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Forecasting exchange rates of major currencies with long maturity forward rates

Darvas, Zsolt M.; Schepp, Zoltán - 2020

This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...

Persistent link: https://www.econbiz.de/10012302033

The behaviour of the real effective exchange rate of South Africa : is there a misalignment?

Khomo, Melvin M.; Aziakpono, Meshach Jesse - In: Cogent economics & finance 8 (2020) 1, pp. 1-16

This paper examines the extent of misalignment of the real effective exchange rate (REER) of South African rand. With …, external openness, capital flows and government expenditure. The MSM correctly captures exchange rate misalignment as distinct …

Persistent link: https://www.econbiz.de/10012440315

The Effects of Exchange Rate Volatility on Korea's Automotive Industry Exports : A Panel Cointegration Analysis

Jung, Moon-Hyun - 2017

This paper investigated the impact of exchange rate volatility on the automotive industry exports of Korea using a traditional long-run export demand model. In measuring the exchange rate volatility this study employed the General Autoregressive Conditional Heteroscedasticity [GARCH(1,1)] model...

Persistent link: https://www.econbiz.de/10012957613

Dynamic Relationship between Stock Prices and Exchange Rates : Evidence from Chinese Stock Markets

Lee, Jung Wan - 2017

This paper empirically examines the short-run and long-run causal relationship between stock market prices and exchange rates in Chinese stock markets using monthly data from January 2002 to December 2012 retrieved from the National Bureau of Statistics of the People's Republic of China. Unit...

Persistent link: https://www.econbiz.de/10012970640

Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests

Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - 2018

The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations and to test for the dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, Tunisia,...

Persistent link: https://www.econbiz.de/10011897569

Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data

De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32

Evidence in favor of the monetary model of exchange rate determination for the South African Rand is, at best, mixed. A co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary model. With the econometric literature suggesting that...

Persistent link: https://www.econbiz.de/10009770376

Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen

Liew, Venus Khim-Sen - Volkswirtschaftliche Fakultät, … - 2009

This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the Philippines, using Breitung’s (2001) nonlinear cointegration testing procedures. The existence of such...

Persistent link: https://www.econbiz.de/10005025686

The Monetary Exchange Rate Model: Long-run, Short-run, and Forecasting Performance

Zhang, Shidong; Lowinger, Thomas C. - In: Journal of Economic Integration 22 (2007), pp. 397-406

This paper examines the monetary model of exchange rate determination for the US dollar exchange rates against the currencies of Canada, Japan, and the United Kingdom. In this paper, we utilize the cointegration technique for testing long-run relationship, and vector error correction model for...

Persistent link: https://www.econbiz.de/10009392017

Real exchange rate misalignment and economic growth in Nigeria (1960-2011)

Ibrahim, Waheed - In: CBN journal of applied statistics 7 (2016) 1, pp. 93-110

This paper examines the impact of real effective exchange rate misalignment on economic growth in Nigeria using an … exchange rate regime is characterized by a relatively lower real exchange rate misalignment over time compared with the fixed … exchange rate regime. The GMM estimate reveals that real exchange rate misalignment has negative but significant impact on …

Persistent link: https://www.econbiz.de/10011460320

The misalignment of real effective exchange rate : evidence from Tunisia

Derbali, Ahmed - 2021

This paper presents an estimation of the Tunisian equilibrium exchange rate based on the Behavioral Equilibrium Exchange Rate approach (BEER). The BEER framework links exchange rates to its fundamentals: Tunisian productivity, partners' productivity, trade openness and terms of trade. We...

Persistent link: https://www.econbiz.de/10012501404

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