ARMA-GARCH and FIGARCH models with non-normal, tempered-stable innovations are applied to intraday financial time-series on high-frequency time scales. The goal is to investigate their risk forecasting performance and to observe random scaling behavior. To this end, Value-at-Risk (VaR) and...

The dissertation consists of three distinct chapters that contribute to important, yet unresolved topics in Macroeconomics and International Economics.Macroeconomists have been keenly interested in understanding how financial crisis turn into real recessions in emerging markets. By using a...

This paper analyses the effectiveness of foreign exchange interventions in Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey using the event study approach. Interventions are found to be effective only in the short run when they ease appreciation pressures. Central bank...

This paper studies the impact of daily official foreign exchange interventions on the Czech koruna’s exchange rate vis-à-vis the euro (German mark prior to 1999) from 1997 to 2002. Using both the event study methodology and a variety of GARCH models reveal that central bank interventions,...

Since the beginning, central banks have used a wide range of instruments to achieve their ultimate purpose of price stability. One measure in the authorities’ toolbox is a foreign exchange market intervention. The discussion about this instrument has come a long way. So far, the discussion...

The agri-food trade between Mexico and the United States grew substantially after the implementation of NAFTA in 1994. While some analysts argue that NAFTA has contributed the most to the dramatic expansion of this trade, others have emphasized the role played by the exchange rate in this...

In export operation forecasting exercises the effect of stochastic inputvariables such as exchange rates and commodity prices are often ignoredwith the convention being to account for their uncertainty in discount rates. Inthe case where exchange rates are highly volatile, such as in the...

The dissertation consists of three essays. Chapter II examines the asymmetriceffects of monetary policy on stock prices by using an unobserved components modelwith Markov-switching. My results show that monetary policy has negative effects onstock prices, which is consistent with the most recent...

Conclusion: This paper has assessed the empirical relationship between exchange rate volatility and survey measures of household and business confidence in Australia, Japan, Korea, Malaysia, and Singapore. Caution needs to be used in interpreting this relationship, because the number of...

This paper studies the dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital...