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A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

Hillebrand, Eric T.; Schnabl, Gunther - 2021

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

Persistent link: https://www.econbiz.de/10013317566

Disagreement among Forecasters in G7 Countries

Dovern, Jonas - 2012

Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (cross-sectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has...

Persistent link: https://www.econbiz.de/10013116851

How Successful is the G7 in Managing Exchange Rates?

Fratzscher, Marcel - 2015

The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s. Using an event-study approach, the paper finds evidence that the G7 has been overall effective in moving the US dollar, yen and euro in the intended direction...

Persistent link: https://www.econbiz.de/10012750085

Exchange Rate Pass-Through to Trade Prices : The Role of Non-Linearities and Asymmetries

Bussière, Matthieu - 2007

A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...

Persistent link: https://www.econbiz.de/10012775955

Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors

Alessi, Lucia - 2009

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

Persistent link: https://www.econbiz.de/10013154951

Predicting Risk Premia in Short-Term Interest Rates and Exchange Rates

Gräb, Johannes - 2018

We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...

Persistent link: https://www.econbiz.de/10012926459

How Does Information Affect the Comovement between Interest Rates and Exchange Rates?

Sánchez, Marcelo - 2021

This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric information approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of...

Persistent link: https://www.econbiz.de/10013317653

Macroeconomic Forecasting and Structural Change

D'Agostino, Antonello - 2010

using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate …

Persistent link: https://www.econbiz.de/10013146503

Interest Rate Volatility : A Consol Rate-Based Measure

Brousseau, Vincent - 2013

In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market … liquidity risk. The measure is constructed as the implied instantaneous volatility of a consol bond that would be priced on the … historical volatility, in the sense that dividing the consol excess returns by this volatility removes nearly entirely excess of …

Persistent link: https://www.econbiz.de/10013088954

The Scapegoat Theory of Exchange Rates : The First Tests

Fratzscher, Marcel - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10013111946