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Nowcasting of the short-run Euro-Dollar exchange rate with economic fundamentals and time-varying parameters

Yemba, Boniface P.; Otunuga, Olusegun Michael; Tang, Biyan - In: Finance research letters 52 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472115

Essays on the volatility of macroeconomic and financial time series

Yu, Wei-choun - 2006

Persistent link: https://www.econbiz.de/10003973905

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies

Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014383984

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