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Is there asymmetry in forward exchange rate bias? Multi-country evidence

Zhou, Su; Kutan, Ali M. - Zentrum für Europäische Integrationsforschung (ZEI), … - 2002

This study illustrates that the empirical rejection of the forward rate unbiasedness hypothesis is not sensitive to whether the forward U.S. dollar is quoted at a premium or a discount. It is argued that the reported finding of so-called asymmetry in forward exchange rate bias in earlier work is...

Persistent link: https://www.econbiz.de/10008614810

MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING

Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008

Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard … exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex …

Persistent link: https://www.econbiz.de/10005619306

Mindestkurs für den Schweizer Franken: Gefährlicher Interventionismus der SNB?

Landmann, Oliver; Schnabl, Gunther; Iselin, David; … - In: Ifo Schnelldienst 64 (2011) 19, pp. 03-16

Liquiditätsschwemme sowie instabiler europäischer Staatshaushalte und Banken nur eine unbefriedigende Lösung. Denn bei festem Wechselkurs …

Persistent link: https://www.econbiz.de/10009324122

How Homogenous are Currency Crises? A Panel Study Using Multiple-Response Models

Anastasatos, Tassos G.; Davidson, Ian R. - Bank of Greece - 2006

This paper presents evidence that currency episodes display heterogeneity in terms of their evolution, their impact on the inflicted economy and their links with financial, political and macroeconomic fundamentals. Limited-dependent variable models for ordered and unordered outcomes along with...

Persistent link: https://www.econbiz.de/10005523503

A Habit-Based Explanation of the Exchange Rate Risk Premium

Verdelhan, Adrien - Department of Economics, Boston University - 2005

produced is in line with its empirical counterpart. A nonlinear estimation of the model using consumption data leads to …

Persistent link: https://www.econbiz.de/10005443363

Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets.

León, Alejandro Díaz de; Casanova, Martha Elena - Banco de México - 2004

The paper’s objective is to identify the balance of risks that economic agents incorporate in oil and exchange rate markets (peso/US dollar). For that purpose, two methodologies that are normally used to estimate the expected risk-neutral probability functions for a determinate underlying...

Persistent link: https://www.econbiz.de/10004967928

Cross listing: price discovery dynamics and exchange rate effects

Scherrer, Cristina M. - School of Economics and Management, University of Aarhus - 2014

The paper investigates the dynamics of price discovery for cross-listed firms and the impact of exchange rate shocks on firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on two latent prices, namely, the efficient firm value...

Persistent link: https://www.econbiz.de/10011098648

The Effects of Trade Openness on Malaysian Exchange Rate

Lee, Chin; Law, Chee-Hong - Volkswirtschaftliche Fakultät, … - 2013

This study investigates the impact of trade openness on Malaysian exchange rate. The findings show that most of the variables are statistically significant and carried the expected signs. As predicted by the theory, the rise of the income level and stock market index in Malaysia will lead to the...

Persistent link: https://www.econbiz.de/10011108092

Oil Price and Exchange Rate Volatility in Nigeria

Ogundipe, Adeyemi; Ogundipe, Oluwatomisin - Volkswirtschaftliche Fakultät, … - 2013

Nigeria being a mono-product economy, where the main export commodity is crude oil, changes in oil prices has implications for the Nigerian economy and, in particular, exchange rate movements. The latter is mostly important due to the double dilemma of being an oil exporting and oil-importing...

Persistent link: https://www.econbiz.de/10011109692

Modelling the oil price –exchange rate nexus for South Africa

Fowowe, Babajide - In: Economie Internationale (2014) 140, pp. 36-48

This paper conducts an empirical analysis of the relationship between oil prices and exchange rates in South Africa. We model the volatility and jumps in exchange rate returns by using the GARCH autoregressive conditional jump intensity model of Chan and Maheu which models the effects of extreme...

Persistent link: https://www.econbiz.de/10011082285