In dieser Arbeit werden die Stellung und die Entwicklungsperspektive des Yen als internationale Währung untersucht. Die empirische Studie beleuchtet die Zielsetzung der japanischen Währungs-, Geld- und Handelspolitik in den verschiedenen Zeitabschnitten seit 1973. Der Willensbildungsprozeß...

This paper explores the spillover effects of Japan's quantitative and qualitative easing (QQE) on East Asian economies. Under the new monetary policy regime, the Japanese yen depreciated substantially, raising concerns that it would have a regional beggar-thy-neighbor effect. It is thus...

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Im Januar 2015 verkündete die Schweizer Nationalbank, dass die feste Bindung des Franken an den Euro aufgehoben sei und der Franken fortan frei schwanken solle. Dies brachte den Franken unter starken Aufwertungsdruck und die Schweizer Nationalbank kehrte innerhalb kurzer Zeit zu einer...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

The paper shows that currencies of countries with persistent current account surpluses and high foreign-currency denominated assets, such as the Swiss franc and the Japanese yen, are under persistent appreciation pressure, particularly when the centres of the world monetary system follow...

Im Januar 2015 verkündete die Schweizer Nationalbank, dass die feste Bindung des Franken an den Euro aufgehoben sei und der Franken fortan frei schwanken solle. Dies brachte den Franken unter starken Aufwertungsdruck und die Schweizer Nationalbank kehrte innerhalb kurzer Zeit zu einer...

We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy...

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...

Das vorliegende Forschungspapier analysiert die Frage, inwieweit Devisenmarktinterventionen der japanischen Zentralbank den Dollar-Yen Wechselkurs langfristig beeinflussen. Die empirische Strategie basiert auf einer Neuschätzung des traditionellen monetären Wechselkursmodells von 1976 bis...

In the currency wars of the 1920s and 1930s, various nations fell off the gold standard and in so doing experienced deep devaluations. But under the postwar dollar standard, the central position of the US was key to maintaining the peace, until the Bretton Woods system of fixed dollar exchange...

In the currency wars of the 1920s and 1930s, various nations fell off the gold standard and in so doing experienced deep devaluations. But under the postwar dollar standard, the central position of the US was key to maintaining the peace, until the Bretton Woods system of fixed dollar exchange...

The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s. Using an event-study approach, the paper finds evidence that the G7 has been overall effective in moving the US dollar, yen and euro in the intended direction...

This article examines the impact of news about the Bank of Japan monetary policy announcements regarding the Japanese yen, US dollar, and the Euro interest rates. Whether or not the announcements from the monetary authorities impact the domestic markets is related to the success of their...

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

Im Januar 2015 verkündete die Schweizer Nationalbank, dass die feste Bindung des Franken an den Euro aufgehoben sei und der Franken fortan frei schwanken solle. Dies brachte den Franken unter starken Aufwertungsdruck und die Schweizer Nationalbank kehrte innerhalb kurzer Zeit zu einer...