Similar Search Results

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

The Effects of War Risk on U.S. Financial Markets

Rigobon, Roberto - 2003

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

DM-Dollar Volatility : Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Andersen, Torben G. - 1996

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 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

Causes of Appreciation and Volatility of the Dollar with Comment by Jacob Frenkel

Branson, William H. - 1985

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

Exchange-Rate Unions and the Volatility of the Dollar

Marston, Richard C. - 1980

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

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

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

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

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

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