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A New Approach to the Estimation of Equilibrium Exchange Rates Among East-Asian Economies

Martinez Oliva, Juan Carlos - 2015

Following the debate on exchange rate stabilization within the ASEAN 3, this paper presents a new approach to the determination of real equilibrium exchange rates in the region based on a general equilibrium approach. Based on the real bilateral export and import flows across the region, this...

Persistent link: https://www.econbiz.de/10013017607

Has the relationship between the real exchange rate and its fundamentals changed over time?

Cuestas, Juan Carlos; Monfort, Mercedes; Shimbov, Bojan - In: Baltic journal of economics 22 (2022) 2, pp. 68-89

In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the...

Persistent link: https://www.econbiz.de/10014319295

Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals

Bartolini, Leonardo; Giorgianni, Lorenzo - 2021

This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model … on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable … 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset …

Persistent link: https://www.econbiz.de/10013317694

Analyzing the Structural Breaks and the Exchange Market Turbulence on Volatility Spillovers Between Exchange Rates and Tehran Stock Exchange

Gholizadeh, Mohammadmehdi; Erfani, Alireza - 2021

This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To...

Persistent link: https://www.econbiz.de/10013250208

Long Memory and Fractional Integration in High Frequency Financial Time Series

Caporale, Guglielmo Maria - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10013141114

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082098