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of the euro/dollar real exchange rate. Given this value, one could then give a precise meaning to the notion of … undervaluation or overvaluation of the euro, and calculate its misalignment. The problem however arises of how to assess the … calculations. This of course is not (yet) possible for the euro, so that all the calculations of the misalignment of the euro that …
Persistent link: https://www.econbiz.de/10013320859
In this note we discuss the paper on exchange rate forecasting by Molodtsova and Papell (2012). In particular we discuss issues related to forecast origins and forecast horizons when higher frequency exchange rate movements are predicted using lower frequency quarterly macroaggregates
Persistent link: https://www.econbiz.de/10013100515
One of the world's largest financial markets is the “global foreign exchange market,” with average daily trades in … trillions of dollars. The forex market is the backbone of international trade, global investing, and is critical to support … recommended that by keeping some of these factors strong, we will have a healthy foreign exchange market, which in turn leads to a …
Persistent link: https://www.econbiz.de/10013248473
This study investigates the temporal variation in the safe haven status of the Japanese yen, Swiss franc, and U.S. dollar. Investors prefer to purchase a safe haven currency (SHC) in times of high exchange rate volatility, parametrized herein with time-variant degrees of risk aversion. Until the...
Persistent link: https://www.econbiz.de/10014257527
Euro has been realized by examining the impact of the Euro on the global financial market …One possible consequence of the establishment of the Euro is a challenge to the hegemony of the US dollar as the … presence of large shocks opens a window of opportunity for the Euro to promote systemic stability. The present study pursues …
Persistent link: https://www.econbiz.de/10014056420
Regular or automated processes require reliable software applications that provide accurate volatility and Value-at-Risk forecasts. The univariate and multivariate GARCH models proposed in the literature are reviewed and the suitability of selected R functions for automated forecasting systems...
Persistent link: https://www.econbiz.de/10013474092
foreign asset position, an indicator of external vulnerability, and to a lesser extent the absolute size of the stock market …, an indicator of market size and development. The interest rate spread against the US is significant only for advanced …
Persistent link: https://www.econbiz.de/10013131638
Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....
Persistent link: https://www.econbiz.de/10013097780
The study investigates the interactions between changes in the exchange value of Indian rupee for dollar and euro, and … returns on different indices of National Stock Exchange (NSE) in the Indian stock market using daily data of the last ten … years. Sensitivity of dollar and euro is computed using Adler and Dumas (1984) model, along with impulse response function …
Persistent link: https://www.econbiz.de/10013098268