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Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility

Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - 2006

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...

Persistent link: https://www.econbiz.de/10010263952

Zur Effektivität der Politik der Quantitativen Lockerung am Beispiel des QE1-Programms der US-Fed

Belke, Ansgar; Osowski, Thomas - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 2, pp. 131-149

Der vorliegende Artikel liefert einen systematischen Überblick über die Ergebnisse empirischer Studien zu den Auswirkungen der Quantitativen Lockerung als einer unkonventionellen geldpolitischen Maßnahme auf das heimische Zinsniveau sowie auf die internationalen Zinsbeziehungen. Aufbauend auf...

Persistent link: https://www.econbiz.de/10014523155

Modeling dynamic causalities between the Indonesian Rupiah and Forex markets of ASEAN, Japan and Europe

Hasanov, Fakhri J.; Mikayilov, Jeyhun I.; Yusifov, Sabuhi; … - In: Contemporary Economics 13 (2019) 1, pp. 35-48

Historically, the Indonesian Rupiah (IDR) has fluctuated throughout the years, and its fluctuations have been very much interrelated with other forex markets. Since the IDR fluctuations impact national economic growth, investigating the movements of forex markets with respect to the IDR provides...

Persistent link: https://www.econbiz.de/10014544585

Foreign exchange predictability during the financial crisis: Implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011460619

International capital flows and speculation

Hayward, Rob; Gregoriou, Andros - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-12

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...

Persistent link: https://www.econbiz.de/10012611754

Volatility spillovers between the European and South African foreign exchange markets

Niyitegeka, Olivier; Tewari, Devi D. - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-17

-varying correlations between currencies were evident during the Eurozone crisis. This suggests pure form of financial contagion between the … formulated to insulate the rand from contagion. The contributions of the study are twofold. First, it informs the investors in … on pure form of contagion by testing whether there exists an asymmetric correlation between the rand and euro over …

Persistent link: https://www.econbiz.de/10012657588

Why has the Norwegian krone exchange rate been persistently weak? A fully simultaneous VAR approach

Benedictow, Andreas; Hammersland, Roger - 2022

We identify variables that help explain the persistent weakness of the Norwegian krone since 2016 within a fully simultaneous model of the underlying process driving the krone-euro exchange rate. In addition to a set of fundamental variables we consider non-traditional explanatory variables...

Persistent link: https://www.econbiz.de/10013480202

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014309448

Leveraged Carry Trade Portfolios

Darvas, Zsolt - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10010494390

Der Einfluss des Wechselkurses auf den deutschen Export – Simulationen mit Fehlerkorrekturmodellen

Grimme, Christian; Thürwächter, Claire - In: ifo Schnelldienst 68 (2015) 20, pp. 35-38

Seit Mitte des Jahres 2014 wertete der Euro sowohl nominal als auch real effektiv ab. Eine Untersuchung der Elastizitäten der Waren- und der Gesamtexporte auf Änderungen in verschiedenen Wechselkursreihen zeigt, dass die Elastizität bezüglich der Wechselkurse zwischen – 0,2 und – 0,6...

Persistent link: https://www.econbiz.de/10011693884