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Heterogeneous expectations in the foreign exchange market evidence from the daily dollar

Ahrens, Ralf; Reitz, Stefan - 2003

In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...

Persistent link: https://www.econbiz.de/10009765353

The Cross-Section of Currency Volatility Premia

Della Corte, Pasquale - 2019

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …

Persistent link: https://www.econbiz.de/10012902489

Destabilizing Speculation and Exchange Rate Volatility

James, Robert G. - 2016

A simple two period, two country model is used to show that profit seeking speculation can destabilize exchange rates, a fact that has important implications toward international financial policy. Stable exchange rates may require use of government regulation and/or taxation to prevent the...

Persistent link: https://www.econbiz.de/10012997702

Linking net foreign portfolio debt and equity to exchange rate movements

Gardberg, Malin - 2018

Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997 - 6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...

Persistent link: https://www.econbiz.de/10011926196

Modelling volatility of the exchange rate of the Naira to major currencies

David, Reuben O.; Dikko, Hussaini G.; Gulumbe, Shehu U. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-29

-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1 … indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results …

Persistent link: https://www.econbiz.de/10011661515

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641

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

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2015

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

Persistent link: https://www.econbiz.de/10011326550

Dynamic demand adjustment and exchange rate volatility

Corbo, Vesna - 2014

exchange rate persistence in the presence of interest rate smoothing. A high volatility of the exchange rate turns out to be …

Persistent link: https://www.econbiz.de/10010437790

International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...

Persistent link: https://www.econbiz.de/10010414236

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