This paper investigates the price and output stabilization properties of fixed and floating exchange rates using a small open economy model. The performance of the two regimes is compared in the face of money demand, aggregate demand and aggregate supply shocks. It is shown that the ranking of...

This study investigates whether different specifications of univariate GARCH models can usefully forecast volatility in the foreign exchange market. The study compares in-sample forecasts from symmetric and asymmetric GARCH models with the implied volatility derived from currency options for...

This paper examines the returns and ex post variability of returns associated with the investment strategies of three distinctive groups of hypothetical traders in the foreign exchange market: Chartists, Fundamentalists, and Simpletons. Each group consists of three heterogeneous traders and is...

Value-at-Risk (VaR) is a popular risk-metric for reporting financial exposure, for evaluating fund/manager performance and for regulatory disclosures. Yet, VaR is not a coherent risk measure because it is not sub-additive. This paper applies the methodology of risk budgeting to determine if VaR...