Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both...

I test the bipolar view hypothesis on the exchange rates of countries of the AMF which are countries with relative free capital mobility. I find that oil price shocks seem to be the source of less flexible exchange rates

We propose a fundamentals-based econometric model for the weekly changes in the euro-dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies. The model obtains good in-sample fit and, more importantly, encouraging out-of-sample forecasting results at...

This paper measures the exchange market pressure (EMP) on the Australian dollar over the post-float period using the model-dependent approach proposed by Weymark (1995, 1998) and the model-independent approach developed by Eichengreen, Rose and Wyplosz (1996). Although there are some concerns...

Modeling the nominal exchange rate has been one of the most difficult exercises in economics. This paper attempts to estimate the nominal rand-USD exchange rate under the Dornbusch(1980) and Frankel (1979) overshooting model using the Johansen cointegration technique. The overshooting model fits...

Conflict between economic interests of two or more countries can take place in the inflation prone floating exchange regime and thus affect monetary policies of each other. This paper tries to examine whether the exchange rates of the currencies of the industrial countries are affecting...

The paper analyzes the impact that certain administrative measures of monetary authorities have on exchange rates. Using the Perron test, the authors test for the existence of structural change in the development of exchange rates in Central and Eastern European countries. The dates when...

As it is possible to model both linear and nonlinear structures in time series by using Artificial Neural Network (ANN), it is suitable to apply this method to the chaotic series having nonlinear component. Therefore, in this study, we propose to employ ANN method for high volatility Turkish...

Quantile autoregression is used to explore asymmetries in the adjustment process of pair wise real exchange rate between the Italian lire, French franc, Deutsch mark, and the British pound. Based on the best specification for each quantile we construct predicted conditional density functions...

This paper analyses the effectiveness of foreign exchange intervention by the Reserve Bank of Australia (RBA). Initially, a latent factor model is used to decompose the volatility of exchange rates into three unobserved factors - world, numeraire and idiosyncratic. Subsequently, the impact of...