Search Results - subject:"Exchange Rate Models"

Model instability in predictive exchange rate regressions

Hauzenberger, Niko; Huber, Florian - 2018

Persistent link: https://www.econbiz.de/10011978479

Exchange rate predictability and state-of-the-art models

Yeșin, Pınar - 2016

from 2006 to 2011, and were based on three state-of-the-art exchange rate models with a medium-term focus which were …

Persistent link: https://www.econbiz.de/10011629987

Exchange rate predictability and state-of-the-art models

Yeşin, Pınar - 2016

Persistent link: https://www.econbiz.de/10011447767

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2016

Persistent link: https://www.econbiz.de/10011428052

Exchange rate predictability and state-of-the-art models

Yeşin, Pınar - 2016

from 2006 to 2011, and were based on three state-of-the-art exchange rate models with a medium-term focus which were …

Persistent link: https://www.econbiz.de/10011443648

The Tobit cointegrated vector autoregressive model : an application to the currency market

Grabowski, Wojciech; Welfe, Aleksander - In: Economic modelling 89 (2020), pp. 88-100

Persistent link: https://www.econbiz.de/10012425926

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2015

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...

Persistent link: https://www.econbiz.de/10011417862

Variance Bounds as Thresholds for â€˜Excessiveâ€™ Currency Volatility: Inflation Targeting Emerging Economies

Amod, Shaista; Hassan, Shakill - Economic Research Southern Africa (ERSA) - 2015

is excessively volatile needs a benchmark for Â‘normalÂ’variability. We compute variance bounds implied by exchange rate … models as the norm, for a set of particularly volatile emerging market currencies; and aÂ…nd that long-run exchange rate …

Persistent link: https://www.econbiz.de/10011165820

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2015

Persistent link: https://www.econbiz.de/10011326550

The common component of bilateral US exchange rates : to what is it related?

Ponomareva, Natalia; Sheen, Jeffrey R.; Wang, Ben Zhe - In: Empirical economics : a journal of the Institute for … 56 (2019) 4, pp. 1251-1268

Persistent link: https://www.econbiz.de/10012052185