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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
This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a...
Persistent link: https://www.econbiz.de/10012469089
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five … announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different … modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics …
Persistent link: https://www.econbiz.de/10012473050
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
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/10012477299
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/10012478644
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
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
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/10012476706
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