Showing 1 - 10 of 2,819
In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and economic growth in South Africa. By using data collected from 1970 to 2016 applied to a smooth transition regression (STR) model, we are able to prove that the exchange...
Persistent link: https://www.econbiz.de/10011870188
Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. In this paper, we investigate the possible pass-through of...
Persistent link: https://www.econbiz.de/10011646738
This paper empirically evaluates the predictive performance of the International Monetary Fund's (IMF) exchange rate assessments with respect to future exchange rate movements. The assessments of real trade-weighted exchange rates were conducted from 2006 to 2011, and were based on three...
Persistent link: https://www.econbiz.de/10011443648
nontradable housing consumption. The predictability for excess returns in foreign currencies and other assets arises endogenously …. The currency predictability is robust to a host of additional checks and holds for other G10 currencies …
Persistent link: https://www.econbiz.de/10012120212
We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To … assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the …
Persistent link: https://www.econbiz.de/10015408806
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10011802134
In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...
Persistent link: https://www.econbiz.de/10001786381
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
We use the geometric representation of factor models to represent the factor loading structure by sets corresponding to unit-specific non-zero loadings. We formulate global and local, rotational identification conditions based on set conditions. We propose two algorithms to efficiently evaluate...
Persistent link: https://www.econbiz.de/10015191916
We explore the role of interest rate policy in the exchange rate determination process. Specifically, we derive exchange rate equations from interest rate rules that are theoretically optimal under a few alternative settings. The exchange rate equation depends on its underlying interest rate...
Persistent link: https://www.econbiz.de/10009407664