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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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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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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, 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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Do central banks respond to exchange rate movements? A structural investigation
Lubik, Thomas A.; Schorfheide, Frank - 2003
We estimate a small-scale, structural general equilibrium model of a small open economy using Bayesian methods. Our main focus is the conduct of monetary policy in Australia, Canada, New Zealand and the U.K., as measured by nominal interest rate rules. We consider generic Taylor-type rules,...
Persistent link: https://www.econbiz.de/10010293466
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Dollar-Euro Exchange Rate 1999-2004: Dollar and Euro as International Currencies
Shams, Rasul - 2005
On January 1,1999 euro became the currency for 11 member states of the European Union. Since then the dollar-euro exchange rate has completed a full turning. Three years of depreciation of the euro followed by three years of appreciation without wild fluctuations asks for an explanation which...
Persistent link: https://www.econbiz.de/10010295454
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Exchange rate uncertainty and labour market adjustment under fixed and flexible exchange rates
Chen, Yu-Fu; Funke, Michael - 2002
The standard literature on working time has modelled the decisions of firms in a deterministic framework in which firms can choose between employment and overtime (given mandated standard hours). Contrary to this approach, we follow the real options approach, which allows us to investigate the...
Persistent link: https://www.econbiz.de/10010295518
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Transaction taxes, traders' behavior and exchange rate risks
Demary, Markus - 2006
We propose a new model of chartist-fundamentalist-interaction in which both groups of traders are allowed to select endogenously between different forecasting models and different investment horizons. Stochastic interest rates in both countries and different behavioral assumptions for...
Persistent link: https://www.econbiz.de/10010296264
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A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes
Demary, Markus - 2007
We extend the model by DeGrauwe and Grimaldi (2006, EER) by currency transaction taxes. This model explains the exchange rate behavior by the interaction of heterogeneous traders who display either trend chasing behavior or rely on a return of the exchange rate back to its arbitrage free...
Persistent link: https://www.econbiz.de/10010296291
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The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy
Schnabl, Gunther; Danne, Christian - 2005
This paper studies the role of the yen/dollar exchange rate in the Bank of Japan?s monetary policy reaction function. In contrast to prior estimations of reaction functions based on the Taylor-rule, we allow for regime shifts by estimating rolling coefficients from January 1974 to March 1999....
Persistent link: https://www.econbiz.de/10010296337