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China's exchange rate regime has undergone gradual reform since the move away from a fixed exchange rate in 2005. The renminbi has become more flexible over time but is still carefully managed, and depth and liquidity in the onshore FX market is relatively low compared to other countries with de...
Persistent link: https://www.econbiz.de/10012009461
correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It …. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting … volatility increases reflecting one-sided markets …
Persistent link: https://www.econbiz.de/10014403635
for the period 1970–92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …
Persistent link: https://www.econbiz.de/10014397963
standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility …Does the South African rand's relatively large volatility affect inflation? To shed some light on this question, a …. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited …
Persistent link: https://www.econbiz.de/10012155038
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities …
Persistent link: https://www.econbiz.de/10014400392
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10014400558
This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model … builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable … 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset …
Persistent link: https://www.econbiz.de/10014400941
This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative … for primary commodities, the volatility of relative commodity prices rises when exchange rate uncertainty increases. If …
Persistent link: https://www.econbiz.de/10014401290
This paper analyzes the effects of exchange rate volatility on bilateral trade flows. Through use of a gravity model … attention is reserved for problems of simultaneous causality. The negative correlation between trade and bilateral volatility …
Persistent link: https://www.econbiz.de/10014403368
pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the … returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly …
Persistent link: https://www.econbiz.de/10014403463