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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2020
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012850036
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The Reserve Bank of Australia Intervention : Exchange Rate Volatility from FIGARCH Modelling
Ajmi, Ahdi Noomen; Ghorbel, Ahmed; Trabelsi, Abdelwahed - 2003
In this paper, we investigate the effect of the Reserve Bank of Australia on the $US/$A volatility in the period 1983 … various separate components. We test the existence of a long memory behaviour i.e. a finite persistence of volatility. To this … aim, we rely on a new mesure of volatility implied by the FIGARCH model that outperforms the traditionnally used GARCH one …
Persistent link: https://www.econbiz.de/10014074870
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Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999 - 2000
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001
Persistent link: https://www.econbiz.de/10001584428
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Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10011473872
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The Euro Bloc, the Dollar Bloc and the Yen Bloc : How Much Monetary Policy Independence Can Exchange Rate Flexibility Buy in an Interdependent World?
Fratzscher, Marcel - 2021
force in world capital markets, although the importance of EU monetary policy decisions has been increasing and a Euro bloc …
Persistent link: https://www.econbiz.de/10013320230
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Is Implied Taylor Rule Interest Rate Applicable as a Carry Trade Strategy?
Ogruk-Maz, Gokcen - 2017
differentials as a trading strategy in Yen and Franc trades for the whole sample period. During the recent financial crisis, the …
Persistent link: https://www.econbiz.de/10012944234
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953
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Central Bank Reserves and Currency Volatility
Ferreira, Alex Luiz - 2020
We investigate the effects of Central Bank interventions which are designed to smooth exchange rate volatility but are …
Persistent link: https://www.econbiz.de/10012848812
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China's evolving managed float : an exploration of the roles of the fix and broad dollar movements in explaining daily exchange rate changes
Clark, John - 2017
volatility. On days of broad dollar strengthening, the CNY is found to depreciate against the dollar but appreciate against the …
Persistent link: https://www.econbiz.de/10011754330
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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014305726