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Does Real Exchange Rate Volatility Affect Sectoral Trade Flows?.

Caglayan, Mustafa; Di, Jing - Department of Economics, University of Sheffield - 2008

This paper investigates empirically the effect of real exchange rate volatility on sectoral bilateral trade flows … arise through changes in income volatility and the interaction between income and exchange rate volatilities. We provide … evidence that exchange rate volatility mainly affects sectoral trade flows of developing but not that of developed countries …

Persistent link: https://www.econbiz.de/10005593071

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

Persistent link: https://www.econbiz.de/10008636400

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

A fundamental connection : exchange rates and macroeconomic expectations

Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020

This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...

Persistent link: https://www.econbiz.de/10012429208

Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model

Mignot, Sarah; Westerhoff, Frank H. - 2023

volatility, fat-tailed return distributions, serially uncorrelated returns and volatility clustering. A stability and bifurcation …

Persistent link: https://www.econbiz.de/10014384489

The Credibility of the Exchange Rate Regime: An Analysis trough “Derivatives” of the September 1992 Crisis

Garofalo, Giuseppe; Barbato, Fabio - Volkswirtschaftliche Fakultät, … - 1996

volatility and change in volumes traded, might have represented an early indicator, in reference to the spot market, of the lack …

Persistent link: https://www.econbiz.de/10005836027

Consistent pretesting for jumps

Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

Persistent link: https://www.econbiz.de/10010361470

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - 2014

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

Persistent link: https://www.econbiz.de/10010375374

Information theoretic optimality of observation driven time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …

Persistent link: https://www.econbiz.de/10010340740

Does monetary policy affect stock market uncertainty? : Empirical evidence from the United States

Jovanović, Mario - 2011

This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a...

Persistent link: https://www.econbiz.de/10008935254