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Oil Prices and Exchange Rate Volatility in Arab Countries
Mundaca, Gabriela - 2012
I test the bipolar view hypothesis on the exchange rates of countries of the AMF which are countries with relative free capital mobility. I find that oil price shocks seem to be the source of less flexible exchange rates
Persistent link: https://www.econbiz.de/10013109768
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Real Exchange Rate Volatility, Financial Crises and Nominal Exchange Regimes
Morales-Zumaquero, Amalia - 2012
This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the … the RER volatility. To that end, we employ two complementary procedures that consist in detecting structural breaks in the … RER series and decomposing volatility into its permanent and transitory components. The results confirm that exchange rate …
Persistent link: https://www.econbiz.de/10013099193
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Stock prices and macroeconomic performance in Pakistan : an analysis
Mukhtar, Saima; Chaudhry, Imran Sharif; Bashir, Furrukh - In: Review of economics and development studies 1 (2015) 2, pp. 119-128
Persistent link: https://www.econbiz.de/10011925274
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Exchange rate movements and fundamentals : impact of oil prices and the People's Republic of China's growth
Chen, Hongyi; Cao, Shuo - 2019
This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...
Persistent link: https://www.econbiz.de/10011992197
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Estimating exchange rate dynamics with diffusion processes : an application to Greek EMU data
Trede, Mark; Wilfling, Bernd - 2004
Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...
Persistent link: https://www.econbiz.de/10009349862
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Minor nuisance around foreign exchange markets : lessons from the stability and growth pact debate
Bauer, Matthias; Zenker, Martin - 2011
not find systematic level effects. 2) Since volatility decreases following 'destabilising' political events, we conclude …
Persistent link: https://www.econbiz.de/10009569731
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Symmetric and Asymmetric Effects of Exchange Rates on Money Demand : Empirical Evidence From Vietnam
Ho, Sy Hoa - 2020
This empirical investigation aims at exploring the determinants of money demand in Vietnam by using both linear and nonlinear autoregressive distributed lags models over the period spanning from the third quarter of 2000 to the first quarter of 2018. Our findings can be summarized as follows:...
Persistent link: https://www.econbiz.de/10012845697
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Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek Emu Data
Trede, Mark M.; Wilfling, Bernd - 2004
Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...
Persistent link: https://www.econbiz.de/10014072638
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A Reinvestigation of the New RMB Exchange Rate Regime
Tian, Lei - 2012
In order to examine the new RMB exchange rate regime rigorously, we employ the STARTZ model to investigate the behavior of RMB NEER from mid-2006 to mid-2008. We find that a managed float with a target central parity and without an explicit band best describes the daily movement of the exchange...
Persistent link: https://www.econbiz.de/10013107943
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …
Persistent link: https://www.econbiz.de/10011477452