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Interdependence between foreign exchange markets and stock markets in selected European countries
Islami, Mevlud - 2008
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...
Persistent link: https://www.econbiz.de/10010291121
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The mechanics of central bank intervention in foreign exchange markets
Basu, Kaushik - 2009
Central banks in developing countries, wanting to devalue the domestic currency, usually intervene in the foreign exchange market by buying up foreign currency using domestic money-often backing this up with sterilization to counter inflationary pressures. Such interventions are usually...
Persistent link: https://www.econbiz.de/10010292055
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Is gold a hedge against stock price risk in U.S. or Indian markets?
Manuj, Hemant - In: Risks 9 (2021) 10, pp. 1-15
We study whether gold acts as a hedge or a safe haven in U.S. and the Indian stock markets. These two stock markets …, the BSE Sensex, and gold prices. We find that, for the period of our study, 1980-2020, gold has not served as a hedge or a … our study period. Gold returns do not exhibit a significant negative relationship with stock returns in any of the chosen …
Persistent link: https://www.econbiz.de/10013200838
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Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
Srinivasan, P.; Ibrahim, P. - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 65-80
This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets … Bivariate ECM-EGARCH(1,1) model. The empirical result confirms that the spot market of Gold plays a dominant role and serves as … spot market to futures market and the spot market of gold have the capability to expose the all new information through the …
Persistent link: https://www.econbiz.de/10011310237
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Crude oil prices and the euro-dollar exchange rate: A forecasting exercise
Crespo Cuaresma, Jesus; Breitenfellner, Andreas - 2008
If oil exporters stabilize the purchasing power of their export revenues in terms of imports, exchange rate developments (and particularly, developments in the US dollar/euro exchange rate) may contain information about oil price changes. This hypothesis depends on three conditions: (a) OPEC has...
Persistent link: https://www.econbiz.de/10010293389
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Exchange rate dynamics in a target zone: a heterogeneous expectations approach
Bauer, Christian; De Grauwe, Paul; Reitz, Stefan - 2007
We present a simple behavioral model with chartists and fundamentalists and analyze their trading behavior in a floating regime and in a target zone regime. Regarding the floating regime the model replicates the well-known stylized facts like excessive volatility, fat tails, volatility...
Persistent link: https://www.econbiz.de/10010295848
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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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Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary
Rezessy, András - 2005
The paper estimates the immediate impact of Hungarian monetary policy on three classes of asset prices: the exchange rate of the forint vis-r-vis the euro, spot and forward government bond yields and the index of the Budapest Stock Exchange. The endogeneity problem is treated with the method of...
Persistent link: https://www.econbiz.de/10010322405
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The microstructure approach to exchange rates: A survey from a central bank's viewpoint
Gereben, Áron; Gyomai, György; Kiss, Norbert M. - 2005
The application of the market microstructure theory to foreign exchange markets in the last few years has introduced a new approach to the analysis of exchange rates. The most important variable of the microstructure analysis, the so-called order flow has proven to be suitable for explaining a...
Persistent link: https://www.econbiz.de/10010322409
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Implied volatility of foreign exchange options: Is it worth tracking?
Gereben, Áron; Pintér, Klára - 2005
Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange rate uncertainty. The aim of our study is to investigate the limits of this statistic. We present some key factors that may deviate the value of implied volatility from the...
Persistent link: https://www.econbiz.de/10010322417