This paper analyses the role of macroeconomic news surprises from different economies in explaining the behavior of exchange rates of Pak rupee. To study the extent of exchange rate fluctuations and variations explained by macroeconomic news and direction of similar news’ effect on different...

This paper examines the performance of several state-of-the-art deep learning techniques for exchange rate forecasting (deep feedforward network, convolutional network and a long short-term memory). On the one hand, the configuration of the different architectures is clearly detailed, as well as...

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process....

The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables in determining whether the foreign exchange market’s price formation process in response to macroeconomic announcements is characterised by changes in risk perception and...

The foreign exchange market and the stock market are vital for any well-defined financial systemof a country. The study explores the long-run and short-run causal relationship between the stockmarket and the exchange rate in India by using the daily data covering the period from March 1,2004 to...

Changes in net positions of foreign and local investors in the forward market may have differential effects on the spot exchange rate. This paper assesses the role of different sectors in the derivatives market and their potential impact with other fundamentals on the spot exchange rate in...

We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are state-dependent and asymmetric under different market conditions. State dependency hinges on different short-term interest rate zones. To prove this point, we determine three...

Forecasting exchange rates is a subject of wide interest to both academics and practitioners. We aim at contributing to this vivid research area by highlighting the role of both technical indicators and macroeconomic predictors in forecasting exchange rates. Employing monthly data ranging from...

This paper assesses the conformity of the USD/HKD exchange rate dynamics to that of a random walk after confinement to a specified corridor. This is achieved with the Hurst exponent, as estimated using the rescaled range method, by its variation from the random walk Hurst exponent of 0.5. At...

Using high-frequency, proprietary data on daily net non-resident portfolio flows to emerging markets, our study finds in the time domain connectedness framework that, to varying degrees, there is less interconnectedness in non-resident debt and equity portfolio flows to our sample of emerging...