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Purchasing Power Parity Based on Capital Account, Exchange Rate Volatility and Cointegration : Evidence from Some Developing Countries

Ahmed, Mudabber - 2008

-regression based, regression based and co-integration based. An important feature of the study is that test of PPP which relies on …

Persistent link: https://www.econbiz.de/10014215553

Intra-Day Dynamics of Exchange Rates : New Evidence from Quantile Regression

Kuck, Konstantin - 2019

This study provides a comprehensive description of the intra-day dynamics of major US-Dollar spot exchange rates. We use quantile autoregression to investigate the presence of (non-)linear temporal dependence in foreign exchange returns at various intra-daily time-horizons, ranging from ten...

Persistent link: https://www.econbiz.de/10012902070

Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model

Mignot, Sarah; Westerhoff, Frank H. - 2023

We propose a simple agent-based version of Paul de Grauwe's chaotic exchange rate model. In particular, we assume that each speculator follows his own technical and fundamental trading rule. Moreover, a speculator's choice between these two trading philosophies depends on his individual...

Persistent link: https://www.econbiz.de/10014384489

Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets

Ben Omrane, Walid - 2018

This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a new impulse response analysis to estimate and...

Persistent link: https://www.econbiz.de/10012940282

Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics

Nguyen, Viet Hoang - 2011

We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily...

Persistent link: https://www.econbiz.de/10013123839

Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset

Kühl, Michael (contributor) - 2008

cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …

Persistent link: https://www.econbiz.de/10003776194

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is intended to be a resource for researchers seeking a...

Persistent link: https://www.econbiz.de/10003861767

The Crisis in the Foreign Exchange Market

Melvin, Michael - 2013

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is intended to be a resource for researchers seeking...

Persistent link: https://www.econbiz.de/10013095774

Risk Appetite and Exchange Rates

Adrian, Tobias; Etula, Erkko M.; Shin, Hyun Song - 2018

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast U.S. dollar exchange rate growth—at weekly, monthly, and quarterly horizons, both in-sample and out-of-sample, and against a large set of foreign currencies. We provide a theoretical foundation...

Persistent link: https://www.econbiz.de/10014210672

Evolving efficiency of exchange rate movement : an evidence from Indian foreign exchange market

Khuntia, Sashikanta; Pattanayak, Jamini Kanta - In: Global business review 21 (2020) 4, pp. 956-969

Persistent link: https://www.econbiz.de/10012287504