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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
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Japanese foreign exchange intervention and the Yen/Dollar exchange rate : a simultaneous equations approach using realized volatility
Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006
Persistent link: https://www.econbiz.de/10003364632
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003965099
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High-frequency analysis of foreign exchange interventions : what do we learn?
Menkhoff, Lukas (contributor) - 2008
direction. Interventions increase volatility in the short run as they are regarded as information; but they can reduce … volatility overall. Ways of transmission may reach beyond the signaling channel and also include the portfolio balance and a …
Persistent link: https://www.econbiz.de/10003790983
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …
Persistent link: https://www.econbiz.de/10003861767
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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
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On the inclusion of the Chinese Renminbi in the SDR basket
Bénassy-Quéré, Agnès; Capelle, Damien - 2012
volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much … stable, at least in the short and medium run. -- SDR ; renminbi ; international monetary system ; foreign exchange volatility …
Persistent link: https://www.econbiz.de/10009682824
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International portfolio flows and exchange rate volatility for emerging markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015
This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …
Persistent link: https://www.econbiz.de/10011387464
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An empirical investigation into exchange rate regime choice and exchange rate volatility
Berger, Helge; Sturm, Jan-Egbert; Haan, Jakob de - 2000
also look at the impact of mistakes in exchange rate regime choice on actual (nominal) exchange rate volatility. Countries … higher exchange rate volatility than other countries having a fixed exchange rate regime. We also investigate the role of …
Persistent link: https://www.econbiz.de/10009781534
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499671