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The big players in the foreign exchange market : do they trade on information or noise?

Wei, Shang-jin; Kim, Jungshik - 1997

Persistent link: https://www.econbiz.de/10000646557

Oil shocks in New Keynesian models : positive and normative implications

Chang, Jian - 2005

Persistent link: https://www.econbiz.de/10003904338

Canada's pioneering experience with a flexible exchange rate in the 1950s : (hard) lessons learned for monetary policy in a small open economy

Bordo, Michael D.; Dib, Ali; Schembri, Lawrence - 2007

Persistent link: https://www.econbiz.de/10003596159

Canada's pioneering experience with a flexible exchange rate in the 1950s : (hard) lessons learned for monetary policy in a small open economy

Bordo, Michael D. (contributor); Dib, Ali (contributor); … - 2007

This paper revisits Canada's pioneering experience with floating exchange rate over the period 19501962. It examines … whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open … that monetary policy was more volatile in the post-1957 period and Canada's macroeconomic performance suffered as a result …

Persistent link: https://www.econbiz.de/10003560550

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...

Persistent link: https://www.econbiz.de/10011476532