Volatility Dynamics In Foreign Exchange Rates
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Volatility Dynamics In Foreign Exchange Rates
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Author : Kin-Yip Ho
language : en
Publisher:
Release Date : 2008
Volatility Dynamics In Foreign Exchange Rates written by Kin-Yip Ho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Foreign exchange rates categories.
The evolution of volatility and correlation patterns of the Malaysian ringgit and the Singapore dollar are analyzed in this paper. Our approach can simultaneously capture the empirical regularities of persistent and asymmetric effects in volatility and time-varying correlations of financial time series. Consistent with the results of Tse and Tsui (1997), there is only some weak support for asymmetric volatility in the case of the Malaysian ringgit when the two currencies are measured against the US dollar. However, there is strong evidence that depreciation shocks have a greater impact on future volatility levels compared with appreciation shocks of the same magnitude when both currencies measured against the yen. Moreover, evidence of time-varying correlation is highly significant when both currencies are measured against the yen. Regardless of the choice of the numeraire currency and the volatility models, shocks to exchange rate volatility are found to be significantly persistent.
Exchange Rates And Macroeconomic Dynamics
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Author : P. Karadeloglou
language : en
Publisher: Springer
Release Date : 2008-02-13
Exchange Rates And Macroeconomic Dynamics written by P. Karadeloglou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-13 with Business & Economics categories.
This book looks at the PPP persistence puzzle, and econometric aspects of exchange rate dynamics and their implications. It also explores the importance of exchange rate dynamics in the pass-through effects (PTE) and the econometric aspects of the exchange rates dynamics linked to structural shocks on different economies.
Modelling The World Exchange Rates
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Author : Godwin Chukwudum Nwaobi
language : en
Publisher:
Release Date : 2009
Modelling The World Exchange Rates written by Godwin Chukwudum Nwaobi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early contributions to the postwar literature on exchange rate economics are to a large extent concerned with the role of speculation in foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard, adjustable-peg system, adjustable-parity system, and flexible exchange rate system. Yet, in 1997, when foreign exchange was deregulated, independent traders finally had access to the biggest trading market of the world and these forex traders attempt to make money from the simultaneous buying and selling of foreign currencies. And within the forex market, many types of instruments can be used: futures market, spot market and forward market. However, the degree of volatility tends to increase with the frequency with which observations are sampled and this can be seen clearly as one moves from monthly to daily observations on exchange rates. Thus the thrust of this paper is to analyse the forecasting accuracy of the full vector autoregressive (FVAR), mixed vector autoregressive (MVAR), and bayesian vector autoregressive (BVAR) models of selected currency pairs(based on the monetary/asset model of exchange rate determination).
Dynamic Linkages And Volatility Spillover
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Author : Bhaskar Bagchi
language : en
Publisher: Emerald Group Publishing
Release Date : 2016-11-01
Dynamic Linkages And Volatility Spillover written by Bhaskar Bagchi and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-01 with Business & Economics categories.
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
High And Low Frequency Exchange Rate Volatility Dynamics
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Author : Sassan Alizadeh
language : en
Publisher:
Release Date : 2001
High And Low Frequency Exchange Rate Volatility Dynamics written by Sassan Alizadeh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Economics categories.
We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and empirically that the range is not only a highly efficient volatility proxy, but also that it is approximately Gaussian and robust to microstructure noise. The good properties of the range imply that range-based Gaussian quasi-maximum likelihood estimation produces simple and highly efficient estimates of stochastic volatility models and extractions of latent volatility series. We use our method to examine the dynamics of daily exchange rate volatility and discover that traditional one-factor models are inadequate for describing simultaneously the high- and low-frequency dynamics of volatility. Instead, the evidence points strongly toward two-factor models with one highly persistent factor and one quickly mean-reverting factor.
Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options
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Author : Christian Pierdzioch
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-12-06
Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options written by Christian Pierdzioch and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-12-06 with Business & Economics categories.
A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Exchange Rate Determination Puzzle
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Author : Falkmar Butgereit
language : en
Publisher: Diplomica Verlag
Release Date : 2010
Exchange Rate Determination Puzzle written by Falkmar Butgereit and has been published by Diplomica Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor
Empirical Modeling Of Exchange Rate Dynamics
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Author : Francis X. Diebold
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Empirical Modeling Of Exchange Rate Dynamics written by Francis X. Diebold and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Exchange Rate Dynamics
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Author : Jean-OIiver Hairault
language : en
Publisher: Routledge
Release Date : 2003-12-18
Exchange Rate Dynamics written by Jean-OIiver Hairault and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-18 with Business & Economics categories.
This important new book builds upon the seminal work by Obsfeld and Rogoff, Foundations of International Macroeconomics and aims at providing a coherent and modern framework for thinking about exchange rate dynamics. With a wide range of contributions, this book is likely to be welcomed by the macroeconomics and financial community.
The Microstructure Of Foreign Exchange Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
The Microstructure Of Foreign Exchange Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
