Similar Search Results

Applications of agent-based models and nonlinear econometrics in finance

Demary, Markus - 2010

rules. However, mispricings increase for larger tax rates, since their harm the stabilizing fundamental trading rules, too …

Persistent link: https://www.econbiz.de/10008664302

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …

Persistent link: https://www.econbiz.de/10011765010

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

Persistent link: https://www.econbiz.de/10009616784

Sources of Exchange Rate Fluctuations : Are They Real or Nominal?

Juvenal, Luciana - 2010

I analyze the role of real and monetary shocks on the exchange rate behavior using a structural vector autoregressive model of the US vis-à-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These...

Persistent link: https://www.econbiz.de/10013151170

International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...

Persistent link: https://www.econbiz.de/10010414236

International Investment Positions and Exchange Rate Dynamics : A Dynamic Panel Analysis

Binder, Michael - 2016

In this paper we revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we develop a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our...

Persistent link: https://www.econbiz.de/10012991132

Consumption Smoothing and Exchange Rate Volatility

Turtelboom, Bart G. - 2006

for the period 1970-92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

Persistent link: https://www.econbiz.de/10012781855

International Investment Positions and Exchange Rate Dynamics : A Dynamic Panel Analysis

Binder, Michael - 2013

Persistent link: https://www.econbiz.de/10012753853

Welfare Costs of Exchange Rate Fluctuations : Evidence from the 1972 Okinawa Reversion

Kano, Kazuko; Kano, Takashi - 2022

The main tenet of the New Keynesian (NK) paradigm is that price dispersion caused by nominal price stickiness is the primary source of allocative inefficiency. This study empirically evaluates the welfare implications of NK models by observing how internal and external price dispersion responds...

Persistent link: https://www.econbiz.de/10013308249

Exchange Rate Volatility and Export Growth in India : An ARDL Bounds Testing Approach

Palamalai, Srinivasan - 2013

This paper empirically investigates the impact of exchange rate volatility on the real exports in India using the ARDL … volatility, real exchange rate, gross domestic product and foreign economic activity. Our findings indicate that the exchange … rate volatility has significant negative impact on real exports both in the short-run and long-run, implying that higher …

Persistent link: https://www.econbiz.de/10013082330