Showing 1 - 10 of 571
In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange … rate determination. A general finding is that the "news" formulation of monetary exchange rate models leads to relatively … models were not properly tested in a "news" framework. …
Persistent link: https://www.econbiz.de/10005792277
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group are...
Persistent link: https://www.econbiz.de/10005666879
This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM … given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility … clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility …
Persistent link: https://www.econbiz.de/10005792273
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10009359490
In 1998 Hungary embarked on a course of comprehensive pension reform. The reforms are likely to change the distribution of incomes of future generations. The purpose of this paper is two-fold. From a policy point of view, we analyse poverty and income inequality among pensioners in Hungary...
Persistent link: https://www.econbiz.de/10005791337
Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a portfolio and are preferable to the traditional, correlation-based approach. In this paper we show the importance of selecting an accurate copula for risk management. We extend...
Persistent link: https://www.econbiz.de/10005792215
This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...
Persistent link: https://www.econbiz.de/10005124143
The stability of the EMS depends crucially on the realignment expectations of market participants. In this paper we discuss how to measure such expectations and how to relate them to economic fundamentals, central bank reputation, and the institutional arrangements of the EMS. We find the...
Persistent link: https://www.econbiz.de/10005136742
(real or nominal, bilateral or effective) exchange rate volatility? If so, has this been at the expense of increased … interest rate volatility? How important have capital controls been for the operation of the EMS? Has the Exchange Rate … Mechanism reduced the volatility of unanticipated exchange rate changes? Has the EMS been effective in making ERM currencies …
Persistent link: https://www.econbiz.de/10005661462
Fixed exchange rates are less volatile than floating rates. The volatility of macroeconomic variables, such as money …-off between reduced exchange rate volatility and macroeconomic stability. …
Persistent link: https://www.econbiz.de/10005792135