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fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite …
Persistent link: https://www.econbiz.de/10013135725
The relation between the dollar's value and stock prices is controversial. Our analysis shows that returns were 2.6 times higher when the dollar was trending up versus down. Our key insight is that dollar trends should be evaluated in light of monetary policy. While stocks returns have been...
Persistent link: https://www.econbiz.de/10013035432
The "home bias" phenomenon states that empirically, economic agents often under-utilize opportunities beyond their country borders, and it is well-documented in various international pricing and purchase patterns. This bias manifests in the forms of fewer exchanges of goods and net...
Persistent link: https://www.econbiz.de/10013136584
This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark-US dollar spot exchange rate returns for both high and low frequency returns data. The FIGARCH model is found to be the preferred specification for both high frequency and daily returns...
Persistent link: https://www.econbiz.de/10013004295
In the paper, we show how the estimates of the daily volatility of major exchange rates, EUR/USD, AUD/USD, GBP/USD, and NZD/USD, depend on the hour at which the daily returns are calculated. FOREX market is open 24 hours a day, but traders from different parts of the world, if some local time is...
Persistent link: https://www.econbiz.de/10012828323
The extent to which economic policy uncertainty (EPU) amplifies exchange rate volatility has been an important research question for at least a decade. Previous research has investigated this relationship using monthly data, concluding that EPU imparts an effect on exchange rate volatility...
Persistent link: https://www.econbiz.de/10012932171
This article empirically examines the consequences of political uncertainty on the nominal exchange rate returns and the volatility for over hundred countries around the world. We used the monthly political risk data from the International Country Risk Guide and formed three measures of...
Persistent link: https://www.econbiz.de/10013023799
A large body of literature documents that returns from currency speculation are hightly volatile and possess a predictable component, which is itself highly volatile and serially correlated. Explaining the returns from currency speculation through the presence of a risk premium has proven...
Persistent link: https://www.econbiz.de/10014150335
The yen carry trade between the US and Japan has existed as a feasible investment strategy in direct violation of the … uncovered interest parity (UIP) condition. Using yen-dollar spot and forward exchange rate data from 1993 thorough 2007, I … accounts for the existence of the yen carry trade as a viable arbitrage opportunity …
Persistent link: https://www.econbiz.de/10013097217
Persistent link: https://www.econbiz.de/10009748240