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Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán, Carlos - 2009
This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...
Persistent link: https://www.econbiz.de/10010322599
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011476095
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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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El spread de intermediación en una economía emergente bajo distintos regímenes macroeconómicos: Argentina, 1994-2013
Aguirre, Horacio; Burdisso, Tamara; Grillo, Federico; … - 2015
We study the interest rate spread of the Argentine financial system during the last eighteen years. We analyze Granger causality of selected variables, and estimate econometric models that relate spread to macroeconomic and microeconomic factors. Resuls indicate that output growth and...
Persistent link: https://www.econbiz.de/10011417927
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El spread de intermediación en una economía emergente bajo distintos regímenes macroeconómicos : Argentina, 1994 - 2013
Aguirre, Horacio; Burdisso, Tamara; Grillo, Federico; … - 2015
We study the interest rate spread of the Argentine financial system during the last eighteen years. We analyze Granger causality of selected variables, and estimate econometric models that relate spread to macroeconomic and microeconomic factors. Resuls indicate that output growth and...
Persistent link: https://www.econbiz.de/10011333386
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On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - 2003
In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...
Persistent link: https://www.econbiz.de/10010296439
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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
and signs of the asymmetry effect in the two estimated multivariate GARCH models. The empirical findings provide financial …
Persistent link: https://www.econbiz.de/10010326433
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The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?
Funke, Michael; Gronwald, Marc - 2008
On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...
Persistent link: https://www.econbiz.de/10010264340
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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian; Lamla, Michael J. - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the...
Persistent link: https://www.econbiz.de/10010277736