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A note on the empirical relation between oil prices and the value of the dollar
Marquez, Jaime R.; Merler, Silvia - In: Journal of risk and financial management : JRFM 13 (2020) 8/164, pp. 1-16
This paper offers an empirical characterization of the relation between the international price of oil and exchange rates that is both useful and reliable. Our characterization is useful because it rests on information of asset prices that are determined in functioning asset markets. Our...
Persistent link: https://www.econbiz.de/10012322360
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Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
Bauer, Matthias; Zenker, Martin - 2012
This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...
Persistent link: https://www.econbiz.de/10010334518
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Minor nuisance around foreign exchange markets : lessons from the stability and growth pact debate
Bauer, Matthias; Zenker, Martin - 2011
This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...
Persistent link: https://www.econbiz.de/10009569731
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The role of the U.S. exchange-rate equity market volatility on agricultural exports and forecasts
Addey, Kwame Asiam; Nganje, William - In: Canadian journal of agricultural economics : CJAE 71 (2023) 1, pp. 25-47
Persistent link: https://www.econbiz.de/10014310629
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146
the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …
Persistent link: https://www.econbiz.de/10012619980
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
co-integration tests and the studies on South Africa primarily using short-span data from the post-Bretton Woods era, we … Dollar using annual data from 1910 – 2010. The results provide some support for the monetary model in that long-run co-integration … exchange rate. A subsequent comparison of nominal exchange rate forecasts based on the monetary model with those of the random …
Persistent link: https://www.econbiz.de/10009770376
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An ARDL analysis of the exchange rates principal determinants : ASEAN-5 aligned with the Yen
AbuDalu, Abdalrahman; Elsadig Musa Ahmed - 2011
distributed lag (ARDL) approach to co-integration (Pesaran et al., 2001) over the period 1991:Q1 – 2006:Q2. Our empirical results …
Persistent link: https://www.econbiz.de/10009689680
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Monetary policy and exchange rates : a balanced two-country cointegrated VAR model approach
Heinlein, Reinhold; Krolzig, Hans-Martin - 2013
decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …
Persistent link: https://www.econbiz.de/10010228354
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Asymmetric cointegration between exchange rate and trade balance in Nigeria
Alhaji Jibrilla, Aliyu; Tijjani, Shehu Mohammed - In: Cogent economics & finance 3 (2015) 1, pp. 1-19
by means of threshold cointegration and asymmetric error correction modeling. The study provides evidence for non …-linear cointegration between our variables of interest. The estimated asymmetric error correction models provide new evidence for slower …
Persistent link: https://www.econbiz.de/10011449671
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Determinants of foreign reserves in Nigeria : an autoregressive distributed lag approach
Irefin, David; Yaaba, Baba N. - In: CBN journal of applied statistics 2 (2011) 2, pp. 63-82
On global scale, central banks' holdings of foreign reserves have escalated sharply in recent years. World international reserves holdings have risen significantly from US$1.2 trillion in 1995 to nearly US$10.0 trillion in June 2011. Dominant among these reserves are concentrated in the hands of...
Persistent link: https://www.econbiz.de/10011477284