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Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia
Baharom, A.H.; Royfaizal, R. C; Habibullah, M.S. - Volkswirtschaftliche Fakultät, … - 2008
regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub …
Persistent link: https://www.econbiz.de/10005260261
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Pre and post crisis analysis of stock price and exchange rate: Evidence from Malaysia
Baharom, A.H.; Habibullah, M.S.; R.C., Royfaizal - Volkswirtschaftliche Fakultät, … - 2008
regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub …
Persistent link: https://www.econbiz.de/10005621676
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Re-examining Turkey's trade deficit with structural breaks: Evidence from 1989-2011
Erten, Irem; Okay, Nesrin - Volkswirtschaftliche Fakultät, … - 2012
The goal of this paper is to examine the sustainability of the trade deficit of Turkey with cointegration techniques … cointegrated, and if the cointegrating vector is (1,-1), then its trade deficit is sustainable. First, classical cointegration …,-1). Next, the existence of cointegration is confirmed with an alternative method proposed by Silvestre and Sanso (2006 …
Persistent link: https://www.econbiz.de/10011114173
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Investor Overconfidence and the Forward Discount Puzzle
Han, Bing; Hirshleifer, David; Wang, Tracy - Volkswirtschaftliche Fakultät, … - 2005
This paper offers an explanation for the forward discount puzzle in foreign exchange markets based upon investor overconfidence. In our model, overconfident individuals overreact to their information about future inflation differential. The spot and the forward exchange rates differentially...
Persistent link: https://www.econbiz.de/10005619814
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The Us Dollar, the Euro, and the Yen : An Evaluation of Their Present and Future Status as International Currencies
Beckmann, Rainer - 2010
The paper evaluates the present and future international currency status of the US dollar, the euro and the yen. In section two the functions, benefits, and costs of a leading international currency are discussed. In section three key determinants for the continuous dominance of the US dollar...
Persistent link: https://www.econbiz.de/10013136590
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The onshore-offshore interaction of RMB market: a high-frequency analysis
Liu, Tao - Volkswirtschaftliche Fakultät, … - 2014
With 10-minute data from Nov 2014 to Jan 2015, a threshold autoregression (TAR) model is estimated to assess the exchange rate differential between onshore and offshore RMB market, and the following result is in order. (i) The threshold effect is verifed during sample period, around 40 bps on...
Persistent link: https://www.econbiz.de/10011271327
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Rynek finansowy w Federacji Rosyjskiej - wybrane zagadnienia
Zawadzki, Krystian; Lewicka, Marta - Volkswirtschaftliche Fakultät, … - 2010
Authors of the study aimed to analyze the structure and some of the figures of the financial market in Russia. This choice of one side was dictated by proximity to Russia and relatively little knowledge about the financial market of the country, the other huge potential that lies dormant in the...
Persistent link: https://www.econbiz.de/10011258938
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Jump Processes in Exchange Rates Modeling
Bunčák, Tomáš - Volkswirtschaftliche Fakultät, … - 2013
This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is...
Persistent link: https://www.econbiz.de/10011258961
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Korea investment corporation: its origin and evolution
Kim, Woochan - Volkswirtschaftliche Fakultät, … - 2011
In this paper, I give a detailed account of the creation and the evolution of Korea Investment Corporation (KIC) – a sovereign wealth fund established in 2005 by the Korean government. In doing so, I highlight three of its unique features. First, the case of KIC effectively shows the problem...
Persistent link: https://www.econbiz.de/10011259985
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Forecasting Volatility in Developing Countries' Nominal Exchange Returns
Antonakakis, Nikolaos; Darby, Julia - Volkswirtschaftliche Fakultät, … - 2012
This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialised counties has noted the superior performance of the FIGARCH model in the case of industrialised...
Persistent link: https://www.econbiz.de/10011260314