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Private information, stock markets, and exchange rates
Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2009
Explaining exchange rates has long been an important but vexing issue in international economics and finance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private...
Persistent link: https://www.econbiz.de/10009248807
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REVISITING THE MARTINGALE HYPOTHESIS FOREXCHANGE RATES
Lee-Scheller, Young-Sook; Kim, Tae-Hwan; Newbold, Paul - University <Nottingham> / Department of Economics - 2004
We consider a simple random walk process, a special case ofthe Martingale model, which exhibits a deterministic break in its drift term,for instance, from positive to negative. This particular example can be aplausible model for a time series on exchange rates which displays a persistentcurrency...
Persistent link: https://www.econbiz.de/10005868783
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - European Central Bank - 2009
A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...
Persistent link: https://www.econbiz.de/10005866568
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The dynamics of real exchange rates – A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-runconcept the specific dynamic driving the process is largely build upon a priori economicbelief rather than a thorough statistical modeling procedure. The two prevailing timeseries models, i.e. the exponential smooth...
Persistent link: https://www.econbiz.de/10009302598
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A Source of Long Memory in Volatility
Hyung, Namwon; Poon, Ser-Huang; Granger, Clive W. J. - Manchester Business School - 2004
The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …
Persistent link: https://www.econbiz.de/10005870000
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An econometric model of credit spreads with rebalancing, ARCH and jump effects
Bierens, Herman; Huang, Jing-zhi; Kong, Weipeng - 2003
In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...
Persistent link: https://www.econbiz.de/10005846814
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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010
We study the empirical behaviour of semi-parametric log-periodogram estimation forlong memory models when the true …
Persistent link: https://www.econbiz.de/10009302607
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In What Sense Can Intervention ReduceExchange Rate Volatility?
Bleaney, Michael F.; Francisco, Manuela - University <Nottingham> / Department of Economics - 2008
Can pegging reduce real as well as nominal, and multilateral as well as bilateralexchange rate volatility? We …
Persistent link: https://www.econbiz.de/10005868570
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What Makes Currencies Volatile?An Empirical Investigation
Bleaney, Michael F.; Francisco, Manuela - University <Nottingham> / Department of Economics - 2008
Real effective exchange rate volatility is examined for 90 countries using monthlydata from January 1990 to June 2006 …. Volatility decreases with openness tointernational trade and per capita GDP, and increases with inflation, particularlyunder a … horizontal peg or band, and with terms-of-trade volatility. The choice ofexchange rate regime matters... …
Persistent link: https://www.econbiz.de/10005868573
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Controllability andPersistence of MoneyMarket Rates along theYield Curve: Evidence fromthe Euro Area
Busch, Ulrike; Nautz, Dieter - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
Controllability of longer-term interest rates requires that the persis-tence of their deviations from the central bank's policy rate (i.e. thepolicy spreads) remains suffciently low. This paper applies fractionalintegration techniques to assess the persistence of policy spreads ofeuro area money...
Persistent link: https://www.econbiz.de/10005865428