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The Effects of Additional Monetary Tightening on Exchange Rates
Ermişoğlu, Ergun; Akçelik, Yasin; Oduncu, Arif; … - Volkswirtschaftliche Fakultät, … - 2013
Since the global financial crisis, Central Banks have used various policy tools to sustain financial stability besides price stability. Additional Monetary Tightening is one of these tools that the Central Bank of the Republic of Turkey used in 2011-2012. The effects of this tool on the exchange...
Persistent link: https://www.econbiz.de/10011261132
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Forecasting of Exchange Rate Volatility between Naira and US Dollar Using GARCH Models
Musa Y.; Tasi’u M.; Bello, Abubakar - In: International Journal of Academic Research in Business … 4 (2014) 7, pp. 369-381
volatility modeling of daily Dollar/Naira exchange rate using GARCH, GJR- GARCH, TGRACH and TS-GARCH models by using daily data … between US (Dollar) and Nigeria (Naira). The results show that the GJR-GARCH and TGARCH models show the existence of …
Persistent link: https://www.econbiz.de/10010798303
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Do We Often Find ARCH Because Of Neglected Outliers?
Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 1997
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily and weekly … data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new … result is that we find spurious GARCH in over 50% of the cases. Using Monte Carlo simulations, in which we evaluate our …
Persistent link: https://www.econbiz.de/10010837745
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Do We Often Find ARCH Because Of Neglected Outliers?
Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1997
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily and weekly … data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new … result is that we find spurious GARCH in over 50% of the cases. Using Monte Carlo simulations, in which we evaluate our …
Persistent link: https://www.econbiz.de/10008584701
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Protectionism, bilateral integration, and the cross section of exchange rate returns in US presidential debates
de Boer, Jantke; Eichler, Stefan; Rövekamp, Ingmar - 2022
We study the impact of US presidential election TV debates on intraday exchange rates of 96 currencies from 1996 to 2016. Expectations about protectionist measures are the main transmission channel of debate outcomes. Currencies of countries with high levels of bilateral foreign trade with the...
Persistent link: https://www.econbiz.de/10013457861
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On the short and long term real effects of nominal exchange rates
Aksoy, Yunus; Lustig, Hanno - 2002
In this paper we assess the implications of sunk costs and product differentiation on the pricing decisions of the multinational firms. For this purpose we use a modified version of Salop's spatial competition. The model yields clear-cut predictions regarding the effects of exchange rate shocks...
Persistent link: https://www.econbiz.de/10010317412
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Purchasing-Power-Parity and the Saving Behavior of Temporary Migrants
Akay, Alpaslan; Brausmann, Alexandra; Djajic, Slobodan; … - 2019
How does the saving behavior of immigrants respond to changes in purchasing power parity between the source and host countries? We examine this question by building a theoretical model of joint return-migration and saving decisions of temporary migrants and then test its implications by using...
Persistent link: https://www.econbiz.de/10014532926
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Do professional forecasters believe in uncovered interest rate parity?
Bürgi, Constantin; Song, Mengdi - 2023
No, not according to our data. Using a unique data set, we run panel regressions to test whether professional forecasters believe in uncovered interest rate parity (UIP). Specifically, we test whether the interest rate expectations for individual forecasters are in line with their exchange rate...
Persistent link: https://www.econbiz.de/10014540393
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Four facts about international central bank communication
Bertsch, Christoph; Hull, Isaiah; Lumsdaine, Robin L.; … - 2024
This paper introduces a novel database of text features extracted from the speeches of 53 central banks from 1996 to 2023 using state-of-the-art NLP methods. We establish four facts: (1) central banks with floating and pegged exchange rates communicate differently, and these differences are...
Persistent link: https://www.econbiz.de/10014564011
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Analisis Faktor-faktor yang Mempengaruhi Cadangan Devisa Nasional
Purnasari, Nina - 2011
The purpose of this study is to analyze the contribution of the exchange rate, interest rate differentials, differences in inflation rates, differences in economic growth and the composite share price index of national foreign exchange reserves. Data used in this research is secondary data...
Persistent link: https://www.econbiz.de/10009464184