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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
monthly to daily observations on exchange rates. Thus the basic thrust of the paper is to analyse the forecasting accuracy of …
Persistent link: https://www.econbiz.de/10005619306
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Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach
Jahan-Parvar, Mohammad R.; Mohammadi, Hassan - Volkswirtschaftliche Fakultät, … - 2008
We test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship...
Persistent link: https://www.econbiz.de/10005790126
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Early Warning System: An Assessment of Vulnerability
Reinhart, Carmen; Goldstein, Morris; Kaminsky, Graciela - Volkswirtschaftliche Fakultät, … - 2000
Predicting the timing of currency and banking crises is likely to remain an elusive task for academics, financial market participants, and policymakers. Few foresaw the Asian crises and fewer still could have imagined their severity. However, recent events have highlighted the importance of...
Persistent link: https://www.econbiz.de/10008531929
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Taylor Rules and the Euro.
Tanya, Molodtsova; Nikolsko-Rzhevskyy, Alex; Papell, David - Volkswirtschaftliche Fakultät, … - 2008
the forecasting regression. We also present less formal evidence that, with real-time data, the Taylor rule provides a … specifications that do not include the real exchange rate in the forecasting regression, the results are robust to whether or not the … the forecasting regression. Bad news about inflation and good news about real economic activity both lead to out …
Persistent link: https://www.econbiz.de/10005789851
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Some Policy Issues Regarding an Early Warning System
Reinhart, Carmen; Goldstein, Morris; Kaminsky, Graciela - Volkswirtschaftliche Fakultät, … - 2000
In focusing on the 24 month window prior to the onset of the crisis, the criteria for ranking the indicators presented in our related work does not distinguish between a signal given 12 months prior to the crisis and one given one month prior to the crisis. In what follows we examine this issue,...
Persistent link: https://www.econbiz.de/10008531924
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Does Purchasing Power Parity hold in Thailand?
Jiranyakul, Komain; Batavia, Bala - Volkswirtschaftliche Fakultät, … - 2009
The main objective of this study is to use disaggregate data between Thailand and its major trading partners to examine the validity of the purchasing power parity (PPP). Bilateral exchange rates between domestic currency (Thai baht) and each currency of major trading partners as well as the...
Persistent link: https://www.econbiz.de/10011113629
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The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility
Laakkonen, Helinä; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2009
We study whether the accuracy of news announcements matters for the impact of news on exchange rate volatility. We use high-frequency EUR/USD returns and releases of 20 US macroeconomic indicators, and measure the precision of news in three different ways. When the precision is defined by the...
Persistent link: https://www.econbiz.de/10008534277
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Gold and the U.S. Dollar: Tales from the turmoil
Marzo, Massimiliano; Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2010
We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the...
Persistent link: https://www.econbiz.de/10008560964
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Are exchange rates really free from seasonality? An exploratory analysis on monthly time series
Cellini, Roberto; Cuccia, Tiziana - Volkswirtschaftliche Fakultät, … - 2011
This article questions the assumption that exchange rates are non-seasonal and provides selected evidence of monthly time series of exchange rates in which significant seasonal components are present. However, the seasonal component appears to be absent in more recent data. Tentative...
Persistent link: https://www.econbiz.de/10009018262
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Exchange Rates Predictability in Developing Countries
Sarmidi, Tamat - Volkswirtschaftliche Fakultät, … - 2008
the long horizon forecasting for three different monetary models (flexible price, sticky price and relative price) for …
Persistent link: https://www.econbiz.de/10005033496