This paper investigates whether the fall in the euro-dollar exchange rate in the course of 2000 can be partly attributed to asymmetric reactions by investors to economic and political news. We have studied the daily euro-dollar exchange rate changes recorded from 1 April 2000 to the first...

In the empirical literature, not much support is found for the uncovered interest parity. Especially with free floating exchange rates, the forward rate is a biased predictor of the future exchange rate. This phenomenon can both be explained by an absence of rational expectations or by risk...

Results and models of this paper are based on a strikingly new empirical observation: long maturity forward rates between bilateral currency pairs of the US, Germany, UK, and Switzerland are stationary. Based on this result, we suggest a new explanation for the UIP-puzzle maintaining rational...

This paper analyzes the risk reduction effectiveness of currency hedging international portfolios from the perspective of an average Dutch pension fund and insurer during the period 1999-2004. Several portfolios and approaches to hedging are analyzed. Passive hedging seems to be efficient in...

This paper studies the effects of verbal interventions by European cen-tral bankers on high-frequency euro-dollar exchange rates. We find that ECB verbal interventions have had only small and short-lived effects. Ver- bal interventions which are reported in news report headlines are more likely...

One of the major puzzles of the economic profession is the pricing of exchange rates. Despite the development of numerous theories, the actual behaviour of exchange rates, especially in the short run, is not well understood. This article evaluates several popular exchange rate theories and...

This report studies the reaction of the level and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news...

This paper is part of the Kobe Research Project and documents the Dutch and Thai experiences regarding exchange rate policy, capital controls, and developments in the banking sector. In view of these experiences, it seeks to identify requirements for successful currency regimes, in particular...

This paper employs a dynamic Ricardian model to analyse the impact of the timing of EU expansion on the real exchange rate between the accession countries' currencies and the euro. I find that the real exchange rate response to EU accession is smaller in the case of a postponed accession, as...

In this paper a panel of vector error correction models based on a common long-run relationship is utilized to test whether the DM exchange rates of Canada, Japan and the United States comply in the long-run with a rational expectations-based monetary exchange rate model. Compared to existing...