Narrow search
Showing 1 - 10 of 19,842
Cover Image
The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Neely, Christopher; Lahaye, Jerome - Federal Reserve Bank of St. Louis - 2014
We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …
Persistent link: https://www.econbiz.de/10010951615
Cover Image
MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
, many types of instruments can be used:futures market,spot market, and forward market.However, the degree of volatility …
Persistent link: https://www.econbiz.de/10005619306
Cover Image
Oil Price and Exchange Rate Volatility in Nigeria
Ogundipe, Adeyemi; Ogundipe, Oluwatomisin - Volkswirtschaftliche Fakultät, … - 2013
the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data … exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study … rate volatility significantly in Nigeria. …
Persistent link: https://www.econbiz.de/10011109692
Cover Image
Sterilisierte Devisenmarktinterventionen - ein umstrittenes währungspolitisches Instrument
Wollmershäuser, Timo - In: Ifo Schnelldienst 56 (2003) 19, pp. 34-44
Ziel dieses Aufsatzes ist es, die Wirksamkeit von Devisenmarktinterventionen im Lichte eines neuen Wechselkursmodells zu bewerten. Dabei steht nicht die Beeinflussung von Fundamentalfaktoren im Vordergrund, sondern die Koordination heterogener Erwartungen unter den Devisenmarktakteuren, die zu...
Persistent link: https://www.econbiz.de/10005013599
Cover Image
How to devalue exchange rates, without building up reserves: Strategic theory for central banking
Basu, Kaushik - In: Economics Letters 117 (2012) 3, pp. 758-761
Central banks, wanting to devalue their currency, often intervene in the foreign exchange market by buying up foreign currency. Such interventions even if effective lead to a build up of foreign exchange reserves. This paper argues that the coupling of devaluation and reserve build up can be...
Persistent link: https://www.econbiz.de/10010594202
Cover Image
What drives the growth in FX activity? Interpreting the 2007 triennial survey
Galati, Gabriele; Heath, Alexandra - In: BIS Quarterly Review (2007) December
The most recent BIS triennial survey shows that turnover in foreign exchange markets increased by more than 70% over the three years to April 2007. Two specific findings stand out. First, the growth in transactions between banks and other financial institutions was particularly strong,...
Persistent link: https://www.econbiz.de/10005063271
Cover Image
FX and derivatives markets in emerging economies and the internationalisation of their currencies
Ehlers, Torsten; Packer, Frank - In: BIS Quarterly Review (2013) December
Derivatives markets in emerging economies have continued to grow since 2010, driven mostly by very strong growth in the OTC market. Emerging market currencies have become more international as offshore markets are a major contributor to FX turnover. The Chinese renminbi is actively traded within...
Persistent link: https://www.econbiz.de/10010721033
Cover Image
Derivatives in emerging markets
Mihaljek, Dubravko; Packer, Frank - In: BIS Quarterly Review (2010) December
Turnover of derivatives has grown more rapidly in emerging markets than in developed countries. Foreign exchange derivatives are the most commonly traded of all risk categories, with increasingly frequent turnover in emerging market currencies and a growing share of cross-border transactions. As...
Persistent link: https://www.econbiz.de/10008763371
Cover Image
International Liquidity and Exchange Rate Dynamics
Gabaix, Xavier; Maggiori, Matteo - National Bureau of Economic Research (NBER) - 2014
We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets … their required compensation for holding currency risk, thus impacting both the level and volatility of exchange rates. Our … theory of exchange rate determination in imperfect financial markets not only helps to rationalize the empirical disconnect …
Persistent link: https://www.econbiz.de/10011196774
Cover Image
International Liquidity and Exchange Rate Dynamics
Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014
We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets … their required compensation for holding currency risk, thus impacting both the level and volatility of exchange rates. Our … theory of exchange rate determination in imperfect financial markets not only rationalizes the empirical disconnect between …
Persistent link: https://www.econbiz.de/10011083240