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How did the oil price affect Japanese yen and other currencies? : fresh insights from the COVID-19 pandemic
Li, Kaifeng; Devpura, Neluka; Cheng, Sijia - In: Pacific-Basin finance journal 75 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013552650
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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10001465153
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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis
Pierdzioch, Christian - 2000
period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …
Persistent link: https://www.econbiz.de/10011476547
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The Impact of COVID-19 on Exchange Rate Volatility : Evidence Through GARCH Model
Benzid, Lamia - 2020
exchange rate volatility. Results show that an increase of the number of cases and the deaths (both in logs) in the US has a … daily volatility of three exchange rates series with respect to American dollar. These results are useful for anyone needing … forecasts of exchange rate futures volatility …
Persistent link: https://www.econbiz.de/10012832852
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Exploring the Impact of COVID-19 on Exchange Rate Volatility : Evidence from South Asia
Rahman, Nausheen; Parvez, Md. Al-Amin - 2022
model to explore the impact of COVID-19 cases on the volatility of the USD exchange rates against the local currencies of … investigation reveals a positive and significant effect of COVID-19 cases on the volatility of the USD exchange rate against BDT …, INR, and PKR. Additionally, this paper forecasts the daily volatility of the USD exchange rate concerning all three …
Persistent link: https://www.econbiz.de/10014242578
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Global macroeconomic announcements and foreign exchange implied volatility
Ishfaq, Muhammad; Qiong, Zhang Bi; Shah, Syed Mehmood Raza - In: International journal of economics and financial issues … 7 (2017) 5, pp. 119-127
Persistent link: https://www.econbiz.de/10011833975
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The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market
Chang, Jui-chuan Della; Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 46 (2018), pp. 15-28
Persistent link: https://www.econbiz.de/10012036585
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Dislocations in the Won-Dollar Swap Markets During the Crisis of 2007-09
Shim, Ilhyock - 2020
, we find that global market uncertainty - as proxied by VIX, the volatility index - was the main factor explaining the …
Persistent link: https://www.econbiz.de/10012857428
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Analyzing the impacts of foreign exchange and oil price on biofuel commodity futures
Chiang, Shu-Mei; Chen, Chun-Da; Huang, Chien-Ming - In: Journal of international money and finance 96 (2019), pp. 37-48
Persistent link: https://www.econbiz.de/10012139604