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The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility
Laakkonen, Helinä; Lanne, Markku - 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/10015222253
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The predictive relationship between exchange rate expectations and base metal prices
Pincheira, Pablo; Hardy, Nicolas - 2018
In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...
Persistent link: https://www.econbiz.de/10015261799
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Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile
Pincheira, Pablo; Neumann, Federico - 2018
We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...
Persistent link: https://www.econbiz.de/10015262273
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The Mean Squared Prediction Error Paradox
Pincheira, Pablo; Hardy, Nicolas - 2021
In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...
Persistent link: https://www.econbiz.de/10015241474
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Regulation of International Financial Markets by Transactions Taxes: The Effect of the Tobin Tax on Trade Volume und Exchange Rate Volatility
Haberer, Markus - 2006
This work aims to derive the effect of a Tobin tax as a specific transactions tax on trading volume and exchange rate … volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … represented by portfolio choice models. Our main conclusion is, that the Tobin tax not necessarily reduces but might even increase …
Persistent link: https://www.econbiz.de/10009471738
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Real effective exchange rates comovement and the South African currency
Raputsoane, Leroi - 2016
The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...
Persistent link: https://www.econbiz.de/10015214071
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Real effective exchange rates comovements and the South African currency
Raputsoane, Leroi - 2016
The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...
Persistent link: https://www.econbiz.de/10015214079
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Understanding forecast failure in ESTAR models of real exchange rates
Buncic, Daniel - 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/10015215469
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Модель зависимости обменного курса рубля от цен на нефть с марковскими переключениями режимов
Polbin, Andrey; Shumilov, Andrei - 2020
conditional volatility of exchange rate changes; 2) strong reaction – moderate volatility; 3) strong reaction – high volatility …
Persistent link: https://www.econbiz.de/10015216170
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Foreign Exchange Market Pressure and Monetary Policy: An Empirical Study Based on China’s Data
Liu, L.; Ni, Y.J - 2009
the theory of "ternary paradox" may not applicable to China, at least in the period of our investigation. …
Persistent link: https://www.econbiz.de/10015216428