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Short-Term Speculators and the Origins of Near-Random-Walk Exchange Rate Behavior

Osler, Carol L. - 2007

This paper suggests that normal speculative activity could be a source of random-walk exchange rate behavior. Using a noise trader model to analyze very short-term exchange rate behavior, it shows that rational, risk-averse speculators will smooth the impact of shocks to exchange rate...

Persistent link: https://www.econbiz.de/10014049761

Misalignment, Liabilities Dollarization and Exchange Rate Adjustment in Latin America

Alberola, Enrique - 2007

Exchange rates in Latin America display a large volatility, constitute a central element of the policy strategies and … coupled with sudden stops of capitals, may help explaining the higher volatility of real exchange rates in the region …

Persistent link: https://www.econbiz.de/10014051324

Central Bank Authorities' Beliefs About Foreign Exchange Intervention

Neely, Christopher J. - 2007

channels of effectiveness. Respondents disagreed with predominant views on intervention and volatility and common arguments …

Persistent link: https://www.econbiz.de/10014051506

General to Specific Modelling of Exchange Rate Volatility : A Forecast Evaluation

Bauwens, Luc; Sucarrat, Genaro - 2006

so in financial volatility modelling due to computational complexity when many explanatory variables are involved. This … applied to the modelling of weekly exchange rate volatility. Our findings suggest that GETS specifications are especially …

Persistent link: https://www.econbiz.de/10014056716

The Anticipated and Concurring Effects of the Emu : Exchange Rate Volatility, Institutions and Growth

Bagella, Michele; Becchetti, Leonardo; Hasan, Iftekhar - 2004

Reduced exchange rate volatility and higher and less heterogeneous quality of institutional rules and macroeconomic …

Persistent link: https://www.econbiz.de/10014068083

Exchange Rate Dynamics with Chartists, Fundamentalists and Rational Speculators in the Foreign Exchange Market

Frenkel, Michael - 2001

This paper extends previous work on speculative dynamics in the foreign exchange market. The analysis shows how the behavior of chartists, fundamentalists and rational speculators, together with uncertainty about the long-run equilibrium exchange rate level, can result in fluctuations of the...

Persistent link: https://www.econbiz.de/10014074686

Exchange Rate Dynamics With Crash Risk and Interventions

Hui, Cho-Hoi; Lo, Chi-Fai; Liu, Chi-Hei - 2022

An exchange rate model with crash risk is developed with the exchange rate confined in a wide moving band. A currency crash occurs when its exchange rate breaches a boundary. Using an asymmetric mean-reverting fundamental shock to incorporate intervention policy in the model, the log-normalised...

Persistent link: https://www.econbiz.de/10014076790

Exchange-Rate Swings and Foreign Currency Intervention

Filardo, Andrew; Gelos, Gaston; McGregor, Thomas - 2022

This paper develops a new approach for exploring the effectiveness of foreign currency intervention, focusing on real exchange cycles. Using band spectrum regression methods, it examines the role of macroeconomic fundamentals in determining the equilibrium real exchange rate at short-, medium-,...

Persistent link: https://www.econbiz.de/10014079011

Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements

Ishfaq, Muhammad; Muhammad Usman Arshad; Durrani, … - In: Cogent economics & finance 10 (2022) 1, pp. 1-28

The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were … exchange rates. The forex returns, bid-ask spread, and volatility indices demonstrated less vulnerability towards Chinese …

Persistent link: https://www.econbiz.de/10013431442

Forecasting Exchange Rate Realized Volatility; An Amalgamation Approach

Souropanis, Ioannis; Panopoulou, Ekaterini; … - 2022

Forecasting realized volatility in exchange rates is very important for both practitioners and academics. Our aim is to … realized volatility. We employ four widely traded currencies, namely GBP, CHF, YEN and EUR and we also construct a basket of …

Persistent link: https://www.econbiz.de/10013294070