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Has the relationship between the real exchange rate and its fundamentals changed over time?

Cuestas, Juan Carlos; Monfort, Mercedes; Shimbov, Bojan - In: Baltic journal of economics 22 (2022) 2, pp. 68-89

In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the...

Persistent link: https://www.econbiz.de/10014319295

Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data

Pasionek, Jolanta - In: Financial internet quarterly 19 (2023) 1, pp. 1-7

the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was … to indicate what macroeconomic data is important for the short-term USD/PLN exchange rate volatility. The following … economy and second could greater USD/PLN exchange rate volatility be observed during the COVID pandemic and has the war in …

Persistent link: https://www.econbiz.de/10014281308

Symmetric oil price shocks and government expenditure-real exchange rate nexus : ARDL and SVAR models for an oil-based economy, 1970-2018

Algaeed, Abdulaziz Hamad - In: Cogent economics & finance 8 (2020) 1, pp. 1-18

Historically, oil has been the main source of earnings in the Saudi Arabian economy. Different from other symmetric oil price shock studies, the aim of this paper is to test the impacts of symmetric oil price shocks on government expenditure-real exchange rate nexus and ultimately, to check the...

Persistent link: https://www.econbiz.de/10012482836

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...

Persistent link: https://www.econbiz.de/10014500904

An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach

Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16

This paper empirically investigates the sources of fluctuations in real and nominal Mongolian Tugrik (MNT) exchange rates by estimating the structural vector autoregressive (SVAR) model over the period January 1994-May 2021 and decomposing the exchange rate series into stochastic components...

Persistent link: https://www.econbiz.de/10012795308

Time-varying parameters error correction model for real ruble exchange rate and oil prices : what has changed due to capital control and sanctions?

Fokin, Nikita D.; Malikova, Ekaterina V.; Polbin, Andrej - In: Russian journal of economics 10 (2024) 1, pp. 20-33

This paper aims to analyze changes in the long-term and short-term oil price elasticities of the real ruble exchange rate, as well as the speed of convergence of the exchange rate to a long-term equilibrium. The analysis is conducted using an error correction model with time-varying parameters....

Persistent link: https://www.econbiz.de/10015394387

Oil price drivers, geopolitical uncertainty and oil exporters' currencies

Akram, Qaisar Farooq - 2019

Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time-variation could reflect shifts in the key oil price drivers over...

Persistent link: https://www.econbiz.de/10012214320

Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey

Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26

This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on … inflation volatility.Also, causality tests results indicate that changes in the exchangerate, output gap volatility, and output … gap will have permanent andtemporary causal effects on inflation volatility. The policymakersshould carefully consider …

Persistent link: https://www.econbiz.de/10014312187

Exchange rate volatility and export in Turkey : does the nexus vary across the type of commodity?

Tarakçı, Doğukan; Ölmez, Fevzi; Durusu-Çiftçi, Dilek - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 2, pp. 77-89

significant increase in the exchange rate and its volatility in recent years. Hence, the empirical examination of the volatility … how the exchange rate volatility affects Turkey's exports to its major partners namely, Belgium, France, Germany, Italy … effect of volatility on trade, we separate positive changes of volatility from negative changes via the partial sum concept …

Persistent link: https://www.econbiz.de/10013269374

Impact of trading hours extensions on foreign exchange volatility : intraday evidence from the Moscow exchange

Frömmel, Michael; Kadioglu, Eyup - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23

hours extensions on volatility. During the sample period, the Moscow Exchange extended trading hours three times for the … implementations, various measures of historical and realized volatility are calculated for 5- and 15-min intraday intervals spanning a … period of three months both prior to and following trading hours extensions. Besides historical volatility measures, we also …

Persistent link: https://www.econbiz.de/10014364050