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Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period
Demirbas, Erkan; Can, Nurettin - In: Journal of central banking theory and practice 11 (2022) 3, pp. 155-178
This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM …
Persistent link: https://www.econbiz.de/10013407510
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Exchange rate pass-through in Russia
Ponomarev, Jurij; Trunin, Pavel V.; Uljukaev, Aleksej V. - 2014
The article provides estimates of short-run and medium-run exchange rate pass-through into domestic prices in Russia during the period of 2000–2012 using vector error correction model. Exchange rate pass-through asymmetry estimates, its assessments on different sub-periods and exchange rate...
Persistent link: https://www.econbiz.de/10011398366
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...
Persistent link: https://www.econbiz.de/10003582754
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An Online Appendix to : 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'
Ames, Matthew - 2016
This online appendix to "Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences" includes the copula density function for the Clayton-Frank-Gumbel mixture copula and the details for the likelihood based estimation of the multivariate currency basket log returns....
Persistent link: https://www.econbiz.de/10013004092
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Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences
Ames, Matthew - 2015
The uncovered interest rate parity puzzle questions the economic relation existing between short term interest rate differentials and exchange rates. One would indeed expect that the differential of interest rates between two countries should be offset by an opposite evolution of the exchange...
Persistent link: https://www.econbiz.de/10013018402
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been … EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial … clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review …
Persistent link: https://www.econbiz.de/10012237439
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Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399
Persistent link: https://www.econbiz.de/10010528976
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The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects
Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023
Efficient Market Hypothesis (EMH) in the studied market. The restructuring of the world wheat market resulting from the rise of …
Persistent link: https://www.econbiz.de/10013534341
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Exchange rate volatility and exports : estimation of firms risk preferences
Broll, Udo; Mukherjee, Soumyatanu; Sensarma, Rudra - 2017
In this companion paper to Broll and Mukherjee (2017), we empirically analyse how exchange rate volatilities affect firms optimal production and exporting decisions. The firms elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible...
Persistent link: https://www.econbiz.de/10011638802
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Exchange rate volatility effects on the German labour market : a survey of recent results and extensions
Buscher, Herbert S.; Mueller, Claudia - 1999
In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different volatility measures and four country groups. In...
Persistent link: https://www.econbiz.de/10011294706