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Does Speculation Play any Role in Determining CIS Exchange Rates? - La speculazione gioca un ruolo nella determinazione dei tassi di cambio nella CSI?

Bhatti, Razzaque H. - In: Economia Internazionale / International Economics 65 (2012) 4, pp. 513-529

This paper tests the role of speculation in determining eleven CIS exchange rates over the period 1995m1-2010:5. This is done by reformulating the ex ante PPP relationship in such a way as to express all variables in levels rather than in first difference showing that, in efficient markets with...

Persistent link: https://www.econbiz.de/10010991517

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage …

Persistent link: https://www.econbiz.de/10005124143

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio - Institute for Financial Research (SIFR) - 2006

This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market … round-trip and one-way arbitrage opportunities in real time. The analys is unveils the existence of numerous short …-lived arbitrage opportunities, whose size is economically significant across exchange rates and comparable across different maturities …

Persistent link: https://www.econbiz.de/10005651579

The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia.

Kim, S.-J.; Sheen, J. - School of Economics, Faculty of Arts and Social Sciences - 1999

Intervention by the Reserve Bank of Australia on foreign exchange markets from 1993 to 1997 is conjectured to have been determined by exchange rate trend correction, exchange rate volatility smoothing and profitability considerations. Using Probit and friction models, we show that these factors...

Persistent link: https://www.econbiz.de/10005775662

Currency Portfolios and Nominal Exchange Rates in a Dual Currency Search Economy.

Craig, B.; Waller, C.J. - London School of Economics (LSE) - 1999

We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...

Persistent link: https://www.econbiz.de/10005776281

The Impact of Exchange Rate Volatility on Trade: A Panel Study on Pakistan’s Trading Partners

Khan, Abdul Jalil; Azim, Parvez; Syed, Shabib Haider - In: Lahore Journal of Economics 19 (2014) 1, pp. 31-66

This study investigates the impact of domestic and foreign currency-valued exchange rate volatility on the export and import demand functions with reference to Pakistan’s trading partners. We use GARCH-based exchange rate volatilities and the least-squares dummy variable technique with...

Persistent link: https://www.econbiz.de/10010861908

The Increasing Influence of Oil Prices on the Canadian Stock Market

Hasan, Shahriar; Mahbobi, Mohammad - In: The International Journal of Business and Finance Research 7 (2013) 3, pp. 27-39

This paper examines the influence of oil prices on Canadian stock market using the cause-effect relationship between oil prices and the TSX index. Additionally, the relationship between the Canadian to US Dollar exchange rate and the TSX index was investigated. Results show that in the last...

Persistent link: https://www.econbiz.de/10010938518

Oil prices and emerging market exchange rates

Hacihasanoglu, Erk; Turhan, Ibrahim M.; Soytas, Ugur - Volkswirtschaftliche Fakultät, … - 2012

This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries exchange rates. Using daily data series, the study concludes that a rise in oil price is leading to a significant appreciation in emerging economies currencies against the US dollar. In our...

Persistent link: https://www.econbiz.de/10009647439

Forecasting the NOK/USD Exchange Rate with Machine Learning Techniques

Papadimitriou, Theophilos; Gogas, Periklis; … - Department of Economics, Democritus University of Thrace - 2013

In this paper, we approximate the empirical findings of Papadamou and Markopoulos (2012) on the NOK/USD exchange rate under a Machine Learning (ML) framework. By applying Support Vector Regression (SVR) on a general monetary exchange rate model and a Dynamic Evolving Neuro-Fuzzy Inference System...

Persistent link: https://www.econbiz.de/10010840500

International Portfolio Investment: Theory, Evidence, and Institutional Framework

Bartram, Sohnke M.; Dufey, Gunter - EconWPA - 2001

At first sight, the idea of investing internationally seems exciting and full of promise because of the many benefits of international portfolio investment. By investing in foreign securities, inves-tors can participate in the growth of other countries, hedge their consumption basket against...

Persistent link: https://www.econbiz.de/10005134901

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