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Model instability in predictive exchange rate regressions
Hauzenberger, Niko; Huber, Florian - 2018
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling approach assumes that different regimes are characterized by...
Persistent link: https://www.econbiz.de/10011930302
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …
Persistent link: https://www.econbiz.de/10011477452
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Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis
Vo, Minh - 2011
volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …
Persistent link: https://www.econbiz.de/10013131145
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Deviations of Exchange Rates from Purchasing Power Parity : A Story Featuring Two Monetary Unions
Bayoumi, Tamim - 2006
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10012782287
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Exchange volatility and export performance in Egypt : new insights from wavelet decomposition and optimal GARCH model
Bouoiyour, Jamal; Selmi, Refk - In: The journal of international trade & economic development 24 (2015) 1/2, pp. 201-227
Persistent link: https://www.econbiz.de/10011343487
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Carry Trade Strategies with Factor Augmented Macro Fundamentals : A Dynamic Markov-Switching Factor Model
Ogruk-Maz, Gokcen - 2017
This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...
Persistent link: https://www.econbiz.de/10012963675
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The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus seven developed countries, four of them...
Persistent link: https://www.econbiz.de/10011538958
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Phillips curve shocks and real exchange rate fluctuations : SVAR evidence
Gehrke, Britta; Yao, Fang - 2014
exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of … the most important source of real exchange rate volatility. At business cycle frequencies, however, three supply shocks …
Persistent link: https://www.econbiz.de/10010400806
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Is the Chinese currency substantially misaligned to warrant further appreciation?
Qin, Duo; He, Xinhua - 2010
This study provides quarterly time-series estimates of the misalignment in the REER of the Renminbi (RMB). The estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more extensive use of econometric modelling techniques. Our...
Persistent link: https://www.econbiz.de/10003933130
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Is the Chinese currency substantially misaligned to warrant further appreciation?
Qin, Duo; He, Xinhua - 2010
This study provides quarterly time-series estimates of the misalignment in the REER of the Renminbi (RMB). The estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more extensive use of econometric modelling techniques. Our...
Persistent link: https://www.econbiz.de/10003933930