This article investigates the forward market efficiency by testing the unbiased forward exchange rate hypothesis using nine currencies vis-à-vis the U.S. dollar. The empirical tests are conducted using monthly data during the period between January 1985 and December 1996 and two different methods of cointegration tests, a fractional (GPH) test and the HarrisInder test. The two cointegration tes...

 Libya experienced a substantial increase in oil revenue as a result of increased oil prices during the period of the late 1970s and early 1980s, and again after 2000. Recent increases in oil production and the price of oil, and their positive and negative macroeconomic impacts upon key macroeconomic variables, are of considerable contemporary importance to an oil dependent economy such as that...

This paper analyses the importance attached to the past behaviour of the exchange rate when forming expectations and tests for the uncovered interest parity hypothesis. Using interest rate differentials for Uruguay over 1980-2010, we identify a strong and time-varying extrapolative component in exchange rate expectations. Agents attach more importance to the past behaviour of exchange rates the...

The purpose of this paper is to implement theoretically, the observation that the relative importance of fundamental versus technical analysis in the foreign exchange market depends on the time horizon in currency trade. For shorter time horizons, more weight is placed on technical analysis, while more weight is placed on fundamental analysis for longer horizons. The theoretical framework is th...

In the aftermath of the Taper Tantrum episode, the Central Bank of Brazil announced a major program of intervention in foreign exchange markets on August 2013, with daily sales of FX futures settling in domestic currency swaps that provided insurance against a depreciation of the real. We analyze the effect of that program on the level and volatility of the exchange rate using a synthetic contr...

We assess the behavior of real effective exchange rates (REERs) of members of the CEMAC zone with respect to their long-term equilibrium paths. A reduced form of the fundamental equilibrium exchange rate (FEER) model is estimated and associated misalignments are derived for the period 1980 to 2009. Our findings suggest that for majority of countries, macroeconomic fundamentals have the expected...

in this paper using catastrophe theory, we investigate non-smooth changes in tehran stock exchange. stock market crashes bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. as catastrophe theory is strong tool in explaining nonlinear phenomena, by applying stochastic cusp catastrophe model we examine sudden change in tehr...

In this paper we investigate the empirical pass-through of the nominal exchange rates to the consumer price indexes (CPIs) for five Eurozone countries vis-à-vis the United States. There are significant structure changes in these countries during the European integration. The Eurozone CPIs have been insulated from the exchange rate shocks since that integration; on the other hand, we find that t...

We employ a multivariate BEKK GARCH model which allows news to affect conditional volatility in an asymmetric manner. The asymmetric model outperforms the standard symmetric model, implying that efficient financial decision makers should not treat good and bad news as homogenous. We estimate the conditional variance and covariance of the Japanese yen, Swiss franc and British pound vis-à-vis the...

Article history: Received 1 July 2010 Received in revised form 6 March 2013 Accepted 6 March 2013 Available online 16 March 2013 We investigate the transmission mechanism of monetary policy in China over the past decades with emphasis on the post-Asian crisis period. A factor-augmented VAR method is used to study the effectiveness of monetary policy instruments in stabilizing the Chinese econom...