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Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10011431685
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Model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - In: International economic review 53 (2012) 3, pp. 815-843
Persistent link: https://www.econbiz.de/10009690952
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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis
Pierdzioch, Christian - 2000
period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …
Persistent link: https://www.econbiz.de/10011476547
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Macroeconomic implications of oil-price shocks to emerging economies : a Markov regime-switching approach
Togonidze, Sophio; Kočenda, Evžen - 2022
We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process....
Persistent link: https://www.econbiz.de/10013369064
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Impact of Macroeconomic Variables on Exchange Rate Volatility in India
N., Suresh - 2018
, Export and Purchasing Power Parity (PPP)) on Exchange Rate Volatility (USD to INR) in India. To analyze how this variables …
Persistent link: https://www.econbiz.de/10012931463
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Macroeconomic News Announcements and Order Flow Effects on Foreign Exchange Rates : A Review of Theoretical Literature
Jabeen, Munazza - 2022
This paper presents the review of theoretical literature on the effects of macroeconomic news announcements and order flow on exchange rates. It presents how foreign exchange market reacts to macroeconomic news announcements? How information (both public and private) is incorporated into...
Persistent link: https://www.econbiz.de/10013307365
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The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe
Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...
Persistent link: https://www.econbiz.de/10014500215
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Time-varying effects of macroeconomic news on euro-dollar returns
Ben Omrane, Walid; Savaser, Tanseli; Welch, Robert L.; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20
Persistent link: https://www.econbiz.de/10012201385
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Tne determinants of Australian exchange rate : a time series analysis ; [This paper has been prepared and presented as a part of the assessment of course for Econometric Applicatio...
Atif, Syed Muhammad; Sauytbekova, Moldir; Macdonald, James - 2012
The paper analyzes Australian exchange rate and its determinants by providing an insight into the economic and non-economic factors. By drawing a comparison between quarterly and annual data over the period of 1975 to 2012, it is suggested that Australia's trade components and macroeconomic...
Persistent link: https://www.econbiz.de/10009634338
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Empirical Comparisons on the Effects of the US and the Japan Quantitative Easing Policies on the Asian Exchange Rates
Han, Young Wook - 2019
This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of … volatility property and the FIGARCH model appears to be quite appropriate to represent the daily Asian returns. Then, this paper …‐FIGARCH model with the lagged dummy variables to account for the effects of the QE policies on the mean and the volatility process …
Persistent link: https://www.econbiz.de/10012899210