Narrow search
Showing 1 - 10 of 12,377
Cover Image
On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - 2003
In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...
Persistent link: https://www.econbiz.de/10010296439
Cover Image
Estimating exchange rate exposure over various return horizons : focusing on major countries in East Asia
Lee, Jeong Wook; Ahn, Sunghee; Kang, Sam-mo - In: East Asian economic review 20 (2016) 4, pp. 469-491
In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared....
Persistent link: https://www.econbiz.de/10011765037
Cover Image
On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
Reitz, Stefan; Ruelke, Jan-Christoph; Taylor, Mark P. - 2010
This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that...
Persistent link: https://www.econbiz.de/10003964417
Cover Image
On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates
Ruelke, Jan C. - 2016
This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that...
Persistent link: https://www.econbiz.de/10012991094
Cover Image
Market efficiency of euro exchange rates and trading strategies
Bošnjak, Mile; Novak, Ivan; Vlajčić, Davor - In: Naše gospodarstvo : NG 67 (2021) 2, pp. 10-19
This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming predictability of returns, dependent on the sign and magnitude of endogenous shocks. Considering the properties of exchange rate returns, the quantile autoregression approach...
Persistent link: https://www.econbiz.de/10012619841
Cover Image
On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
Reitz, Stefan; Ruelke, Jan-Christoph; Taylor, Mark P. - In: The economic record : er 87 (2011), pp. 465-479
Persistent link: https://www.econbiz.de/10009317762
Cover Image
The imported price, inflation and exchange rate pass-through in China
Yue, Liu Hai; Chen, Xiao Lan - In: Cogent economics & finance 5 (2017) 1, pp. 1-13
This paper considers the effect of exchange rate (ER) level on China’s domestic prices during the period of 2003–2012. We examine China’s consumer price index (CPI), import price index (IPI) and producer price index (PPI) by using time series vector error correction analysis. The main...
Persistent link: https://www.econbiz.de/10011598073
Cover Image
Determinants of the ZAR/USD exchange rate and policy implications : a simultaneous-equation model
Hsing, Yu - In: Cogent economics & finance 4 (2016) 1, pp. 1-7
South African government bond yield, US real GDP, the US stock price and the South African inflation rate and negatively … influenced by the 10-year US government bond yield, South African real GDP, the South African stock price, and the US inflation …
Persistent link: https://www.econbiz.de/10011450559
Cover Image
Exchange rate pass-through to consumer prices: a European perspective
Schröder, Michael; Hüfner, Felix P. - 2002
We study the pass-through of exchange rate changes to consumer prices for the euro area by estimating vector error correction models for Germany, France, Italy, the Netherlands and Spain. Using the weights of the Harmonized Index of Consumer Prices (HICP) we compute a weighted average of the...
Persistent link: https://www.econbiz.de/10010298101
Cover Image
Exchange Rate Pass-Through to Domestic Prices in Nigeria : An Empirical Investigation
Zubair, Abdulrasheed - 2015
This paper uses the impulse response from an estimated structural autoregressive model of the inflation process to … elasticity of inflation to exchange rate changes is about 0.02, and it takes about eight quarters to reach its full-impact of … variance decomposition analysis suggests that money supply has contributed more to Nigeria's inflation process relative to the …
Persistent link: https://www.econbiz.de/10013020686