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A fundamental connection : exchange rates and macroeconomic expectations
Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020
This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...
Persistent link: https://www.econbiz.de/10012429208
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A note on the empirical relation between oil prices and the value of the dollar
Marquez, Jaime R.; Merler, Silvia - In: Journal of risk and financial management : JRFM 13 (2020) 8/164, pp. 1-16
This paper offers an empirical characterization of the relation between the international price of oil and exchange rates that is both useful and reliable. Our characterization is useful because it rests on information of asset prices that are determined in functioning asset markets. Our...
Persistent link: https://www.econbiz.de/10012322360
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Do oil prices and exchange rates affect the US stock market? : new evidence from the asymmetric cointegration approach
Panagiotis, Rafailidis; Constantinos, Katrakilidis - In: Bulletin of applied economics 8 (2022) 2, pp. 147-161
Persistent link: https://www.econbiz.de/10013271161
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U.S. stock markets and the role of real interest rates
Huang, Wanling; Mollick, André Varella; Nguyen Khoa Huu - In: The quarterly review of economics and finance : journal … 59 (2016), pp. 231-242
Persistent link: https://www.econbiz.de/10011627292
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …
Persistent link: https://www.econbiz.de/10012900291
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Oil prices and real exchange rates in the NAFTA region
Baghestani, Hamid; Toledo, Hugo - In: The North American journal of economics and finance : a … 48 (2019), pp. 253-264
Persistent link: https://www.econbiz.de/10012120237
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Short-term inflation projections model and its assessment in Latvia
Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic journal of economics 21 (2021) 2, pp. 184-204
Modelling Approach to Cointegration Analysis. Econometric Society Monographs, 31, 371-413.]. We assess the forecast accuracy of …
Persistent link: https://www.econbiz.de/10012805901
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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates
Hossfeld, Oliver - 2010
effective exchange rates and currency misalignments for the US and its 16 major trading partners. We apply cointegration and … panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel … cointegration tests by Westerlund (2007), as well as different estimators. While we find strong evidence for the Balassa …
Persistent link: https://www.econbiz.de/10011374380
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10011856403
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Fundamental determinants of exchange rate expectations
Beckmann, Joscha; Czudaj, Robert - 2022
This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. In doing so, we assess...
Persistent link: https://www.econbiz.de/10012990178