how nominal exchange rate flexibility would have affected the German trade balance (TB) by simulating the shocks of the estimated model under a counterfactual flexible exchange rate regime....
Persistent link: https://www.econbiz.de/10011983671
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Volume and volatility in the FX-market : does it matter who you are?
Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - 2002
The relationship between volume and volatility has received much attention in the the literature of financial markets. However, due to the lack of data, few results have been presented for the foreign exchange market. Further, most studies contain only aggregate series, and can not distinguish...
Persistent link: https://www.econbiz.de/10011539127
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Non-linearities in the relation between the exchange rate and its fundamentals
Altavilla, Carlo (contributor); De Grauwe, Paul (contributor) - 2005
This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First, we develop a simple theoretical model in which chartists and fundamentalists interact. This model predicts the existence of different regimes, and thus nonlinearities in the...
Persistent link: https://www.econbiz.de/10003202226
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel (contributor); De Grauwe, Paul (contributor);  … - 2005
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10003113337
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Total, asymmetric and frequency connectedness between oil and forex markets
Baruník, Jozef; Kočenda, Evžen - 2019
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...
Persistent link: https://www.econbiz.de/10012035050
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A panel data investigation of real exchange rate misalignment and growth
MacDonald, Ronald; Vieira, Flavio Vilela - 2010
The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (using fixed and random effects) for the real exchange rate, with different model specifications, in...
Persistent link: https://www.econbiz.de/10003969632
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International investment positions and exchange rate dynamics : a dynamic panel analysis
Binder, Michael (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003599280