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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít; Kočenda, Evžen; Zikes, Filip - 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 realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10003969723
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Vehicle currency pricing and exchange rate pass-through
Chen, Natalie; Chung, Wanyu; Novy, Dennis - 2019
Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of transactions in our sample invoiced in neither sterling nor the exporter's currency. We then study the relationship between invoicing currency choices and...
Persistent link: https://www.econbiz.de/10012029070
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641741
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The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate : evidence from South Africa
Égert, Balázs - 2009
premium and changes in the dollar-euro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also …
Persistent link: https://www.econbiz.de/10003831962
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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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Long memory and fractional integration in high frequency data on the US Dollar
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
. -- high frequency data ; long memory ; volatility persistence ; structural breaks …
Persistent link: https://www.econbiz.de/10009736739
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Modeling optimism and pessimism in the foreign exchange market
De Grauwe, Paul (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496811
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Does the nominal exchange rate regime matter for investment?
Böhm, Hjalmar; Funke, Michael - 2001
exchange rate regimes indicates that currency volatility exerts only a small influence upon the level of investment spending …
Persistent link: https://www.econbiz.de/10011400788
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The U.S. dollar exchange rate and the demand for oil
De Schryder, Selien; Peersman, Gert - 2013
Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate leads to a significant decline in oil demand for a sample of 65 oil-importing countries. The estimated effect turns out to be much larger than the impact of a shift in the...
Persistent link: https://www.econbiz.de/10009707558
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Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … analysis of bilateral euro-based exchange rates, given the euro's prominent role during the euro area sovereign debt crisis. …
Persistent link: https://www.econbiz.de/10010462763