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Oil price drivers, geopolitical uncertainty and oil exporters' currencies
Akram, Qaisar Farooq - 2019
Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time-variation could reflect shifts in the key oil price drivers over...
Persistent link: https://www.econbiz.de/10012214320
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The Volatility of Economic Policy Uncertainty
Hong, Tacye; Kattuman, Paul - 2021
Theory as well as empirics suggest that both the level and the volatility of uncertainty impact important economic … variables. There is a need to extend models of uncertainty to the volatility of uncertainty. We analyse the dynamics of the …, Germany, Italy and the UK – between 1997 and 2019, consider-able portions of both the level and the volatility of economic …
Persistent link: https://www.econbiz.de/10013323381
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The impact of CHF/EUR exchange rate uncertainty on swiss exports to the Eurozone : evidence from a threshold VAR1
Loermann, Julius Ferdinand - 2018
In light of the recent discussion regarding the measurement of uncertainty and its impact on economic activity, this paper derives forward-looking measures of uncertainty and directional expectations for the CHF/EUR exchange rate based on over-the-counter option data and analyses its impact on...
Persistent link: https://www.econbiz.de/10011946988
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Global risk and the dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk shocks in a Bayesian Proxy VAR model. They...
Persistent link: https://www.econbiz.de/10012705529
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Global Risk and the Dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk shocks in a Bayesian Proxy VAR model. They...
Persistent link: https://www.econbiz.de/10013310676
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Global risk and the dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2023
The dollar is a safe-haven currency and appreciates when global risk goes up. We investigate the dollar’s role for the transmission of global risk to the world economy within a Bayesian proxy structural vectorautoregressive model. We identify global risk shocks using high-frequency asset-price...
Persistent link: https://www.econbiz.de/10014438127
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Economic policy uncertainty and investors' sentiment : an Indian perspective
Idnani, Sohil; Adil, Masudul Hasan; Mal, Hoshiar; … - In: International journal of emerging markets 18 (2023) 10, pp. 3462-3485
Persistent link: https://www.econbiz.de/10014452343
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Exchange Rates, Macroeconomic Fundamentals and Risk Aversion
Olmo, Jose - 2011
This paper shows that under absence of arbitrage opportunities the exchange rate reacts to restore equilibrium in international bond markets. The key factors determining its value are the difference between realized and implicit interest rate differentials, the underlying risk premium in bond...
Persistent link: https://www.econbiz.de/10013131584
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Measuring Exchange Rate Risks During Periods of Uncertainty
Ferrara, Laurent - 2020
In this paper, we empirically look at the effects of uncertainty on risk measures for exchange rates, by focusing on two recent specific periods: the Brexit and the outbreak of the Covid-19. Based on a Fama regression extended with uncertainty measures, we forecast exchange rate in the short run...
Persistent link: https://www.econbiz.de/10012831289
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is …
Persistent link: https://www.econbiz.de/10010266026