Showing 1 - 10 of 5,216
evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …
Persistent link: https://www.econbiz.de/10011312197
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10008758527
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 autoregressive models, a significant disturbing impact of volatility can be found …
Persistent link: https://www.econbiz.de/10011294706
We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …
Persistent link: https://www.econbiz.de/10012890265
This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...
Persistent link: https://www.econbiz.de/10012668314
stability. Volatility in nominal exchange rate spills over to the real sectors of the economy affecting output, employment and … price stability. From this point of view, an assessment of exchange rate volatility assumes importance in studies on … confirm the existence of substantial volatility in the nominal INR-USD exchange rate evolving unilaterally and jointly with …
Persistent link: https://www.econbiz.de/10012995035
A DSGE model with a Taylor rule is augmented with an evolutionary switching between technical and fundamental analyses in currency trade, where the fractions of these trading tools are determined within the model. Then, a shock hits the economy. As a result, chaotic dynamics and long swings may...
Persistent link: https://www.econbiz.de/10014222710
The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned with cycle frequencies in real output. Joint...
Persistent link: https://www.econbiz.de/10012660709
Persistent link: https://www.econbiz.de/10010196207
This study is aimed at estimation of the exchange rate volatility and its impact on the business cycle fluctuations in … four central and eastern European countries (the Czech Republic, Hungary, Poland, and Romania). Exchange rate volatility is … estimated with the EGARCH(1,1) model. It is found that exchange rate volatility is affected by the components of the Index of …
Persistent link: https://www.econbiz.de/10012508802