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A probit model for the state of the Greek GDP growth
Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392
evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …
Persistent link: https://www.econbiz.de/10011312197
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Why crises happen : nonstationary macroeconomics
Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10008758527
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Exchange rate volatility effects on the German labour market : a survey of recent results and extensions
Buscher, Herbert S.; Mueller, Claudia - 1999
In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …
Persistent link: https://www.econbiz.de/10011294706
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From Currency Volatilities to Global Equity Correlations
Dupoyet, Brice V. - 2019
We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …
Persistent link: https://www.econbiz.de/10012890265
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Is gold a safe haven for the dynamic risk of foreign exchange?
Wang, Kuan Min; Thi, Thanh-binh Nguyen; Lee, Yuan-Ming - In: Future Business Journal 7 (2021), pp. 1-17
This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...
Persistent link: https://www.econbiz.de/10012668314
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Exchange Rate Volatility in Post-Floating Regime in India
Dash, Priyadarshi - 2016
stability. Volatility in nominal exchange rate spills over to the real sectors of the economy affecting output, employment and … price stability. From this point of view, an assessment of exchange rate volatility assumes importance in studies on … confirm the existence of substantial volatility in the nominal INR-USD exchange rate evolving unilaterally and jointly with …
Persistent link: https://www.econbiz.de/10012995035
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Long Swings and Chaos in the Exchange Rate in a DSGE Model with a Taylor Rule
Bask, Mikael - 2007
A DSGE model with a Taylor rule is augmented with an evolutionary switching between technical and fundamental analyses in currency trade, where the fractions of these trading tools are determined within the model. Then, a shock hits the economy. As a result, chaotic dynamics and long swings may...
Persistent link: https://www.econbiz.de/10014222710
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Brokers and business cycles: Does financial market volatility cause real fluctuations?
Döpke, Jörg; Pierdzioch, Christian - 1998
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data … the future stance of the business cycle and on the volatility of industrial production. The results of our empirical … investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility. …
Persistent link: https://www.econbiz.de/10010275423
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Periodic business and exchange rate cycles : evidence from 7 emerging markets
Köhler, Karsten; Stockhammer, Engelbert - 2020
The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned with cycle frequencies in real output. Joint...
Persistent link: https://www.econbiz.de/10012660709
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Business cycle determinants of US foreign direct investments
Cavallari, Lilia; D'Addona, Stefano - In: Applied economics letters 20 (2013) 10/12, pp. 966-970
Persistent link: https://www.econbiz.de/10010196207