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Exchange return co-movements and volatility spillovers before and after the introduction of euro
Antonakakis, Nikolaos - 2012
This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …
Persistent link: https://www.econbiz.de/10011347744
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Zur Qualität professioneller Wechselkursprognosen : sind professionelle Wechselkursprognosen eine sinnvolle Entscheidungshilfe für Unternehmen und Investoren?/ Robert Schmidt
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010498979
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The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe
Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...
Persistent link: https://www.econbiz.de/10014500215
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Conventions in the foreign exchange market : do they really explain exchange rate dynamics?
Filippo, Gabriele Di - 2010
exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …
Persistent link: https://www.econbiz.de/10011373501
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The euro and international capital markets
Detken, Carsten; Hartmann, Philipp - 2000
This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for international financing as well as for international...
Persistent link: https://www.econbiz.de/10009767695
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Nominal exchange rates EUR/GRD and EUR/ITL in the context of leaving the euro zone by Greece and Italy
Dąbrowska-Gruszczyńska, Katarzyna; Gruszczyński, Marcin - In: Journal of economics & management 43 (2021) 1, pp. 293-316
sample covers Greece in 1989-2020 and Italy in 1989-2020. Findings - The research presented the estimation of shadow exchange …
Persistent link: https://www.econbiz.de/10013166669
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The Euro/Dollar exchange rate : chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...
Persistent link: https://www.econbiz.de/10009011774
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The Euro Bloc, the Dollar Bloc and the Yen Bloc : How Much Monetary Policy Independence Can Exchange Rate Flexibility Buy in an Interdependent World?
Fratzscher, Marcel - 2021
force in world capital markets, although the importance of EU monetary policy decisions has been increasing and a Euro bloc …
Persistent link: https://www.econbiz.de/10013320230
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Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium : Euro-Area Evidence
Nitschka, Thomas - 2010
The failure to empirically prove uncovered interest rate parity conditions seems to be related to the presence of risk premia on foreign currencies. Recent studies suggest that either consumption- or currency-return-based pricing factors explain the cross section of foreign currency portfolio...
Persistent link: https://www.econbiz.de/10013142105
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The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps
Dewachter, Hans - 2013
two measures: continuous volatility and discontinuous jumps . Focusing on the euro-dollar exchange rate, we provide …. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several … volatility are mostly driven by the communication of the Euro area officials rather than US authorities …
Persistent link: https://www.econbiz.de/10013085549