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...

This paper presents some models of exchange rate with jumps, namely jump diffusion exchange rate models. Jump diffusion models are quite common in computational and theoretical finance. It is known that exchange rates sometimes exhibit jumps during some time periods. Therefore, it is important...

This paper empirically examines the effect of the central banks independence on exchange rate volatility by using a large data-set for the E7 (7 emerging countries) covering the period 1998-2017. This paper applies the time-varying panel causality analysis to obtain country-based results. The...

We examine the impact of renminbi revaluation on foreign firm valuations, considering two surprise announcements of changes in China’s exchange rate policy in 2005 and 2010 and employing data on some 6,000 firms in 44 economies. Stock returns rise with renminbi revaluation expectations. This...

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns'' volatilities are inferred from observed and...

Botswana''s successive currency devaluations and recent move from a fixed to a crawling peg exchange rate regime raise the question of whether the exchange rate might be misaligned with economic fundamentals. This paper, applying the behavioral equilibrium exchange rate (BEER) approach, analyzes...