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The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...

Persistent link: https://www.econbiz.de/10011343243

Something in the air: information density, news surprises, and price jumps

Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...

Persistent link: https://www.econbiz.de/10011344170

Heterogeneous expectations in the foreign exchange market evidence from the daily dollar

Ahrens, Ralf; Reitz, Stefan - 2003

In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...

Persistent link: https://www.econbiz.de/10009765353

The microstructure of exchange rate management : FX intervention and capital controls in Brazil

Roure, Calebe de; Furniagiev, Steven; Reitz, Stefan - 2013

This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...

Persistent link: https://www.econbiz.de/10009783713

Stock market co-movement and exchange rate flexibility : experience of the Republic of Korea

Pak, Yŏng-chŏl; Park, Hail - 2014

This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...

Persistent link: https://www.econbiz.de/10010351519

A possible explanation of the 'exchange rate disconnect puzzle' : a common solution to three major macroeconomic puzzles?

Horioka, Charles; Ford, Nicholas - 2016

Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...

Persistent link: https://www.econbiz.de/10011502367

Drivers of exchange rate dynamics in selected CIS countries : evidence from a FAVAR analysis

Dreger, Christian; Fidrmuc, Jarko - 2011

We investigate the likely sources of exchange rate dynamics in selected member countries of the Commonwealth of Independent States (CIS; Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2010). Evidence is based on country VARs augmented by a regional...

Persistent link: https://www.econbiz.de/10011518862

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

Persistent link: https://www.econbiz.de/10011382694

Drivers of exchange rate dynamics in selected CIS countries : evidence from a FAVAR analysis

Dreger, Christian; Fidrmuc, Jarko - 2009

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....

Persistent link: https://www.econbiz.de/10011387304

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

Persistent link: https://www.econbiz.de/10011387464