Narrow search
Showing 1 - 10 of 1,342
Cover Image
Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 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/10009743826
Cover Image
The offshore renminbi exchange rate : microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...
Persistent link: https://www.econbiz.de/10010367171
Cover Image
Global investors, the dollar, and U.S. credit conditions
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2018
This paper documents that an appreciation of the U.S. dollar is associated with a reduction in the supply of commercial and industrial loans by U.S. banks. An increase in the broad dollar index by 2.5 points (one standard deviation) reduces U.S. banks' corporate loan originations by 10 percent....
Persistent link: https://www.econbiz.de/10011922169
Cover Image
Foreign currency loans and credit risk : evidence from U.S. banks
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2017
When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks' regulatory filings, this paper studies the effect of exchange rate changes on firms’ loan payments. A 10...
Persistent link: https://www.econbiz.de/10011741340
Cover Image
Import competition and the great US employment sag of the 2000s
Acemoglu, Daron; Autor, David H.; Dorn, David; Hanson, … - 2015
Even before the Great Recession, U.S. employment growth was unimpressive. Between 2000 and 2007, the economy gave back … the considerable employment gains achieved during the 1990s, with a historic contraction in manufacturing employment being … force behind both recent reductions in U.S. manufacturing employment and-through input-output linkages and other general …
Persistent link: https://www.econbiz.de/10010528328
Cover Image
Monetary policy, model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - 2010
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard present value exchange rate models. Agents are uncertain about the true data generating model and deal with the model uncertainty by making inference on the models and their...
Persistent link: https://www.econbiz.de/10003937806
Cover Image
The Euro/Dollar exchange rate : chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...
Persistent link: https://www.econbiz.de/10009011774
Cover Image
The signalling channel of central bank interventions : modelling the yen
Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - 2011
This paper presents a theoretical framework analysing 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/10009312174
Cover Image
Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate
Jansen, David-Jan; Haan, Jakob de - 2003
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 find that the Bundesbank has dominated the news...
Persistent link: https://www.econbiz.de/10011507830
Cover Image
The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus seven developed countries, four of them...
Persistent link: https://www.econbiz.de/10011538958