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Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset
Kühl, Michael (contributor) - 2008
cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …
Persistent link: https://www.econbiz.de/10003776194
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Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices
Beckmann, Joscha - 2011
; cointegration ; nonlinear vector error correction …
Persistent link: https://www.econbiz.de/10009580305
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Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials
Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016
This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....
Persistent link: https://www.econbiz.de/10011414128
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
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The Impact of the U.S. Employment Report on Exchange Rates
Ederington, Louis H. - 2019
The impact of the U.S. Employment Report and analyst forecasts of that report's major statistics on Pound/Dollar, Yen/Dollar, and Euro/Dollar exchange rates are explored. While the nonfarm payroll employment figure has the greatest impact, we find that the exchange rates also react to the...
Persistent link: https://www.econbiz.de/10012864170
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Bank of Japan and Federal Reserve Interventions in the Yen/ U.S. Dollar Market : Estimating the Central Banks' Reaction Functions
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002
This paper uses recently released official data on the foreign exchange market interventions of the Bank of Japan (BoJ) in the yen/U.S. dollar market during the period 1991-2001 in order to examine the motivation for the intervention policy of the BoJ. We also compare the intervention policy of...
Persistent link: https://www.econbiz.de/10014117199
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Protectionism, bilateral integration, and the cross section of exchange rate returns in US presidential debates
Boer, Jantke de; Eichler, Stefan; Rövekamp, Ingmar - 2022
We study the impact of US presidential election TV debates on intraday exchange rates of 96 currencies from 1996 to 2016. Expectations about protectionist measures are the main transmission channel of debate outcomes. Currencies of countries with high levels of bilateral foreign trade with the...
Persistent link: https://www.econbiz.de/10013441639
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McCallum rules, exchange rates, and the term structure of interest rates
Díez de los Ríos, Antonio (contributor) - 2008
McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...
Persistent link: https://www.econbiz.de/10003775749
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Do both US and foreign macro surprises matter for the intraday exchange rate? : evidence from Japan
Fatum, Rasmus; Hutchison, Michael M.; Wu, Thomas - 2009
We investigate the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. No previous study has considered the intraday JPY/USD exchange rate responses to a broad...
Persistent link: https://www.econbiz.de/10003811787
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Do both US and foreign macro surprises matter for the intraday exchange rate? : Evidence from Japan
Fatum, Rasmus; Hutchison, Michael M.; Wu, Thomas Yen Hon - 2008
No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We attempt to fill this gap in the literature by investigating the effects of both U.S. and Japanese news surprises, measured as the difference...
Persistent link: https://www.econbiz.de/10003854798