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Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models. [PDF]
Entropy (Basel)Yılmaz TE, Zehir C.
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On the macroeconomic causes of exchange rate volatility [PDF]
International Journal of Forecasting, 2009 Abstract What are the causes of exchange rate volatility? When the second moments implications of theories of exchange rates determination are considered, long-term fundamental linkages between macroeconomic and exchange rate volatility can be envisaged.
Claudio Morana
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Volatility, Intermediaries and Exchange Rates
SSRN Electronic Journal, 2016This paper studies how financial market volatility drives exchange rates through the risk management practice of financial intermediaries. We build a model in which the major participants in the international financial market are levered intermediaries subject to Value-at-Risk constraints.
Xiang Fang, Yang Liu
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Forecasting exchange rate volatility
Economics Letters, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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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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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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