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Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset

Kühl, Michael - 2008

The aim of this paper is to detect periods in which two currencies can be classified as being the'same' asset. Two currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...

Persistent link: https://www.econbiz.de/10010300152

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10010271372

Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

Persistent link: https://www.econbiz.de/10010322440

Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates

Kühl, Michael - 2009

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...

Persistent link: https://www.econbiz.de/10010302725

The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements

Conrad, Christian; Lamla, Michael J. - 2007

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

Persistent link: https://www.econbiz.de/10010277736

On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven

Herwartz, Helmut - 2003

forecasts gain from conditioning on volatility. Empirical results support the view that the relationship of interest might be …

Persistent link: https://www.econbiz.de/10010296439

The Asia financial crises and exchange rates: Had there been volatility shifts for Asian currencies?

Oga, Takashi; Polasek, Wolfgang - 2010

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …

Persistent link: https://www.econbiz.de/10010294017

Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data

Wilfling, Bernd; Trede, Mark - 2004

-entrance in January 2001 this paper develops a rigorous estimation procedure. The estimates provide statistical evidence of … increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation …

Persistent link: https://www.econbiz.de/10010295399

The dynamics of real exchange rates: A reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

Persistent link: https://www.econbiz.de/10010289015

Volatility of exchange rates in selected new EU members: evidence from daily data

Fidrmuc, Jarko; Horváth, Roman - 2007

implied higher volatility of exchange rates when it substantially deviated from the implicit target rates for all countries …. Finally, we find significant asymmetric effects of the volatility of exchange rates in all analyzed countries. …

Persistent link: https://www.econbiz.de/10010264218