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Do markets care about central bank governor changes?: evidence from emerging markets
Moser, Christoph; Dreher, Axel - 2007
Central bank governor changes in emerging markets may convey important signals about future monetary policy. Based on a new daily data set, this paper examines the reactions of foreign exchange markets, domestic stock market indices and sovereign bond spreads to central bank governor changes....
Persistent link: https://www.econbiz.de/10010275868
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Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan
Nagano, Teppei; Baba, Naohiko - 2008
March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …
Persistent link: https://www.econbiz.de/10011605026
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Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate
Schulmeister, Stephan - 2007
The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen/dollar exchange rate. The paper shows first that these models would have exploited exchange rate trends quite profitably between 1976 and 1999, and then...
Persistent link: https://www.econbiz.de/10011435219
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Profitability of Technical Currency Speculation. The Case of Yen-Dollar Trading 1976-2007
Schulmeister, Stephan - 2008
The paper investigates the profitability of 1,024 moving average and momentum models and their components in the yen-dollar market. It turns out that all models would have been profitable between 1976 and 2007. The models produce more single losses than single profits. At the same time, the size...
Persistent link: https://www.econbiz.de/10011435249
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Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007
Schulmeister, Stephan - 2008
The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...
Persistent link: https://www.econbiz.de/10011435250
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - 1998
werden die Auswirkungen einer Geldpolitik analysiert, die auf Veränderungen der Zinsstruktur reagiert und 'leaning against … von J. Wolters analysiert die Renditestruktur am deutschen Kapitalmarkt. Gemäß der Erwartungshypothese der Zinsstruktur … Spreads festgestellt werden. Dies bedeutet, daß die Zinsstruktur nicht nur von einem, sondern von zwei gemeinsamen Faktoren …
Persistent link: https://www.econbiz.de/10014493204
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The link between interest rates and exchange rates: do contractionary depreciations make a difference?
Sánchez, Marcelo - 2005
The link between exchange rates and interest rates features prominently in the theoretical and empirical literature on small open economies. This paper revisits this relationship using a simple model that incorporates the role of exchange rate pass-through into domestic prices and distinguishes...
Persistent link: https://www.econbiz.de/10011604594
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Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities
Csávás, Csaba - 2008
can be calculated directly, without the estimation of RNDs, but which show strong co-movement with the central moments of …
Persistent link: https://www.econbiz.de/10010322462
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Exchange rate dynamics, expectations, and monetary policy
Chen, Qianying - 2011
This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...
Persistent link: https://www.econbiz.de/10010305998
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Biases in FX-Forecasts: Evidence from Panel Data
Audretsch, David B.; Stadtmann, Georg - 2005
In this paper, we use the Wall Street Journal poll of FX forecasts to analyze how the group of forecasters form their expectations. One focus is whether forecasters build rational expectations. Furthermore, we analyze whether the group of forecasters can be regarded as homogeneous or...
Persistent link: https://www.econbiz.de/10010296155