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Nonlinear relationship between exchange rate volatility and economic growth
Phiri, Andrew - 2018
In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …
Persistent link: https://www.econbiz.de/10011870188
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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian A. (contributor);  … - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …
Persistent link: https://www.econbiz.de/10003763600
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The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication
Conrad, Christian; Lamla, Michael J. - 2013
We investigate the impact of the European Central Bank’s monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high-frequency. Based on the method of Content Analysis we construct communication indicators for...
Persistent link: https://www.econbiz.de/10014223949
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How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014305726
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Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional I...
Shah, Anand - 2017
symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed … with the calendar effect dummies in the volatility model are not parsimonious. The net purchase/ sale of USD in a given …
Persistent link: https://www.econbiz.de/10012962908
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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian; Lamla, Michael J. - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …
Persistent link: https://www.econbiz.de/10010277736
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Essays on the volatility of macroeconomic and financial time series
Yu, Wei-choun - 2006
Persistent link: https://www.econbiz.de/10003973905
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Persistence and long memory in monetary policy spreads
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2020
The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the...
Persistent link: https://www.econbiz.de/10012308499
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Money Demand Instability and Real Exchange Rate Persistence in the Monetary Model of USD-JPY Exchange Rate
Hunter, John; Menla Ali, Faek - 2014
capital mobility and volatility (1980:01–2009:04), the results show that the proposed hybrid model provides a coherent long …
Persistent link: https://www.econbiz.de/10014039290