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Exchange rates and fundamentals
Engel, Charles (contributor); West, Kenneth D. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001820873
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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …
Persistent link: https://www.econbiz.de/10009636551
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …
Persistent link: https://www.econbiz.de/10003337476
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Disagreement among forecasters in G7 countries
Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jirka - 2009
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...
Persistent link: https://www.econbiz.de/10003963738
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Asset prices, exchange rates and the current account
Fratzscher, Marcel (contributor);  … - 2007
This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...
Persistent link: https://www.econbiz.de/10003516646
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2017
. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …
Persistent link: https://www.econbiz.de/10011637411
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Fiscal policy and inflation volatility
Rother, Philipp C. - 2004
Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …
Persistent link: https://www.econbiz.de/10009636540
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Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009
volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series. - Dynamic … Factor Models ; Multivariate GARCH ; Conditional Covariance ; Inflation Forecasting ; Volatility Forecasting …
Persistent link: https://www.econbiz.de/10003969239
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Fiscal policy and inflation volatility
Rother, Philipp C. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002124898
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10003297541