Exchange Rate Volatility, Foreign Exchange Market Intervention and Asymmetric Preferences
نویسندگان
چکیده
منابع مشابه
Exchange Rate Volatility in the Artiicial Foreign Exchange Market
This paper studies co-evolution of di erent decision rules in an arti cial foreign exchange market. The behavior of the exchange rate depends on the type of decision rules that agents use. Evolution of the moving average and least squares forecasting techniques results in a speculative attack on one of the currencies and that currency's eventual collapse. Addition of the rules that evolve the p...
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When asset returns are normally distributed the risk of an asset over a long return interval may be estimated by scaling the risk from shorter return intervals. While it is well known that asset returns are not normally distributed a key empirical question concerns the effect that scaling the volatility of dependent processes will have on the pricing of related financial assets. This study prov...
متن کاملexchange rate volatility and its effect on stock market volatility
this paper investigates empirically the effect of volatility of the exchange rate of the u.s. dollar vis-à-vis the euro on u.s. stock market volatility while controlling for a number of drivers of stock return volatility. using a garch(1, 1) model and using weekly data covering the period from the week of january 1, 1999 through the week of january 25, 2010, it is found that the 9/11 terrorist ...
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ژورنال
عنوان ژورنال: The Economics and Finance Letters
سال: 2019
ISSN: 2312-6310,2312-430X
DOI: 10.18488/journal.29.2019.62.203.209