We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterised by structural breaks which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition AutoRegressive of the kind introduced by Lundbergh et al (2003), we...

This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of KRW, SGD and INR in terms of USD and JPY. The daily returns generally are found to exhibit the widespread long memory volatility property and the FIGARCH model appears to be...

This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...

This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...

This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming predictability of returns, dependent on the sign and magnitude of endogenous shocks. Considering the properties of exchange rate returns, the quantile autoregression approach...

We propose a fundamentals-based econometric model for the weekly changes in the euro-dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies. The model obtains good in-sample fit and, more importantly, encouraging out-of-sample forecasting results at...

This research aims to test the functionality of the standard and the modifi ed HBS model, with the intention to discover whether sectoral differences in labor productivity affect the dinar/euro real exchange rate. The first part of the analysis is based on the standard HBS model, which...

From Olsen Financial Studies data on the Euro-Dollar currency pair (2008-2010), we conduct a time-series analysis to explain the role of trading volume on exchange rate volatility (Mixture Distribution Hypothesis), taking into account non-linearity. We find evidence that the MDH holds in...

We analyse the pattern of daily Euro - US Dollar exchange rates from the birth of Euro in January 1999 to December 2011. We document that also this series is I(1), as is usual for nominal bilateral exchange rates. However, we find evidence of the presence of day effects – even if they play a...

In this paper we analyze the adjustment dynamics of the euro-dollar real exchange rate towards one of the most relevant fundamentals: relative productivity. Using testing and estimation non-linear procedures for ESTAR models for the period 1970-2002, we find that the speed of real exchange rate...