This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming predictability of returns, dependent on the sign and magnitude of endogenous shocks. Considering the properties of exchange rate returns, the quantile autoregression approach...

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

In this study, the impact of volatility regime shifts on volatility persistence and hedge ratio estimation is determined for four major currencies using an iterated cumulative sums of squares (ICSS)-GARCH model. Employing a standard GARCH (1,1) model as the benchmark, within-sample results...

The abrupt depreciation of the zloty during the subprime crisis and fast-rising prices are serious problems, because Poland, having to fulfil five Maastricht criteria, makes the dependence of her domestic inflation on price increases in the EU countries the central point of the discussion about...

This paper examines the relationship between real exchange rate and the level as well as volatility of capital flows for the Indian economy for the period 1993Q2 to 2010Q4. Other variables include fiscal policy, monetary policy and external balance indicators. Estimation results indicate that...