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~isPartOf:"NBER working paper series"
~subject:"Exchange rate"
~subject:"Forecasting model"
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Exchange rate
Forecasting model
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Obstfeld, Maurice
24
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22
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21
Engel, Charles
21
Chinn, Menzie D.
16
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13
Dornbusch, Rudiger
12
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12
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11
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10
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10
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10
Rose, Andrew K.
9
Bacchetta, Philippe
8
Goldberg, Linda S.
8
Itskhoki, Oleg
8
Rogoff, Kenneth
8
Bollerslev, Tim
7
Corsetti, Giancarlo
7
Devereux, Michael B.
7
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7
Stockman, Alan C.
7
Andersen, Torben G.
6
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6
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6
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6
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6
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6
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5
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ECONIS (ZBW)
630
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630
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1
Answering the Critics : Yes, ARCH Models Do Provide Good
Volatility
Forecasts
Andersen, Torben G.
-
1997
Volatility
permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future
volatility
are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market
volatility
at the daily …
Persistent link: https://www.econbiz.de/10012472795
Saved in:
2
Heterogeneous Expectations and Tests of Efficiency in the
Yen
/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham
-
1995
This paper examines the efficiency of the forward
yen
/dollar market using micro survey data. We first argue that the …
Persistent link: https://www.econbiz.de/10012473491
Saved in:
3
The Global Dollar Cycle
Obstfeld, Maurice
;
Zhou, Haonan
-
National Bureau of Economic Research
-
2023
cyclical pattern. Over that cycle,
world
asset prices, leverage, and capital flows move in concert with global growth …
Persistent link: https://www.econbiz.de/10014247924
Saved in:
4
Exchange Rate Models are Better than You Think, and Why They Didn't Work in the Old Days
Engel, Charles
;
Wu, Steve P. Y.
-
National Bureau of Economic Research
-
2024
Exchange-rate models fit very well for the U.S. dollar in the 21st century. A "standard" model that includes real interest rates and a measure of expected inflation for the U.S. and the foreign country, the U.S. comprehensive trade balance, and measures of global risk and liquidity demand is...
Persistent link: https://www.econbiz.de/10015056131
Saved in:
5
Understanding the Strength of the Dollar
Jiang, Zhengyang
;
Richmond, Robert J.
;
Zhang, Tony
-
National Bureau of Economic Research
-
2022
relative to the rest of the
world
, and shifts in investor demand for U.S. financial assets contributed approximately equally to …
Persistent link: https://www.econbiz.de/10013435120
Saved in:
6
Exchange Rate Returns Standardized by Realized
Volatility
are (Nearly) Gaussian
Andersen, Torben G.
-
2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288
Saved in:
7
Effects of Japanese Macroeconomic Announcements on the Dollar/
Yen
Exchange Rate : High-Resolution Picture
Hashimoto, Yuko
-
2009
Market impacts of Japanese macroeconomic announcements within minutes on the dollar/
yen
foreign exchange are analyzed … 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 …
Persistent link: https://www.econbiz.de/10012463629
Saved in:
8
Intraday
Yen
/Dollar Exchange Rate Movements : News or Noise?
Ito, Takatoshi
-
1988
Intraday movements in the
yen
/dollar rate are examined over the 1980-86 period using opening and closing quotes in the … and U.S. stock prices suggests that intraday
yen
/dollar rate movements do contain at least some relevant information …
Persistent link: https://www.econbiz.de/10012476358
Saved in:
9
Forward and Spot Exchange Rates in a Multi-currency
World
Hassan, Tarek A.
-
2014
Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...
Persistent link: https://www.econbiz.de/10012458373
Saved in:
10
Taylor Rule Exchange Rate Forecasting During the Financial Crisis
Molodtsova, Tanya
-
2012
This paper evaluates out-of-sample exchange rate predictability of Taylor rule models, where the central bank sets the interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with real-time data before, during, and after the...
Persistent link: https://www.econbiz.de/10012460332
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