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Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate : High-Resolution Picture
Hashi, Yuko - 2010
components have return impacts also have impacts on deals and volatility. The announcement itself, in addition to the magnitude … of surprise, is found to increase the deals and price volatility in the immediately after the announcement. In addition …, some other items have no return impacts but deals and volatility impacts. These facts are consistent with a view that …
Persistent link: https://www.econbiz.de/10013152611
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D.; Cho, Dongchul - 2021
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...
Persistent link: https://www.econbiz.de/10013225431
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Intraday Yen/Dollar Exchange Rate Movements : News or Noise?
Ito, Takatoshi; Roley, V. Vance - 2021
Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of...
Persistent link: https://www.econbiz.de/10013227002
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Causes of Appreciation and Volatility of the Dollar with Comment by Jacob Frenkel
Branson, William H.; Frenkel, Jacob A. - 2021
In 1981 real interest rates in the United States increased spectacularly, and the dollar appreciated in real terms by about 20 percent. Since the end of 1981, long-term real interest rates have remained in the range of 5-10 percent, with nominal long rates above short rates. The dollar...
Persistent link: https://www.econbiz.de/10013228754
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Exchange-Rate Unions and the Volatility of the Dollar
Marston, Richard C. - 2021
This study analyzes why formation of an exchange-rate union, such as the newly-established European Monetary System, can be harmful to the interests of some member countries. The framework provided for analyzing behavior in the union is a three-country model which combines an asset market...
Persistent link: https://www.econbiz.de/10013229142
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Volatility Comovement : A Multifrequency Approach
Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel … - 2021
We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar …) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood …
Persistent link: https://www.econbiz.de/10013231009
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth - 2004
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
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On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
Canova, Fabio - 2008
but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982 …
Persistent link: https://www.econbiz.de/10012774551
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What's Next for the Dollar?
Feldstein, Martin S. - 2011
The real trade weighted value of the dollar fell 11 percent against the Federal Reserve Bank's index of major currencies during the 12 months through May 2011 and 31 percent during the past ten years. Four strong market forces are likely to cause further declines over the next several years: a...
Persistent link: https://www.econbiz.de/10013122016
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Factor Model Forecasts of Exchange Rates
Engel, Charles M. - 2012
We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...
Persistent link: https://www.econbiz.de/10013100676