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Cointegration and Forward and Spot Exchange Rate Regressions

Zivot, Eric - EconWPA - 1998

In this paper we investigate in detail the relationship between models of cointegration between the current spot … exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and … models of cointegration between st and ft more easily capture the stylized facts of typical exchange rate data than simple …

Persistent link: https://www.econbiz.de/10005119154

Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and propose a model-based bias-corrected estimation approach....

Persistent link: https://www.econbiz.de/10005407899

How should emerging economies manage their foreign exchange reserves?

Gupta, Akash; Agarwal, Rahul - EconWPA - 2004

Asia has emerged as the balancing wheel of global finance. The countries of Asia now account for 70 per cent of global foreign exchange reserves, compared to only 30 percent in 1990 and 21 per cent in the early 1970s. This paper explores theoretical interpretations for the relatively high demand...

Persistent link: https://www.econbiz.de/10005119482

The Portuguese Disinflation Process: Analysis of Some Costs and Benefits

Duarte, António Portugal - EconWPA - 2005

This study aims to analyse the Portuguese economic policy of disinflation through a nominal stabilization policy of the Portuguese escudo. We study the pegging of the Portuguese escudo (PTE) to the Deutsch mark (DM) knowing the reputation of the Bundesbank for its anti- inflationary record and...

Persistent link: https://www.econbiz.de/10005556600

The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection

Hillebrand, Eric; Schnabl, Gunther - EconWPA - 2004

We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we show that the success of interventions varies over...

Persistent link: https://www.econbiz.de/10005556654

Purchasing power parity: an empirical study of three EMU countries

Duarte, António Portugal - EconWPA - 2005

-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …

Persistent link: https://www.econbiz.de/10005124909

Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Agricultural Trade

Gervais, Jean-Philippe; Larue, Bruno; Bonroy, Olivier - EconWPA - 2004

The article analyzes production and marketing lags in agri-food supply chains that force competitive producers and processors to commit to output targets before prices and exchange rates are realized. We show that export markets act as put options for exporters and an increase in the volatility...

Persistent link: https://www.econbiz.de/10005408041

Purchasing power parity: an empirical study of three EMU countries

Duarte, António Portugal - EconWPA - 2005

-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …

Persistent link: https://www.econbiz.de/10005408164

How the gold standard functioned in Portugal: an analysis of some macroeconomic aspects

Duarte, António Portugal; Andrade, João Sousa - EconWPA - 2005

This paper studies the Gold Standard in Portugal. It was the first country in Europe to join Great Britain in 1854. The principle of free gold convertibility was abandoned in 1891. For the purposes of a macroeconomic study, we also extended the analysis up to 1913. Our study points out the...

Persistent link: https://www.econbiz.de/10005412543

Convergence to Purchasing Power Parity at the Commencement of the Euro

Lopez, Claude; Papell, David H. - EconWPA - 2003

We investigate convergence towards Purchasing Power Parity (PPP) within the Euro Zone and between the Euro Zone and its main partners using panel data methods that incorporate serial and contemporaneous correlation. We find strong rejections of the unit root hypothesis, and therefore evidence of...

Persistent link: https://www.econbiz.de/10005076738

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