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Nominal exchange rate volatility, relative price volatility, and the real exchange rate
Journal of International Money and Finance, 2010Abstract We model real exchange rate, nominal exchange rate, and relative price volatility using real and nominal factors. We analyze these volatility measures across developing and industrialized countries. We find that the inclusion of nominal factors achieves a sizable reduction in the real exchange rate volatility spread between developing and ...
Srideep Ganguly, Janice Boucher Breuer
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2003
In chapter 2 we have considered a monetary model with completely flexible prices and in chapter 3 contrasted this model type with a fixed price model where quantities rather than prices adjusted in order to clear the markets for the domestically produced and the foreign good.
Toichiro Asada +3 more
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In chapter 2 we have considered a monetary model with completely flexible prices and in chapter 3 contrasted this model type with a fixed price model where quantities rather than prices adjusted in order to clear the markets for the domestically produced and the foreign good.
Toichiro Asada +3 more
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Causes of Exchange Rate Volatility
Asian Journal of Economics, Business and Accounting, 2023This study examined the determinants of exchange rate volatility basing evidence on 7 African countries; Niger, Sudan, Cameron, Equatorial Guinea, Tunisia, Congo, and Cote D’Ivoire from 1990-2023. The study conducted the Autoregressive Distributive Lag (ARDL) bounds testing for co-integration and also estimated the error correction model.
Umoru, David +2 more
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The Northeast Asia Economic Association Of Korea, 2022
This study empirically analyzes factors that can affect the volatility of the domestic won/dollar exchange rate, which advocates a small open economy, focusing on the United States, a representative key currency country. In addition, the effect of exchange rate volatility on the domestic real economy was analyzed.
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This study empirically analyzes factors that can affect the volatility of the domestic won/dollar exchange rate, which advocates a small open economy, focusing on the United States, a representative key currency country. In addition, the effect of exchange rate volatility on the domestic real economy was analyzed.
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Exchange-rate volatility, exchange-rate disconnect, and the failure of volatility conservation [PDF]
, 2006 Empirical analysis of exchange rates has produced puzzles that conventional models of exchange rates cannot explain. Here we deal with four puzzles regarding both real and nominal exchange rates, which are robust and inconsistent with standard theory. These puzzles are that both real and nominal exchange rates: i) are disconnected from fundamentals, ii)
Alexei Deviatov, Igor Dodonov
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MODEL UNCERTAINTY AND EXCHANGE RATE VOLATILITY*
International Economic Review, 2012This article proposes an explanation for shifts in the volatility of exchange‐rate returns. Agents are uncertain about the true data generating model and deal with this uncertainty by making inference on the models and their parameters' approach, I call model learning.
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The European Exchange Rate Mechanism and the Volatility of the Sterling- Deutschemark Exchange Rate
The Economic Journal, 1993Sterling membership of the ERM focused interest on the sterling-deutsche mark exchange rate, with commentators predicting a reduction in exchange rate volatility. This paper analyzes the sterling-deutsche mark rate pre- and post-ERM entry, and finds that ERM membership significantly reduced volatility.
Pesaran, B, Robinson, G
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The influence of interest rates on the exchange rate and exchange rate volatility [PDF]
Theoretical and Applied Economics, 2014 The dynamic of interest rates has been the subject of attention by both traders and researchers. We see in what manner different factors that depend on the actions of central banks that influence them by using a GARCH type model and we compare its performance with other models to see what approach explains and predicts the movement of the exchange rate.
Florin MAVRIS, Dumitru-Cristian OANEA
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Are exchange rates ‘excessively’ volatile?
Journal of International Economics, 1987This paper applies standard variance bounds tests to assess whether the Dornbusch overshooting model can explain the volatility of exchange rates. The violation of some of the inequalities is consistent with the hypothesis that exchange rates are ‘excessively’ volatile.
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The predictability of exchange rate volatility
Economics Letters, 2008Abstract The model-free test procedure used in this paper suggests that exchange rate volatility is hard to predict more than 1 month ahead with time series methods. Moreover, predictability declines rather quickly with horizon.
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