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Connectedness between G10 currencies : searching for the causal structure

Bettendorf, Timo; Heinlein, Reinhold - 2019

This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of … connectedness measure hinges on critical assumptions with regard to the variance-covariance matrix of the error terms. We propose to …. In a Monte Carlo study we compare the different connectedness measures and discuss their advantages and disadvantages. In …

Persistent link: https://www.econbiz.de/10011968850

Modelling the Naira exchange rate dependence using static and time-varying copula

Katata, Kabir - In: CBN Journal of Applied Statistics 14 (2023) 2, pp. 41-72

This paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were utilised. We fitted eight constant and...

Persistent link: https://www.econbiz.de/10015396514

Impact of Exchange Rate Changes on Domestic Inflation: he Turkish Experience

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2007

This paper examines the extent to which changes in exchange rates result in changes in Turkish domestic inflation. Specifically, we determine if there has been a change in the magnitude of this impact from the pre-2003 period to the post-2003, when the exchange rates were allowed to float....

Persistent link: https://www.econbiz.de/10008497664

Quantifying Informational Linkages in a Global Model of Currency Spot Markets

Greenwood-Nimmo, Matthew; Nguyen, Viet Hoang; Shin, … - Melbourne Institute of Applied Economic and Social … - 2014

We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000–1 platform for...

Persistent link: https://www.econbiz.de/10010902169

The Multiscale Causal Dynamics of Foreign Exchange Markets

Bekiros, Stelios; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011

This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal relationships among the most widely traded currencies denoted relative to...

Persistent link: https://www.econbiz.de/10009024972

The multiscale causal dynamics of foreign exchange markets

Bekiros, Stelios; Marcellino, Massimiliano - In: Journal of International Money and Finance 33 (2013) C, pp. 282-305

networks provided with an enhanced predictability in many forecast horizons for the returns. These results may have important …

Persistent link: https://www.econbiz.de/10010636239

Modelling the Naira exchange rate dependence using static and time-varying copula

Katata, Kabir - In: CBN journal of applied statistics 14 (2023) 2, pp. 41-72

Persistent link: https://www.econbiz.de/10015393778

Real Exchange Rate Persistence : The Case of the Swiss Franc-US Dollar Rate

Jusélius, Katarina - 2014

Asset prices tend to undergo wide swings around long-run equilibrium values which can have detrimental effects on the real economy. To get a better understanding of how the financial sector and the real economy interact this paper models the long swings in the Swiss franc-US dollar foreign...

Persistent link: https://www.econbiz.de/10013044175

Quantifying Informational Linkages in a Global Model of Currency Spot Markets

Greenwood-Nimmo, Matthew - 2014

Persistent link: https://www.econbiz.de/10013049444

Connectedness between G10 currencies : searching for the causal structure

Bettendorf, Timo; Heinlein, Reinhold - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3938-3959

Persistent link: https://www.econbiz.de/10014429216