Showing 1 - 10 of 169
This paper explores whether the exchange rate effects of macro news are time- and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Crisis. A comprehensive set totaling 40...
Persistent link: https://www.econbiz.de/10014122546
We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference...
Persistent link: https://www.econbiz.de/10014404056
Persistent link: https://www.econbiz.de/10000841901
Persistent link: https://www.econbiz.de/10001137097
Persistent link: https://www.econbiz.de/10001141845
Assessing exchange rate misalignment is not an easy task. With reference to the debate on the value of China's currency, the renminbi (RMB), this article highlights a few challenges in properly assessing the extent of currency misalignment. The results derived from the fundamental equilibrium...
Persistent link: https://www.econbiz.de/10009533965
We investigate whether foreign exchange intervention volume matters for the exchange rate effects of intervention. Our investigation employs daily data on Japanese interventions from April 1991 to April 2012 and time-series estimations, non-temporal threshold analysis, as well as binary choice...
Persistent link: https://www.econbiz.de/10009536556
We use non-temporal threshold analysis to investigate the exchange rate effects of large versus small interventions. More than two decades of official daily data on intervention in the JPY/USD market facilitate our analysis. We find no evidence that small interventions exert a discernible...
Persistent link: https://www.econbiz.de/10013034015
Persistent link: https://www.econbiz.de/10001503866
Persistent link: https://www.econbiz.de/10001428651