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Persistent link: https://www.econbiz.de/10003940344
exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …
Persistent link: https://www.econbiz.de/10011373501
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10011473872
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...
Persistent link: https://www.econbiz.de/10015073524
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …
Persistent link: https://www.econbiz.de/10003937806
for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of … Taiwan $ and Yen - New Taiwan $ exchange rates, and tourist arrivals from the world, USA and Japan to Taiwan, as well as … international tourist arrivals, daily data from 1 January 1990 to 31 December 2008 are used to model the world price and US$ - New …
Persistent link: https://www.econbiz.de/10013147805
of currencies. We relate daily changes in GARCH(1,1) volatilities of exchange rates to the volatility changes of several … markets for both assets. In the same vein, first differences of the gold price volatility, as an additional determinant, are …
Persistent link: https://www.econbiz.de/10013004456
for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …
Persistent link: https://www.econbiz.de/10013109345
The British foreign exchange reserves decreased by 40 percent during the period August 1996-December 1999 although the Pound Sterling is considered a floating exchange rate since it left the EMS in 1992. Since changes in the level of foreign exchange reserves are usually taken as indicators for...
Persistent link: https://www.econbiz.de/10011445032
The British foreign exchange reserves decreased by 40 percent during the period August 1996 - December 1999 although the Pound Sterling is considered a floating exchange rate since it left the EMS in 1992. Since changes in the level of foreign exchange reserves are usually taken as indicators...
Persistent link: https://www.econbiz.de/10013428351