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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements

Conrad, Christian; Lamla, Michael J. - 2007

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

Persistent link: https://www.econbiz.de/10010277736

Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

Persistent link: https://www.econbiz.de/10010322440

Modelling Ireland's exchange rates: From EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007

to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of …

Persistent link: https://www.econbiz.de/10010272367

Modelling Ireland’s exchange rates: from EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007

to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of …

Persistent link: https://www.econbiz.de/10011604869

A note on testing for purchasing power parity

Heinen, Florian - 2011

We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk...

Persistent link: https://www.econbiz.de/10010289013

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as …

Persistent link: https://www.econbiz.de/10010290353

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates

Lee, Hwa-Taek; Yoon, Gawon - 2007

Real exchange rates are quite persistent. Standard unit root tests are not very powerful in drawing a conclusion regarding the validity of purchasing power parity [PPP]. Rather than asking if PPP holds throughout the whole sample period, we examine if PPP holds sometimes by employing...

Persistent link: https://www.econbiz.de/10010296288

Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900 … theory is not verified in Argentina, since its RER appears as a non-stationary variable, and there is no evidence of …

Persistent link: https://www.econbiz.de/10010289485

Are there oil currencies? The real exchange rate of oil exporting countries

Habib, Maurizio Michael; Kalamova, Margarita Manolova - 2007

This paper investigates whether the real oil price has an impact on the real exchange rates of three main oil-exporting countries: Norway, Russia and Saudi Arabia. We create our measure of the real effective exchange rates for Norway and Saudi Arabia (1980-2006) and for Russia (1995-2006),...

Persistent link: https://www.econbiz.de/10011604885