Similar Search Results

Exchange rate misalignments in frequency domain

Grossmann, Axel; Orlov, Alexei G. - In: International Review of Economics & Finance 24 (2012) C, pp. 185-199

This research uses spectral methodology to study how the volatility of spot exchange rate misalignments changed as a result of signing of the Plaza Accord and introduction of the Euro. We study the deviations of Canadian Dollar/US Dollar, Japanese Yen/US Dollar and US Dollar/British Pound spot...

Persistent link: https://www.econbiz.de/10010943011

Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro

Grossmann, Axel; Simpson, Marc W. - In: The Quarterly Review of Economics and Finance 55 (2015) C, pp. 124-139

One puzzle in international finance is the finding that the forward foreign exchange rate is a poor predictor of the future spot foreign exchange rate. It has been postulated that this finding could be explained by the presence of unobservable risk premiums. Theory, however, is silent as to the...

Persistent link: https://www.econbiz.de/10011193783

Forward premium anomaly of the British pound and the euro

Grossmann, Axel; Lee, Allissa A.; Simpson, Marc W. - In: International Review of Financial Analysis 34 (2014) C, pp. 140-156

Using pooled data, we study the forward discount bias (FDB) of 24 British pound and 24 euro exchange rates. The results show a FDB during “non-crisis” periods, which is more pronounced for advanced than emerging economies. This finding is especially striking during the period of the European...

Persistent link: https://www.econbiz.de/10011056784

Random diversification over time : the case of five European countries surrounding the Euro introduction

Giudici, Emiliano; Grossmann, Axel - In: Financial services review : the journal of individual … 21 (2012) 1, pp. 35-50

Persistent link: https://www.econbiz.de/10009692860

Euro conversion and return dynamics of European financial markets : a frequency domain approach

Grossmann, Axel; Giudici, Emiliano; Simpson, Marc W. - In: Journal of economics and finance 38 (2014) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10010388029

Forward premium anomaly of the British pound and the euro

Grossmann, Axel; Lee, Allissa A.; Simpson, Marc W. - In: International review of financial analysis 34 (2014), pp. 140-156

Persistent link: https://www.econbiz.de/10010528461

Bid-ask spreads, deviations from PPP and the forward prediction error : the case of the British pound and the euro

Grossmann, Axel; Simpson, Marc W. - In: The quarterly review of economics and finance : journal … 55 (2015), pp. 124-139

Persistent link: https://www.econbiz.de/10011334657

An evaluation of the equilibrium value of the euro, its predecessors and their constituent currencies based on economic fundamentals

Grossmann, Axel; Paul, Chris W.; Simpson, Marc W. - In: Applied economics 49 (2017) 31/33, pp. 3280-3312

Persistent link: https://www.econbiz.de/10011774750

Predictability and forecasting performance of major euro exchange rates using a relative PPP-based equilibrium model

Grossmann, Axel; Simpson, Marc W. - In: Research in international business and finance 66 (2023), pp. 1-35

Persistent link: https://www.econbiz.de/10014462207