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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 … precise news increases volatility significantly more than imprecise news. Also, news on indicators that are in general more … precise increase volatility more than news on typically imprecise indicators. Finally, we use real time data to measure the …
Persistent link: https://www.econbiz.de/10008534277
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Implications of exchange rate volatility on international trade (The case of Romania)
Ghiba, Nicolae - Volkswirtschaftliche Fakultät, … - 2010
This paper aims to establish particularities for the relationship between exchange rate volatility and the … contradicted by practical cases. This analysis starts from well-known cases in this domain from around the world. Volatility of … exchange rate on international trade is debated on Romania’s example using econometric methods. The volatility of exchange rate …
Persistent link: https://www.econbiz.de/10008833274
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Modèls Garch à la mémoire longue: application aux taux de change tunisiens
Lahiani, Amine; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2007
volatility impact. Then, we apply it on three Tunisian exchange rate series between 1994 and 2006. As Beine, Laurent and Lecourt …
Persistent link: https://www.econbiz.de/10008836445
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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
, many types of instruments can be used:futures market,spot market, and forward market.However, the degree of volatility …
Persistent link: https://www.econbiz.de/10005619306
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Appendix for the PPP hypothesis and structural breaks: the case of Mexico
Gómez-Zaldívar, Manuel; Ventosa-Santaulària, Daniel; … - Volkswirtschaftliche Fakultät, … - 2012
This appendix presents an extended explanation for our finding of mean reversion of the real exchange rate to a shifting mean using monthly data for Mexico, 1969-2010. Because such shifts coincide with trade liberalization in Mexico, we conclude that changes in the tradable/nontradable goods...
Persistent link: https://www.econbiz.de/10011108482
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Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
Liew, Venus Khim-Sen; Lee, Hock-Ann; Lim, Kian-Ping - Volkswirtschaftliche Fakultät, … - 2005
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and aggregate price levels based on Breitung’s (2001) nonparametric rank tests reinforces previous validations of Purchasing Power Parity by the parametric testing procedures. Hence, in...
Persistent link: https://www.econbiz.de/10011267871
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10011113585
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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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Understanding forecast failure in ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...
Persistent link: https://www.econbiz.de/10005103385
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Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
Liew, Venus Khim-Sen; Lee, Hock-Ann; Lim, Kian-Ping - Volkswirtschaftliche Fakultät, … - 2005
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and aggregate price levels based on Breitung’s (2001) nonparametric rank tests reinforces previous validations of Purchasing Power Parity by the parametric testing procedures. Hence, in...
Persistent link: https://www.econbiz.de/10005025696