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Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate : A Simultaneous Equations Approach Using Realized Volatility
Hillebrand, Eric T.; Schnabl, Gunther; Ulu, Yasemin - 2021
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate … successful interventions, both in depreciating the yen and in reducing exchange rate volatility …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility …
Persistent link: https://www.econbiz.de/10013317518
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The Predictive Information Content of External Imbalances for Exchange Rate Returns : How Much is it Worth?
Della Corte, Pasquale - 2011
This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to...
Persistent link: https://www.econbiz.de/10013131587
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The Predictive Information Content of External Imbalances for Exchange Rate Returns : How Much is it Worth?
Della Corte, Pasquale - 2016
This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to...
Persistent link: https://www.econbiz.de/10013008788
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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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Do Options-Implied Rnd Functions on G3 Currencies Move Around the Times of Interventions on the Jpy/Usd Exchange Rate?
Castren, Olli - 2021
the estimated RNDs on the JPY/EUR and USD/EUR currency pairs. In particular, the operations where Japanese yen is sold … coincide with a movement in the mean of the RND towards a weaker yen both against the US dollar and the euro, as well as with …
Persistent link: https://www.econbiz.de/10013319012
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Further Evidence on Implicit Bands in the Yen/Dollar Exchange Rate
Ledesma Rodríguez, Francisco; Navarro Ibáñez, Manuel; … - 2006
This paper attempts to identify implicit exchange rate regimes for the Yen/Dollar exchange rate. To that end, we apply … such implicit bands indicates the high degree of confidence attributed by economic agents to the evolution of the Yen …
Persistent link: https://www.econbiz.de/10014057289
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Implicit Bands in the Yen/Dollar Exchange Rate
Ledesma Rodríguez, Francisco; Navarro Ibáñez, Manuel; … - 2005
This paper attempts to identify implicit exchange rate regimes for the Yen/Dollar exchange rate. To that end, we apply … such implicit bands indicates the high degree of confidence attributed by economic agents to the evolution of the the Yen …
Persistent link: https://www.econbiz.de/10014067745
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Nominal exchange rates EUR/GRD and EUR/ITL in the context of leaving the euro zone by Greece and Italy
Dąbrowska-Gruszczyńska, Katarzyna; Gruszczyński, Marcin - In: Journal of economics & management 43 (2021) 1, pp. 293-316
sample covers Greece in 1989-2020 and Italy in 1989-2020. Findings - The research presented the estimation of shadow exchange …
Persistent link: https://www.econbiz.de/10013166669
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COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?
Virk, Nader - 2021
We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...
Persistent link: https://www.econbiz.de/10013242732
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Exchange rate expectations of chartists and fundamentalists
Dick, Christian D.; Menkhoff, Lukas - 2012
This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally...
Persistent link: https://www.econbiz.de/10009521123