Showing 1 - 10 of 59
A simulation exercise is conducted to find out if the profitability of forecasting-based currency trading is more related to the ability of the underlying model to predict the direction of change than the magnitude of the forecasting error. Theoretical considerations show that a correct...
Persistent link: https://www.econbiz.de/10010991439
We investigate long-run relations and short-run dynamics between China’s bilateral trade balance and real exchange rates with thirteen major trading partners over 1981-2008. Maximum likelihood tests of cointegration reveal no evidence of significant long-run relationship between the two...
Persistent link: https://www.econbiz.de/10010991454
A small open economy model emphasizing the endogenous interestrate arbitrage was employed to examine whether arbitrage activities would dampen or augment exchange rate volatility against random disturbances. Based on numerical simulation, increased risk aversion of arbitragers was observed to...
Persistent link: https://www.econbiz.de/10010991469
The objective of this study is to examine the impact of exchange rate on Nigeria’s trade balance. Time series data on trade balance, external reserves, exchange rate, money supply and real GDP were used in the analysis and the data were subjected to unit root tests to determine their time...
Persistent link: https://www.econbiz.de/10010991475
The paper critically considers the endogenous Optimum Currency Areas (or e-OCAs) theory, focussing initially on early studies having identified a relevant link between the creation of a monetary union and an upgrading of trade intensity between member countries, on the one hand, and the increase...
Persistent link: https://www.econbiz.de/10010991484
While many explanations have been put forward for the failure of exchange rate models to outperform the random walk in out-of-sample forecasting, a simple explanation is the use of measures of forecasting accuracy that depend entirely on the magnitude of the forecasting error. By using simulated...
Persistent link: https://www.econbiz.de/10010991496
In this paper we investigate the skirmishes that the US dollar and the euro had from 2007 to 2011 and, in particular, the two distinct sharp falls that the single currency had in 2008 and 2010. We basically consider how impulses coming from domestic money markets impact on the USD/EUR exchange...
Persistent link: https://www.econbiz.de/10010991507
This paper tests the role of speculation in determining eleven CIS exchange rates over the period 1995m1-2010:5. This is done by reformulating the ex ante PPP relationship in such a way as to express all variables in levels rather than in first difference showing that, in efficient markets with...
Persistent link: https://www.econbiz.de/10010991517
Arguments are put forward to challenge the case for a trade war between the U.S. and China. The threat of a trade war against China is based on three pillars: (i) the Chinese currency is undervalued, (ii) undervaluation of the yuan is the cause of and cure for the U.S. massive trade deficit, and...
Persistent link: https://www.econbiz.de/10009367165
In a 1952 article Alexander argued that currency devaluation could lead to a decline in domestic consumption by redistributing income from workers with high MPC to producers with low MPC. In this paper we include the exchange rate as another determinant of domestic consumption in addition to...
Persistent link: https://www.econbiz.de/10010840423