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Tim Bollerslev - One of the best experts on this subject based on the ideXlab platform.
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Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Journal of Finance, 1998Co-Authors: Torben G Andersen, Tim BollerslevAbstract:This paper provides a detailed characterization of the volatility in the Deutsche Mark-dollar foreign exchange Market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed. Copyright The American Finance Association 1998.
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Deutsche Mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies
Journal of Finance, 1998Co-Authors: Torben G Andersen, Tim BollerslevAbstract:This paper provides a detailed characterization of the volatility in the Deutsche Mark-dollar foreign exchange Market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed. Copyright The American Finance Association 1998.
Torben G Andersen - One of the best experts on this subject based on the ideXlab platform.
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Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Journal of Finance, 1998Co-Authors: Torben G Andersen, Tim BollerslevAbstract:This paper provides a detailed characterization of the volatility in the Deutsche Mark-dollar foreign exchange Market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed. Copyright The American Finance Association 1998.
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Deutsche Mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies
Journal of Finance, 1998Co-Authors: Torben G Andersen, Tim BollerslevAbstract:This paper provides a detailed characterization of the volatility in the Deutsche Mark-dollar foreign exchange Market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed. Copyright The American Finance Association 1998.
Jose L Torres - One of the best experts on this subject based on the ideXlab platform.
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A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/Deutsche Mark exchange rate
2020Co-Authors: Consuelo Gamez Amian, Jose L TorresAbstract:In this paper we present evidence concerning the existence of target zone nonlinearities in the Spanish Peseta/Deutsche Mark exchange rate using data with daily frequency for the period 1989-1996. Using a non-parametric technique, the Alternation Conditional Expectations (ACE) algorithm, we obtain evidence of the existence of non-linearities in both exchange rate and interest rate differential, with a functional form close to the non-linear effects given by the target zone model with realignment risk.
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a non parametric reassessment of target zone nonlinearities the spanish peseta Deutsche Mark exchange rate
2004Co-Authors: Consuelo Gamez Amian, Jose L TorresAbstract:In this paper we present evidence concerning the existence of target zone nonlinearities in the Spanish Peseta/Deutsche Mark exchange rate using data with daily frequency for the period 1989-1996. Using a non-parametric technique, the Alternation Conditional Expectations (ACE) algorithm, we obtain evidence of the existence of non-linearities in both exchange rate and interest rate differential, with a functional form close to the non-linear effects given by the target zone model with realignment risk.
Ashok Parikh - One of the best experts on this subject based on the ideXlab platform.
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Exchange rates under EMS target zones: an econometric investigation
Applied Economics, 1996Co-Authors: Ashok Parikh, R. BhattacharyaAbstract:This study tests Krugman's model on exchange rate target zones using four old EMS exchange rates (those of the currencies of Belgium, France, Italy and the Netherlands against the Deutsche Mark). Vast theoretical literature is available but there are very few empirical studies testing the main results of Krugman's model, namely the ‘honeymoon effect’, ‘smooth pasting’ and the overall S-curved relationship between fundamental and exchange rate. The present study supports the honeymoon effect but does not find any evidence in support of ‘smooth pasting’ or of an S-curved relationship between the exchange rate and fundamentals for the Belgian franc, French franc and Italian lira against the Deutsche Mark. The Dutch guilder very closely follows movements in the German Mark throughout the period 1981—90. End-of-month exchange rates and Euro-currency interest rates data are used.
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Modelling the exchange rate behaviour of yen and Deutsche Mark against the dollar
Review of World Economics, 1991Co-Authors: Ashok ParikhAbstract:Le modelage du comportement des cours du change du Yen et de la Mark allemande envers le dollar. — L’intention de cette étude est de déterminer les rapports à court terme et à long terme entre les cours du change bilatéraux et des variables économiques comme les différences concernant l’offre monétaire, les taux d’intéréts, les taux d’inflation, l’activité industrielle ainsi que les déviations de la PPA et les balances commerciales. On fait des tests statistiques de cointégration. Si l’hypothèse de non-cointégration est rejeté, on obtient un rapport d’équilibre à long terme. On estime aussi un rapport à court terme en utilisant un modèle d’erreur-correction. En ce qui concerne le cours du change entre le Yen et le dollar, on obtient un rapport à long terme et à court terme qui satisfait des tests économétriques. Pour la DM/dollar relation, le rapport à long terme est douteux, mais un rapport à court terme est obtenu. Ce résultat est plausible si l’on considère l’efficience du marché des changes. Ein