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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
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Uncovered Interest Parity Puzzle : Cross-Sectional and Time-Series Analysis
Lee, Byung-Joo - 2006
This paper proposes a new explanationfor the UIP puzzle by analyzing a large number of cross-country bilateral exchange rates in two dimensions, cross-sectional and time-series. The exchange rates analyzed here includes a broad spectrum of developed and developing countries. The UIP relationship...
Persistent link: https://www.econbiz.de/10014058546
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A Sentiment-Based Explanation of the Forward Premium Puzzle
Yu, Jianfeng - 2015
A sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle. Agents over- or underestimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the...
Persistent link: https://www.econbiz.de/10013039206
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Long memory and structural changes in the forward discount : an empirical investigation
Choi, Kyongwook; Zivot, Eric - 2003
Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...
Persistent link: https://www.econbiz.de/10011512994
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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An Essay on Exchange Rate Dynamics
Schulmeister, Stephan - 2010
economic theory. In order to detect this pattern, the "gestalt" of exchange rate fluctuations is carefully explored. It is …
Persistent link: https://www.econbiz.de/10013135726
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Time Series Properties and Predictability of Pak Rupee/US Dollar Exchange Rate
Suleman, Muhammad Tahir - 2012
This paper investigate the time series properties and predictability of daily percentage changes in the Pakistani rupee exchange rate with respect to the currencies of major trading partner country USA. The daily data is used for the time period of October 1988 to April 2012. In this study, we...
Persistent link: https://www.econbiz.de/10013107625
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Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate
Oyinlola, Mutiu Abimola - In: CBN journal of applied statistics 9 (2018) 1, pp. 141-165
This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...
Persistent link: https://www.econbiz.de/10011922750
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Cross-Dynamics of Exchange Rate Expectations : A Wavelet Analysis
Nikkinen, Jussi; Pynnonen, Seppo; Ranta, Mikko; … - 2020
This paper focuses on the cross-dynamics of exchange rate expectations over different time-scales. We use over-the-counter currency options on the euro, Japanese yen, and British pound vis-à-vis the U.S. dollar to extract expected probability density functions of future exchange rates, and...
Persistent link: https://www.econbiz.de/10014352436
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A New Wavelet-based Ultra-High-Frequency Analysis of Triangular Currency Arbitrage
Gradojevic, Nikola - 2019
We develop a new framework to characterize the dynamics of triangular (three-point) arbitrage in electronic foreign … exchange markets. To examine the properties of arbitrage, we propose a wavelet-based regression approach that is robust to … liquidity and market risk indicators to predict arbitrage in a unique ultra-high-frequency exchange rate data set. We find …
Persistent link: https://www.econbiz.de/10012901278