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The impact of CHF/EUR exchange rate uncertainty on swiss exports to the Eurozone : evidence from a threshold VAR1
Loermann, Julius Ferdinand - 2018
In light of the recent discussion regarding the measurement of uncertainty and its impact on economic activity, this paper derives forward-looking measures of uncertainty and directional expectations for the CHF/EUR exchange rate based on over-the-counter option data and analyses its impact on...
Persistent link: https://www.econbiz.de/10011946988
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Exchange rate risk, distribution asymmetry and deviations from purchasing power parity
Arghyrou, Michael Georgiou; Lu, Wenna; Pourpourides, … - 2020
Firstly, we show that domestic prices of net importer countries incorporate a risk premium, driven by higher moments of future nominal exchange rate returns and secondly, using US dollar exchange rates against three currencies of major net exporting countries to the US such as Canada, Japan and...
Persistent link: https://www.econbiz.de/10012230006
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Consumption of traded goods, exchange rate dynamics, and risk sharing
Chaban, Maxym - 2020
The paper analyzes the consumption-real exchange rate anomaly in a multi-country model with complete markets under various preference specifications: (i) standard time-additive preferences; (ii) recursive preferences of Epstein and Zin; and (iii) habit formation preferences of Campbell and...
Persistent link: https://www.econbiz.de/10012848012
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Oil price drivers, geopolitical uncertainty and oil exporters' currencies
Akram, Qaisar Farooq - 2019
Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time-variation could reflect shifts in the key oil price drivers over...
Persistent link: https://www.econbiz.de/10012214320
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The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
Shehadeh, Ali - 2016
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …
Persistent link: https://www.econbiz.de/10012989965
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Monetary policy, model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - 2010
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …
Persistent link: https://www.econbiz.de/10003937806
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On the exchange rate and economic policy uncertainty nexus: a panel VAR approach for emerging markets
Abid, Abir; Rault, Christophe - 2020
We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …
Persistent link: https://www.econbiz.de/10012239005
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On the exchange rate and economic policy uncertainty nexus : a panel VAR approach for emerging markets
Abid, Abir; Rault, Christophe - 2020
We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …
Persistent link: https://www.econbiz.de/10012195928
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Political Uncertainty, Exchange Rate Return and Volatility
Suleman, Muhammad Tahir - 2015
the volatility for over hundred countries around the world. We used the monthly political risk data from the International … governance. Further monthly volatility is constructed from the daily exchange rate returns within each month for the period of … the floating exchange rate. The results also confirm that there is more volatility in exchange rate when political …
Persistent link: https://www.econbiz.de/10013023799
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Exchange Rate Uncertainty and Traded Goods Prices
Parsley, David C. - 2012
the trade-offs between current and expected future volatility. We show that uncertainty matters even to risk neutral firms … not to pass-through increases in volatility to prices. Moreover, ignoring these intertemporal considerations in empirical …
Persistent link: https://www.econbiz.de/10012755465