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Exchange return co-movements and volatility spillovers before and after the introduction of euro
Antonakakis, Nikolaos - 2012
This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …
Persistent link: https://www.econbiz.de/10011347744
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Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset
Kühl, Michael (contributor) - 2008
The aim of this paper is to detect periods in which two currencies can be classified as being theʺsameʺ asset. Two currencies can be treated as the same asset if their exchange rates vis-`a-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...
Persistent link: https://www.econbiz.de/10003776194
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Foreign exchange intervention when interest rates are zero : does the portfolio balance channel matter after all?
Fatum, Rasmus - 2010
The Japanese zero-interest rate period provides a “natural experiment” for investigating the effectiveness and transmission channels of sterilized intervention when traditional monetary policy options are constrained. This paper takes advantage of the fact that all interventions in the...
Persistent link: https://www.econbiz.de/10008659226
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The signalling channel of central bank interventions : modelling the yen
Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - 2011
the yen/US dollar dynamics. -- exchange rates ; interventions ; Japan …
Persistent link: https://www.econbiz.de/10009312174
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Exchange rate anchoring : is there still a de facto US dollar standard?
Bracke, Thierry; Bunda, Irina - 2011
The paper provides a measure of exchange rate anchoring behaviour across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...
Persistent link: https://www.econbiz.de/10009160000
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Cambodia's persistent dollarization : causes and policy options
Menon, Jayant - 2008
Cambodia's economic and social achievements over the past ten years have been the most impressive in its history. Nevertheless, Cambodia today is still as dollarized, if not more so, than it was ten years ago. What is this so, and what, if anything, should the Government do? This paper attempts...
Persistent link: https://www.econbiz.de/10011282131
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The impact of Yuan internationalization on the Euro-Dollar exchange rate
Bénassy-Quéré, Agnès; Forouheshfar, Yeganeh - 2013
We study the implication of a multipolarization of the international monetary system on cross-currency volatility. More …
Persistent link: https://www.econbiz.de/10009721995
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China's evolving managed float : an exploration of the roles of the fix and broad dollar movements in explaining daily exchange rate changes
Clark, John - 2017
volatility. On days of broad dollar strengthening, the CNY is found to depreciate against the dollar but appreciate against the …
Persistent link: https://www.econbiz.de/10011754330
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Exchange rate dynamics, expectations, and monetary policy
Chen, Qianying - 2011
dollar, Japanese yen, and the British pound relative to the U.S. dollar from 1979 to 2008 shows that, through the …
Persistent link: https://www.econbiz.de/10009244259
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …
Persistent link: https://www.econbiz.de/10011334849