Showing 1 - 10 of 1,493
The paper analyses whether communication and actual interventions in FX markets are successful in moving exchange rates over the medium- to long-run. It compares empirical evidence based on time-series analysis with that obtained from an eventstudy approach. Both the time-series approach based...
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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/10010260624
Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were …
Persistent link: https://www.econbiz.de/10010260629
, Canada, Japan, Korea and Switzerland in terms of the US dollar. The empirical results indicate that there is a positive …
Persistent link: https://www.econbiz.de/10010262985
Few papers have tried to project how Chinese monetary policy will behave under flexible exchange rates. As Japan … policy after the shift of Japan from a fixed to a floating exchange rate regime. The econometric estimations allow for regime … shifts in the impact of the exchange rate on monetary policy. The results show that the exchange rate had a substantial …
Persistent link: https://www.econbiz.de/10010264171
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...
Persistent link: https://www.econbiz.de/10010271381
Japan and Korea are close countries in terms of economic interaction as well as geography. To quantify the impact of …
Persistent link: https://www.econbiz.de/10010295371