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Carry Trades and Global FX Volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - Volkswirtschaftliche Fakultät, … - 2009
We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a … significantly negative return co-movement of high interest rate currencies with global volatility, whereas low interest rate … currencies provide a hedge against volatility shocks. Our main global FX volatility proxy accounts for more than 90% of the …
Persistent link: https://www.econbiz.de/10005836150
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Banks exposure to market risks
Galy, Michel - Volkswirtschaftliche Fakultät, … - 1989
Maturity transformation coupled with open foreign exchange positions expose financial intermediaries to unexpected changes in interest and exchange rates. This paper proposes to measure the degree of banks exposure to market risks by taking the variance of the total differential of the bank...
Persistent link: https://www.econbiz.de/10011183544
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Oil Price and Exchange Rate Volatility in Nigeria
Ogundipe, Adeyemi; Ogundipe, Oluwatomisin - Volkswirtschaftliche Fakultät, … - 2013
the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data … exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study … rate volatility significantly in Nigeria. …
Persistent link: https://www.econbiz.de/10011109692
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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
, many types of instruments can be used:futures market,spot market, and forward market.However, the degree of volatility …
Persistent link: https://www.econbiz.de/10005619306
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Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times
Laakkonen, Helinä; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2008
the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …
Persistent link: https://www.econbiz.de/10005623524
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Dynamic Spillover Effects in Futures Markets
Antonakakis, Nikolaos; Kizys, Renatas; Floros, Christos - Volkswirtschaftliche Fakultät, … - 2014
study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …
Persistent link: https://www.econbiz.de/10011111958
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Economic scenario of United States of America before and after 2012 U.S. Presidential Election
Sinha, Pankaj; Singhal, Anushree; Sondhi, Kriti - Volkswirtschaftliche Fakultät, … - 2012
This paper examines the economic scenario of the United States, before and after the 2012 US Presidential election by analyzing various macroeconomic variables such as GDP, Public Debt, Exchange Rate, Social Benefit Spending, Trade, Budget Deficit/ Surplus, Unemployment Rate, Inflation and...
Persistent link: https://www.econbiz.de/10011260661
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Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate
DIAF, Sami; TOUMACHE, Rachid - Volkswirtschaftliche Fakultät, … - 2013
Abstract : This article aims to study the scaling behavior of the Algerian Dinar - US Dollar exchange rate using multifractal time series analysis which stems from the fractal theory first implemented by Benoît Mandelbrot in early 1960. Investigating time series properties using this technique...
Persistent link: https://www.econbiz.de/10011111277
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Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors
Hina, Hafsa; Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2013
This study employs the Mundell and Fleming (1963) traditional flow model of exchange rate to examine the long run behavior of rupee/US $ for Pakistan economy over the period 1982:Q1 to 2010:Q2.This study investigates the effect of output levels, interest rates and prices and different shocks on...
Persistent link: https://www.econbiz.de/10011112991
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El Tipo de Cambio Real de Costa Rica
Leon, Jorge; Mendez, Eduardo; Prado, Eduardo - Volkswirtschaftliche Fakultät, … - 2003
This paper estimates Costa Rica’s Equilibrium Real Exchange Rate (ERER) using quarterly data from 1991 to 2003. Cointegration and Unit Root tests are used to determine if the Purchasing Power Parity (PPP) applies. The results show that PPP does not stand. The ERER is an unobservable variable;...
Persistent link: https://www.econbiz.de/10011113155