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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
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The Indian exchange rate and Central Bank action : an EGARCH analysis
Goyal, Ashima; Arora, Sanchit - In: Journal of Asian economics 23 (2012) 1, pp. 60-72
Persistent link: https://www.econbiz.de/10009703198
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Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period
Demirbas, Erkan; Can, Nurettin - In: Journal of central banking theory and practice 11 (2022) 3, pp. 155-178
This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM … contributed to decreasing the volatility of USD/TL exchange rate for the period 2013-2014. We construct four Models where four …
Persistent link: https://www.econbiz.de/10013407510
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Impact of US monetary policy uncertainty on Asian exchange rates
Park, Donghyun; Aleem, Irfan; Tian, Shu; Villaruel, Mai Lin - In: Economic change & restructuring 55 (2022) 1, pp. 73-82
Persistent link: https://www.econbiz.de/10012817325
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Central bank intervention in USD/INR market : estimating its reaction function and impact on volatility
Trivedi, Smita Roy; Apte, Prakash Gajanan - In: Asia-Pacific financial markets 23 (2016) 3, pp. 263-279
Persistent link: https://www.econbiz.de/10011619931
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Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates
Lütkepohl, Helmut; Milunovich, George - 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a … structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be … modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …
Persistent link: https://www.econbiz.de/10010488275
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Exchange rate pass-through in Russia
Ponomarev, Jurij; Trunin, Pavel V.; Uljukaev, Aleksej V. - 2014
assessments on different sub-periods and exchange rate volatility effect on pass-through are also provided. …
Persistent link: https://www.econbiz.de/10011398366
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Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur; Cheng, Jen-chi; Vijverberg, Chu-ping C. - In: Applied economics 48 (2016) 4/6, pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
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The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets
Karfakis, Costas I.; Panagiōtidēs, Theodōros - In: Empirica : journal of european economics 42 (2015) 4, pp. 795-811
Persistent link: https://www.econbiz.de/10011485673
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Determinants of the CNY/USD exchange rate : a simultaneous-equation model
Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281
Persistent link: https://www.econbiz.de/10011502648