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Conference on Financial Stability

1993

Persistent link: https://www.econbiz.de/10000960659

Multivariate stochastic volatility models : Bayesian estimation and model comparison

Yu, Jun; Meyer, Renate - In: Econometric reviews 25 (2006) 2/3, pp. 361-384

Persistent link: https://www.econbiz.de/10003355796

Forecasting exchange rates with commodity convenience yields

Beutler, Toni - 2012 - First draft: June 2012, This draft: September 2012

This paper investigates whether commodity convenience yields - the yields that accrue to the holders of physical commodities - can predict the exchange rate of commodity-exporters' currencies. Predictability is a consequence of the fact that i) convenience yields are useful predictors for...

Persistent link: https://www.econbiz.de/10009703006

Exchange rate volatility and choice of anchor currency : prospects for a Melanesian currency union

Lahari, Willie - 2011

: Australia, New Zealand, USA and Japan. The main findings showed that both short-term and cyclical exchange rate volatility are … focuses on the effects of a currency union on exchange rate volatility following similar approach by Scrimgeour (2002 … generally lower in a currency union with either Australia or New Zealand. However, the results vary under varying weights and …