Narrow search
Showing 1 - 10 of 596
Cover Image
Exchange Rates and Asset Prices: Heterogeneous Agents at Work
Piccillo, Giulia - 2013
This paper merges two branches of the literature. On one hand we study a heterogeneous agents framework to model exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model. Investors choose one of two rules to form their...
Persistent link: https://www.econbiz.de/10010317058
Cover Image
Do Professional Forecasters Follow Uncovered Interest Rate Parity?
Bürgi, Constantin; Song, Mengdi - 2024
Not according to our data. We use two data sets to test whether professional forecasters follow uncovered interest rate parity (UIP) when making their exchange rate predictions both based on point prediction and direction. We find that professional forecasters generally do not follow UIP across...
Persistent link: https://www.econbiz.de/10015096889
Cover Image
Forecasting Exchange Rates: An Investor Perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …
Persistent link: https://www.econbiz.de/10010312861
Cover Image
Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …
Persistent link: https://www.econbiz.de/10012269545
Cover Image
The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?
Funke, Michael; Gronwald, Marc - 2008
On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...
Persistent link: https://www.econbiz.de/10010264340
Cover Image
Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - 2013
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...
Persistent link: https://www.econbiz.de/10010317045
Cover Image
Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...
Persistent link: https://www.econbiz.de/10012658028
Cover Image
Climate Risk and Commodity Currencies
Kapfhammer, Felix; Larsen, Vegard H.; Thorsrud, Leif Anders - 2020
The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate...
Persistent link: https://www.econbiz.de/10012425694
Cover Image
Exchange Rate Pass-Through to Food and Energy Consumer Price Inflation
Moessner, Richhild - 2022
This paper studies exchange rate pass-through to food and energy consumer price inflation and its dependence on the inflation environment using cross-country panel estimation of Phillips curves. It considers a large panel of OECD member and candidate economies with quarterly data from 1994 to...
Persistent link: https://www.econbiz.de/10014290074
Cover Image
The Dominant Currency Financing Channel of External Adjustment
Casas, Camila; Meleshchuk, Sergii; Timmer, Yannick - 2023
We propose a new channel through which exchange rates affect trade. Exploiting the heterogeneity in firms' foreign currency debt maturity structure around a large depreciation in Colombia, we show that debt revaluation compresses imports due to higher delinquencies and interest rates, while...
Persistent link: https://www.econbiz.de/10014377488