Modell des Wechselkursverhaltens des Yen und der Deutschen Mark gegenüber dem Dollar. — Ziel dieser Untersuchung ist es, die kurz- und langfristigen Beziehungen zwischen bilateralen Wechselkursen und wirtschaftlichen Variablen zu bestimmen (Unterschiede im Geldangebot, Zinsdifferenzen, Abweichungen von der KaufkraftparitÄt, Unterschiede in der Inflationsrate, Industrieproduktion und Handelsbilanz). Statistische Tests auf Kointegration werden durchgeführt; und wenn die Hypothese “Keine Kointegration” zurückgewiesen wird, ergibt sich eine langfristige Gleichgewichtsbeziehung. Eine kurzfristige Beziehung wird im Rahmen eines Irrtumskorrektur-Modells geschÄtzt. Für den Yen/Dollar-Kurs ergeben sich lang- und kurzfristige Beziehungen, die ökonometrischen Tests standhalten. Für den DM/Dollar-Kurs ist die langfristige Beziehung zweifelhaft, aber eine kurzfristige Beziehung wird ermittelt. Das ist plausibel, wenn man die Effizienz des DevisenMarktes berücksichtigt. Modelando el comportamiento de la tasa de cambio del yen y del marco alemán frente al dólar. — El objetivo de este trabajo es determinar las relaciones de corto y largo plazo entre tasas de cambio bilaterales y variables económicas como las diferencias entre la oferta monetaria, entre las tasas de interés, entre las tasas de inflación, entre la actividad industrial, las deviaciones de la paridad del poder de compra y el saldo comercial. Se llevan a cabo tests estadisticos de cointegración y, en caso de rechazarse la hipótesis de no cointegración, se obtiene una relación de equilibrio de largo plazo. Se estima una relación de corto plazo utilizando un marco de correction de errores. Para la tasa yen/dólar se obtienen relaciones de corto y largo plazo que satisfacen tests econométricos. Para la tasa DM/dólar la relación de largo plazo es sospechosa; se obtiene una de corto plazo. Esto es plausible, dada la eficiencia con la cual funciona el mercado de cambios.
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modelling the exchange rate behaviour of yen and Deutsche Mark against the dollar
Review of World Economics, 1991Co-Authors: Ashok ParikhAbstract:Ein Modell des Wechselkursverhaltens des Yen und der Deutschen Mark gegenuber dem Dollar. — Ziel dieser Untersuchung ist es, die kurz- und langfristigen Beziehungen zwischen bilateralen Wechselkursen und wirtschaftlichen Variablen zu bestimmen (Unterschiede im Geldangebot, Zinsdifferenzen, Abweichungen von der KaufkraftparitAt, Unterschiede in der Inflationsrate, Industrieproduktion und Handelsbilanz). Statistische Tests auf Kointegration werden durchgefuhrt; und wenn die Hypothese “Keine Kointegration” zuruckgewiesen wird, ergibt sich eine langfristige Gleichgewichtsbeziehung. Eine kurzfristige Beziehung wird im Rahmen eines Irrtumskorrektur-Modells geschAtzt. Fur den Yen/Dollar-Kurs ergeben sich lang- und kurzfristige Beziehungen, die okonometrischen Tests standhalten. Fur den DM/Dollar-Kurs ist die langfristige Beziehung zweifelhaft, aber eine kurzfristige Beziehung wird ermittelt. Das ist plausibel, wenn man die Effizienz des DevisenMarktes berucksichtigt.
Zenon Jimenez Ridruejo - One of the best experts on this subject based on the ideXlab platform.
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Testing a target zones model for the peseta/Deutsche Mark exchange rate
1999Co-Authors: Maria Isabel Campos Lopez, Julio Herrera Revuelta, Zenon Jimenez RidruejoAbstract:The literature on "Target Zones" is characterized by a continuous stochastic time modelization, where the exchange rate is a non-censured dependent variable. In this paper we propose a discrete time target zones model, taking into account the censured disposition of the exchange rate, whose parameters will be estimated by the FIML method. The settled theoretical model is a simplified version of Dornbusch's (1976) model, applied in a two countries environment. It will be tested into a peseta/Deutsche Mark exchange rate frame, from june 1989 to december 1998. The period is split in two sub-samples thinking over the enlargement of bands decided in august 1993. The estimation procedure of the model is based on the limited dependent rational expectation technique developed by Pesaran and Ruge-Murcia (1999). The results point out weightly differences between the two considered sample periods and, at least for the first period, doesn't verify the regularities found for other exchange rates in the EMS.
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testing a target zones model for the peseta Deutsche Mark exchange rate
Documentos de trabajo FAE ( Universidad de Valladolid. Facultad de Ciencias Económicas y Empresariales ), 1999Co-Authors: Maria Isabel Campos Lopez, Julio Herrera Revuelta, Zenon Jimenez RidruejoAbstract:The literature on "Target Zones" is characterized by a continuous stochastic time modelization, where the exchange rate is a non-censured dependent variable. In this paper we propose a discrete time target zones model, taking into account the censured disposition of the exchange rate, whose parameters will be estimated by the FIML method. The settled theoretical model is a simplified version of Dornbusch's (1976) model, applied in a two countries environment. It will be tested into a peseta/Deutsche Mark exchange rate frame, from june 1989 to december 1998. The period is split in two sub-samples thinking over the enlargement of bands decided in august 1993. The estimation procedure of the model is based on the limited dependent rational expectation technique developed by Pesaran and Ruge-Murcia (1999). The results point out weightly differences between the two considered sample periods and, at least for the first period, doesn't verify the regularities found for other exchange rates in the EMS.