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This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …
Persistent link: https://www.econbiz.de/10011347744
Persistent link: https://www.econbiz.de/10013092279
The aim of this paper is to detect periods in which two currencies can be classified as being theʺsameʺ asset. Two currencies can be treated as the same asset if their exchange rates vis-`a-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...
Persistent link: https://www.econbiz.de/10003776194
the yen/US dollar dynamics. -- exchange rates ; interventions ; Japan …
Persistent link: https://www.econbiz.de/10009312174
The paper provides a measure of exchange rate anchoring behaviour across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...
Persistent link: https://www.econbiz.de/10009160000
The paper provides a measure of exchange rate anchoring behavior across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...
Persistent link: https://www.econbiz.de/10013124257
Persistent link: https://www.econbiz.de/10001802776
Persistent link: https://www.econbiz.de/10001235408
Persistent link: https://www.econbiz.de/10001338366
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10011431685