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We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10012987883
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
Persistent link: https://www.econbiz.de/10010457149
By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial markets. Following the framework of Diebold and Yilmaz...
Persistent link: https://www.econbiz.de/10014308844
This study examines the relationship between crude oil prices, US dollar exchange rates and thirty selected international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods and Granger causality tests on panel data sets of...
Persistent link: https://www.econbiz.de/10013040187
Past empirical research on monetary policy in open economies has found evidence of the 'delayed overshooting', the 'forward discount' and the 'exchange rate' puzzles. We revisit the effects of monetary policy on exchange rates by applying Uhlig's (2005) identification procedure that involves...
Persistent link: https://www.econbiz.de/10003147640
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235
We estimate a VAR model of the Phillips curve with an exchange rate shock to the Brazilian economy. Several different specifications, with different time frequencies, were estimated. Overall the results were robust to these changes, and can be summed up in the following: i) the pass-through to...
Persistent link: https://www.econbiz.de/10009553780
Persistent link: https://www.econbiz.de/10012207297
This paper develops an open-economy Bayesian structural VAR model for Canada in order to estimate the effects of monetary policy shocks, using the overnight target rate as the policy instrument. I allow the policy variable and the financial variables of the model to interact simultaneously with...
Persistent link: https://www.econbiz.de/10003768853