Similar Search Results

Financial crises and dynamic linkages among international currencies

Dimitriou, Dimitrios; Kenourgios, Dimitris - In: Journal of International Financial Markets, … 26 (2013) C, pp. 319-332

This paper investigates the interdependence of US dollar exchange rates expressed in other major currencies. Focusing on different phases of the Global financial crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), we adopt a dynamic conditional correlation model into a multivariate...

Persistent link: https://www.econbiz.de/10010702762

Options and Central Banks Currency Market Intervention: The Case of Colombia

Keefe, Helena Glebocki; Rengifo, Erick W. - Economics Department, Fordham University - 2014

Several central banks in emerging economies are concerned with excessive volatility in foreign exchange markets and … bank implemented various strategies to intervene into currency markets to smooth volatility, build reserves, and influence … dollars. In this paper we analyze these recent strategies employed by Colombia, with a special focus on the volatility option …

Persistent link: https://www.econbiz.de/10011183096

On Chaotic Nature of the Emerging European Forex Markets

Kumar, S. Anoop; Kamaiah, B. - In: Romanian Economic Journal 17 (2014) 53, pp. 25-40

This study attempts to analyze the presence deterministic chaos in the forex markets of select European countries namely Bulgaria, Croatia, Czech Republic, Hungary Poland, Romania, Russia, Slovakia and Slovenia. Monthly NEER data ranging from jan-1994 to Dec-2013 is used for the purpose of...

Persistent link: https://www.econbiz.de/10011122443

Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997

LOS, CORNELIS A.; KARUPPIAH, JEYANTHI - EconWPA - 2004

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...

Persistent link: https://www.econbiz.de/10005561603

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

Persistent link: https://www.econbiz.de/10014501255

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10014501248

Exchange rate floor and central bank balance sheets : simple spillover tests of the Swiss franc

Alvero, Adrien; Fischer, Andreas M. - 2016

This paper examines spillover and spillback effects of unconventional monetary policies conducted by the European Central Bank (ECB) and Swiss National Bank (SNB) on the exchange rate's distribution. The empirical setup examines the price response of EURCHF risk reversal to a change in ECB and...

Persistent link: https://www.econbiz.de/10011538673

The Spillover Effects of Unremunerated Reserve Requirements : Evidence from Thailand

Vithessonthi, Chaiporn - 2014

We examine the spillover effects of the unremunerated reserve requirement (URR), which had been implemented in Thailand during 2006–2007, on stock returns through the Thai baht (THB) exchange rate against the euro (EUR) and the Japanese yen (JPY). Based on a sample of 270 firms listed on the...

Persistent link: https://www.econbiz.de/10013064271

FX Spot and Swap Market Liquidity Spillovers

Krohn, Ingomar - 2020

, liquidity in FX swaps remains impaired, which leads to adverse illiquidity spillovers to the spot market. Our findings suggest …

Persistent link: https://www.econbiz.de/10012841858