Search Results - subject:"Exchange Rate Dynamics"

Exchange rate dynamics, asset market structure and the role of the trade elasticity

Thoenissen, Christoph - Centre for Dynamic Macroeconomic Analysis, University … - 2008

EMAIL: cdma@st-and.ac.uk www.st-and.ac.uk/cdma CDMA08/03 Exchange rate dynamics, asset market structure and the role of the … Classification: F31, F41. Keywords: real exchange rate dynamics, incomplete financial markets, Backus-Smith puzzle, exchange rate …

Persistent link: https://www.econbiz.de/10005671100

The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime

Reher, Gerrit; Wilfling, Bernd - In: International Review of Economics & Finance 29 (2014) C, pp. 483-496

We analyze the dynamics of zero-coupon bond options in a situation in which the currently floating exchange rate between two countries' currencies is announced to be fixed on a given future date. To this end, we combine two strands of research that have been treated as separate issues up to...

Persistent link: https://www.econbiz.de/10010729763

Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach

Yin, Weiwei; Li, Junye - In: Journal of International Money and Finance 41 (2014) C, pp. 46-64

In this paper, we propose an arbitrage-free international macro-finance model that links the exchange rate dynamics to … and the Euro area, we find a close link between macroeconomic fundamentals and the exchange rate dynamics. The model …

Persistent link: https://www.econbiz.de/10010869416

The Big Mac Index : a shortcut to inflation and exchange rate dynamics? ; price tracking and predictive properties

San Vicente Portes, Luis; Atal, Vidya - In: International business and economics research journal 13 (2014) 4, pp. 751-756

Persistent link: https://www.econbiz.de/10010393518

The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime

Reher, Gerrit; Wilfling, Bernd - In: International review of economics & finance : IREF 29 (2014), pp. 483-496

Persistent link: https://www.econbiz.de/10010432309

Non-parametric sign test and paired samples test of effectiveness of official FX intervention

Marinković, Srđan - In: Economic annals 59 (2014) 202, pp. 107-130

Persistent link: https://www.econbiz.de/10010491977

Macroeconomic fundamentals and the exchange rate dynamics : a no-arbitrage macro-finance approach

Ying, Weiwei; Li, Junye - In: Journal of international money and finance 41 (2014), pp. 46-64

Persistent link: https://www.econbiz.de/10010338744

Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk

Mahieu, Ronald; Huisman, Huisman, R. - Erasmus Research Institute of Management (ERIM), … - 2007

In this paper, we examine in which periods uncovered interest rate parity was likely to hold. Empirical research has shown mixed evidence on UIP. The main finding is that it doesn’t hold, although some researchers were not able to reject UIP in periods with large interest differentials or high...

Persistent link: https://www.econbiz.de/10010731020

Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk

Huisman, R.; Mahieu, R.J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

UIP. Free Keywords Markov regime switching, Uncovered interest rate parity, Exchange rate dynamics Availability The … regime switching; uncovered interest rate parity; exchange rate dynamics Corresponding Author: Dr. Ronald Huisman … follow UIP. Keywords: Markov regime switching, uncovered interest rate parity, exchange rate dynamics JEL c …

Persistent link: https://www.econbiz.de/10005005500

The Macroeconomics of Scaling Up Aid; Lessons from Recent Experience

Berg, Andrew; Hussain, Mumtaz; Roache, Shaun K.; … - International Monetary Fund (IMF) - 2007

This study analyzes key issues associated with large increases in aid, including absorptive capacity, Dutch disease, and inflation. The authors develop a framework that emphasizes the different roles of monetary and fiscal policy and apply it to the recent experience of five countries: Ethiopia,...

Persistent link: https://www.econbiz.de/10005767387