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Unemployment fluctuations and the predictability of currency returns

Nucera, Federico - 2015 - This version: August 2015

We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the unemployment rate. We find that an investment strategy which...

Persistent link: https://www.econbiz.de/10015408806

Do Foreign Yield Curves Predict U.S. Recessions?

Ahmed, Rashad - 2022

This note shows that non-U.S. yield curves contain information about future U.S. recessions and economic activity. Using quarterly data from 1979-2021, a foreign term spread constructed from the bond yields of G-7 constituents is included in regressions of U.S. recession risk and U.S. real GDP...

Persistent link: https://www.econbiz.de/10013289150

Analysing oil price- macroeconomic volatility in Nigeria

Abdulkareem, Alhassan; Abdulhakeem, Kilishi A. - In: CBN journal of applied statistics 7 (2016) 1, pp. 1-22

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …

Persistent link: https://www.econbiz.de/10011460195

Why crises happen : nonstationary macroeconomics

Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010

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

Dusting off the perception of risk and returns in FOREX markets

Cumperayot, Phornchanok J. - 2003

, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize …

Persistent link: https://www.econbiz.de/10001753599

Dusting off the perception of risk and returns in FOREX markets

Cumperayot, Phornchanok J. - 2003

, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize …

Persistent link: https://www.econbiz.de/10011507667

Dusting Off the Perception of Risk and Returns in Forex Markets

Cumperayot, Phomchanok - 2021

, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize …

Persistent link: https://www.econbiz.de/10013320001

A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments : Mexico 1998-2008

Benavides, Guillermo - 2010

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and …

Persistent link: https://www.econbiz.de/10013144183

The Effect of Conditional Volatility, Skewness, and Excess Kurtosis on Interest Rates

AlTalafha, Sarah Hussein; Maroney, Neal - 2022

This paper examines the lognormality assumption of per capita, real consumption growth, which is a common assumption in asset pricing models. We found that shocks to household consumption growth are persistent, negatively skewed, and have excess kurtosis. Therefore, we revisited the fundamental...

Persistent link: https://www.econbiz.de/10014239651

A note on the volatilities of the interest rate and the exchange rate under different monetary policy instruments : Mexico 1998 - 2008

Benavides, Guillermo; Capistrán Carmona, Carlos - 2009

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …

Persistent link: https://www.econbiz.de/10003893830