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Asymmetrry and time variation in exchange rate exposure: An investigation of Australian stocks returns
Brooks, R; Di Iorio, A; Faff, R; Fry, T; Joymungul, Y - 2010
Purpose - The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns. Design/methodology/approach - Using a dynamic econometric approach that allows for both asymmetry and time-varying risk exposures in both the exchange rate variable and...
Persistent link: https://www.econbiz.de/10009481764
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Analytical and approximate variance of total project cost
Skitmore, Martin; Ng, S. Thomas - 2002
The statistical variance of total project cost is usually estimated by means of Monte Carlo simulation on the assumption that exact analytic approaches are too difficult. This paper tests that assumption and shows that, contrary to expectations, the analytic solution is relatively...
Persistent link: https://www.econbiz.de/10009437452
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Exchange Rate Volatility and Regime Change:Visegrad Comparison
Kocenda, Evžen; Valachy, Juraj - 2006
We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for … generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate … developments and introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes …
Persistent link: https://www.econbiz.de/10009476919
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Exchange rate volatility in LDCs: some findings from the Ghanaian, Mozambican and Tanzanian markets
Osei-Assibey, Kwame - 2010
areinfluenced by similar factors. In order to justify the applicability of a number of volatility modelling techniques, we also … volatility clustering, non-linearity, non-normality and asymmetry. Our results suggest that exchange rate behaviour in these … the volatility of exchange rate in these countries.We however observed that the ARCH family of models does not always …
Persistent link: https://www.econbiz.de/10009463509
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Does the US Government Hedge against Fiscal Risk?
Berndt, Antje; Lustig, Hanno; Yeltekin, Sevin - 2009
We develop a method for measuring the amount of insurance the portfolio of government liabilities provides against scal shocks, and apply it to postwar US data. We dene scal shocks as surprises in defense spending. Our results indicate that the US federal government is partially hedged against...
Persistent link: https://www.econbiz.de/10009441130
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The stability of money demand and monetary transmission mechanism in Thailand
Raksong, Saranya - 2010
The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on...
Persistent link: https://www.econbiz.de/10009434859
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The efficiency of currency markets : studies of volatility and speed of adjustment
Boulter, Terry - 2006
issues by identifying three key areas for research, namely, price adjustment and volatility, volatility and the &quotnews … terms of excessive volatility, whether or not news is actually the main driver of exchange rate volatility and whether or … Australian dollar has not been an excessively volatile currency, even though the level of volatility has been increasing; that …
Persistent link: https://www.econbiz.de/10009437792
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Stochastic modelling of financial time series with memory and multifractal scaling
Snguanyat, Ongorn - 2009
Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...
Persistent link: https://www.econbiz.de/10009437906
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Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
Evans, Martin D.; Lyons, Richard K. - 2005
This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...
Persistent link: https://www.econbiz.de/10009440722
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Exchange rate volatility, monetary policy adjustment & price hysteresis
Adam, Christopher M. - 1991
Nominal exchange rate volatility has been greater than that of "fundamentals" supposed to establish the exchange rates …. A major contribution to our understanding of this volatility was given by Rudiger Dornbusch in his 1976 paper … theory to exchange rate behaviour to conjecture that the very volatility of exchange rate movements induces firms to have …
Persistent link: https://www.econbiz.de/10009441733