Volatility in exchange rates is decomposed into components associated with domestic and international concerns for six Pacific Rim currencies. A latent factor model is used to model bilateral exchange rate changes as the weighted sum of three factors; two factors are uniquely associated with each of ...
Ho, K.Y dan Tsui, A.K. 2005. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from Malaysian Ringgit and Singapore Dollar". Modelling and Simulation Society Paper.Yip Ho., Tsui K., 2008. Volatility Dynamics in Foreign Exchange Rates: Further Evidence from Malaysian Ringgit and...
asince the introduction of floating exchange rates in the 1970s,there has been more volatility in exchange rates than can be explained by economic fundamentals,such as interest rates,income,and prices. 从浮动汇率的介绍在70年代,比能解释用经济根本性,例如利率、收入和价格有更多挥发性在交换率。 [...
Results of the GARCH, VAR and cointegrating VECM models confirm the existence of substantial volatility in the nominal INR-USD exchange rate evolving unilaterally and jointly with INR exchange rates against other international currencies such as EUR, JPY and CNY. Prima facie, this amounts to ...
changes in foreignexchangerates and interest rates;volatilityinequity markets; lack of liquidity [...] hsbc.com.tw hsbc.com.tw 滙豐經營業務所在市場的整體經濟環境產生 變化,例如經濟衰退持續或惡化及就業市場波 動超出一致預測者;匯率及利率變動;股市波動;批發融資市場流通性不足;國家的房地...
13.Abnormal fluctuation and the volatility term structure of the forward exchange rate远期汇率的异常波动与波动期限结构 14.Under the managed floating exchange rate regime,exchange rates always fluctuate acutely.在管理浮动汇率制度下 ,汇率波动一直相当剧烈。
It was supposed to provide an alternative to the prevailing fixprice macrotheory of Mundell-Fleming type and proposed the establishment of a system of flexible exchange rates. Yet, exchange rates proved to be much more volatile after the breakdown of the Bretton Woods system in 1973 than was ...
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates In: Wiley Series on Quantitative and Financial Economics. Wiley, London.Beine, M., Laurent, S. (2000): "Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates," University of...
We propose and estimate a quantitative model of exchange rates in which participants in the foreign exchange market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatility translates into tighter VaR constraints, and intermediaries require higher returns to hold foreign assets. ...
The industry believes that issuing the central bank in the offshore RMB market is a means to regulate offshore RMB liquidity, so as to raise offshore market interest rates and stabilize the RMB exchange rate.