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Determinants of the ZAR/USD exchange rate and policy implications : a simultaneous-equation model

Hsing, Yu - In: Cogent economics & finance 4 (2016) 1, pp. 1-7

This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South African government bond yield, US real GDP, the...

Persistent link: https://www.econbiz.de/10011450559

Volatility linkages between agricultural commodity prices, oil prices and real USD exchange rate : the case of Colombia

Guellil, Mohammed Seghir; Belmokaddem, Mostéfa; … - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 71-83

This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural...

Persistent link: https://www.econbiz.de/10012023904

Detection of implicit fluctuation bands and their credibility in EU candidate countries

Sosvilla-Rivero, Simón; Ramos-Herrera, María del Carmen - In: Baltic journal of economics 15 (2015) 1, pp. 18-37

This paper attempts to identify implicit exchange-rate regimes for currencies of candidate countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data covering the period from 1999:01 to 2012:12. Our results would suggest...

Persistent link: https://www.econbiz.de/10011890541

Monetary policy response on exchange rate volatility in Indonesia

Syarifuddin, Ferry; Achsani, Noer Azam; Hakim, Dedi Budiman - In: Journal of contemporary economic and business issues 1 (2014) 2, pp. 35-54

intervention to stabilize the exchange rate. In this study, USD/IDR volatility is investigated using TGARCH approach. The result … reveals that, USD/IDR volatility in Indonesia is obviously persistent. This study also presents the outcomes of effectiveness …

Persistent link: https://www.econbiz.de/10011533477

Private sector credit and inflation volatility

Katusiime, Lorna - In: Economies : open access journal 6 (2018) 2, pp. 1-13

This paper investigates the effect of inflation volatility on private sector credit growth. The results indicate that … private sector credit growth is positively linked to the one period lagged inflation volatility. Given that past monetary … positive response of private sector credit growth to past inflation volatility suggests a credible monetary policy regime in …

Persistent link: https://www.econbiz.de/10011853882

Exchange rate and oil price interactions in selected CEE countries

Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...

Persistent link: https://www.econbiz.de/10011854772

An exchange rate model where the fundamentals follow a jump-diffusion process

Cupidon, Jean René; Hyppolite, Judex - In: Cogent economics & finance 10 (2022) 1, pp. 1-23

This paper presents some models of exchange rate with jumps, namely jump diffusion exchange rate models. Jump diffusion models are quite common in computational and theoretical finance. It is known that exchange rates sometimes exhibit jumps during some time periods. Therefore, it is important...

Persistent link: https://www.econbiz.de/10013431567

On the asymmetric effects of exchange rate volatility on the U.S. Bilateral Trade with its 12 South American partners

Bahmani-Oskooee, Mohsen; Arize, Augustine Chuck; Kalu, … - In: Economic change & restructuring 56 (2023) 2, pp. 701-732

Persistent link: https://www.econbiz.de/10014252301

Corporate sustainability performance and profitability: the moderating role of liquidity and stock price volatility : evidence from Jordan

Taha, Rana; Al Omush, Ahmed M.; Al-Nimer, Munther - In: Cogent business & management 10 (2023) 1, pp. 1-17

the moderating role of liquidity and stock price volatility in the Jordanian industrial sector. The sample under study … study reveals a significant positive relationship between CSP and profitability; liquidity and stock price volatility also …

Persistent link: https://www.econbiz.de/10014457523

Forecast Evaluation of Explanatory Models of Financial Variability

Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … illustration provides an example of where an explanatory model outperforms realised volatility ex post. …

Persistent link: https://www.econbiz.de/10010332964

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