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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 conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...
Persistent link: https://www.econbiz.de/10012473491
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Oil and the Dollar
Krugman, Paul R. - 1980
whether the U.S. share of world oil imports is more or less than its share of OPEC asset holdings; in the long run, whether …
Persistent link: https://www.econbiz.de/10012478581
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Exchange Rates, Natural Rates, and the Price of Risk
Kekre, Rohan; Lenel, Moritz - National Bureau of Economic Research - 2024
We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A calibration matching data from the U.S. and G10...
Persistent link: https://www.econbiz.de/10015072917
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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
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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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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
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The U.S. Current Account and the Dollar
Blanchard, Olivier - 2005
There are two main forces behind the large U.S. current account deficits. First, an increase in the U.S. demand for foreign goods. Second, an increase in the foreign demand for U.S. assets. Both forces have contributed to steadily increasing current account deficits since the mid--1990s. This...
Persistent link: https://www.econbiz.de/10012467548
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Global Spillovers from FED Hikes and a Strong Dollar : The Risk Channel
Cristi, José; Kalemli-Ozcan, Sebnem; Sans, Mariana; … - National Bureau of Economic Research - 2024
each from the perspective of the rest of the world (ROW). We show that while U.S. monetary policy shocks act as financial …
Persistent link: https://www.econbiz.de/10014528370
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Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate : High-Resolution Picture
Hashimoto, Yuko - 2009
-term business survey conducted by Bank of Japan), GDP, industrial production (preliminary), PPI, CPI (Tokyo area), the unemployment … 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
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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 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/10012476358