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US dollar exchange rate elasticity of gold returns at different federal fund rate zones

Herley, Michael D.; Orłowski, Lucjan T.; Ritter, Mark A. - In: Economies : open access journal 12 (2024) 9, pp. 1-10

We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are … SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function … consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also …

Persistent link: https://www.econbiz.de/10015073524

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by...

Persistent link: https://www.econbiz.de/10012886334

Time-varying effects of the COVID-19 pandemic on stock markets and economic activity : evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - In: Empirica : journal of european economics 51 (2024) 2, pp. 529-558

Persistent link: https://www.econbiz.de/10014557642

Point, interval and density forecasts of exchange rates with time-varying parameter models

Abbate, Angela; Marcellino, Massimiliano - 2016

We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...

Persistent link: https://www.econbiz.de/10011489395

US Shocks and the Uncovered Interest Rate Parity

Fu, Bowen; Li, Mengheng - 2021

The literature on uncovered interest rate parity (UIP) shows two empirical puzzles. One is the failure of UIP, and the other is the unstable coefficients in the UIP regression. We propose a time-varying coefficients model with stochastic volatility and US structural shocks (TVC-SVX) to study how...

Persistent link: https://www.econbiz.de/10013225539

Consumer Confidence as a Predictor of Consumption Spending : Evidence for the United States and the Euro Area

Dées, Stéphane - 2011

For most academics and policy makers, the depth of the 2007-09 financial crisis, its longevity and its impacts on the real economy resulted from an erosion of confidence. This paper proposes to assess empirically the link between consumer sentiment and consumption expenditures for the United...

Persistent link: https://www.econbiz.de/10013124648

Consumer confidence as a predictor of consumption spending : evidence for the United States and the euro area

Dées, Stéphane; Soares Brinca, Pedro - 2011

Persistent link: https://www.econbiz.de/10009160013

Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing...

Persistent link: https://www.econbiz.de/10015197299

Spillovers from U.S. Unconventional Monetary Policy and its Normalization to Emerging Markets : A Capital Flow Perspective

Suh, Sangwon - 2016

Policy makers employed unconventional monetary policy (UMP) tools to respond to the recent global financial crisis in the U.S. and other advanced economies, and the UMP is about to be normalized. In this paper, we try to quantitiatively assess the effects of the UMP and its normalization on...

Persistent link: https://www.econbiz.de/10012996355

Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies' Stock Market Volatilities

Kayral, Ihsan Erdem - 2017

In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...

Persistent link: https://www.econbiz.de/10012950808