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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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A fundamental connection : exchange rates and macroeconomic expectations
Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020
This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...
Persistent link: https://www.econbiz.de/10012429208
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Dusting off the perception of risk and returns in FOREX markets
Cumperayot, Phornchanok J. - 2003
, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize …
Persistent link: https://www.econbiz.de/10011507667
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Dusting off the perception of risk and returns in FOREX markets
Cumperayot, Phornchanok J. - 2003
, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize …
Persistent link: https://www.econbiz.de/10001753599
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A note on the volatilities of the interest rate and the exchange rate under different monetary policy instruments : Mexico 1998 - 2008
Benavides, Guillermo; Capistrán Carmona, Carlos - 2009
transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …
Persistent link: https://www.econbiz.de/10003893830
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Capital Controls and the Volatility of the Renminbi Covered Interest Deviation
Lin, Zhitao - 2019
Abstract: We examine how China's capital controls affect the volatility of the renminbi (RMB) covered interest … financial market efficiency. We also find that capital controls result in greater CID volatility in more liberalized RMB … that capital controls normally amplify the volatility of both. However, during the Federal Reserve Bank's quantitative ease …
Persistent link: https://www.econbiz.de/10012859198
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A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments : Mexico 1998-2008
Benavides, Guillermo - 2010
transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and …
Persistent link: https://www.econbiz.de/10013144183
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ECB monetary policy and commodity prices
Aliyev, Shahriyar; Kočenda, Evžen - 2020
We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional...
Persistent link: https://www.econbiz.de/10012200289
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Interest rate and exchange rate volatility spillovers : multiscale perspective of monetary policy transmission in Ghana
Akosah, Nana Kwame; Alagidede, Paul; Schaling, Eric - In: Journal of central banking theory and practice 9 (2020) 1, pp. 135-167
Persistent link: https://www.econbiz.de/10012167220
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Oil prices, exchange rates and interest rates
Kilian, Lutz; Zhou, Xiaoqing - 2020
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10012317340