We identify a U.S.-driven factor using a monthly panel of fifteen bilateral exchange rates against the U.S. dollar since 1999. We find this factor is closely related to nominal and real macroeconomic variables, as well as financial market variables from the U.S. Using this factor alone, we show...

Unlike studies relying on data from industrial countries, recent studies using data from partially dollarized developing countries have found a favorable result to the uncovered interest parity hypothesis (UIP). In this paper, we test the robustness of these results using data from partially...

In this paper we introduce new Dynamic Conditional Score (DCS) models for the Skew-Gen-t (Skewed Generalized t) and NIG (Normal-Inverse Gaussian) distributions as alternatives to the recent DCS models for the Student’s-t and EGB2 (Exponential Generalized Beta of the second kind) distributions,...

The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous...

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of...

This paper proposes a simple chartist-fundamentalist model in which we allow for nonlinear time variation in chartists' extrapolation rate. Estimation of the model using monthly data for the major currencies vis-a-vis the US dollar shows that the model is significant in-sample and that it has...

Linear correlation is only an adequate means of describing the dependence between two random variables when they are jointly elliptically distributed. When the joint distribution of two or more variables is not elliptical the linear correlation coefficient becomes just one of many possible ways...

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

In this note we discuss the paper on exchange rate forecasting by Molodtsova and Papell (2012). In particular we discuss issues related to forecast origins and forecast horizons when higher frequency exchange rate movements are predicted using lower frequency quarterly macroaggregates

In the era of diminishing power from US dollar and increasing competition among world currencies, Bitcoin, as a completely new concept as a medium of exchange, has received increasing attentions over the world. Nowadays, Bitcoin also becomes an investment vehicle, which carries attractive...