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, and yen separately have on movements of Asian currencies. Contrary to recent evidence based on daily data, we found … than by the yuan or the yen individually within the sample period we used. To the extent that exchange rates in the region …
Persistent link: https://www.econbiz.de/10010286157
dollar, Japanese yen, and the British pound relative to the U.S. dollar from 1979 to 2008 shows that, through the …
Persistent link: https://www.econbiz.de/10009244259
This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to...
Persistent link: https://www.econbiz.de/10013008788
Few papers have tried to project how Chinese monetary policy will behave under flexible exchange rates. As Japan … provides an important role model for China, this paper studies the role of the yen/dollar exchange rate for Japanese monetary … policy after the shift of Japan from a fixed to a floating exchange rate regime. The econometric estimations allow for regime …
Persistent link: https://www.econbiz.de/10013316946
This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to...
Persistent link: https://www.econbiz.de/10013131587
This study evaluates the performance of filter rules on four Asian exchange rates against the U.S. dollar. Risk premiums derived from the choice under uncertainty model and the GARCH specification are used to construct the risk-adjusted return series. Results show that risk premiums have...
Persistent link: https://www.econbiz.de/10014076238
Persistent link: https://www.econbiz.de/10001150830
Persistent link: https://www.econbiz.de/10001581099
Persistent link: https://www.econbiz.de/10001581106
Persistent link: https://www.econbiz.de/10001581108