Topic
Exchange rate
About: Exchange rate is a research topic. Over the lifetime, 47255 publications have been published within this topic receiving 944563 citations. The topic is also known as: foreign-exchange rate & forex rate.
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TL;DR: This article proposed a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context and significantly outperforms both a random walk and, to a lesser extent, a linear termstructure vector equilibrium corrections model.
233 citations
TL;DR: This article proposed an alternative early warning system based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics.
Abstract: Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.
233 citations
TL;DR: In this article, the authors examined the long and short-run transmissions of information between the world oil price, Turkish interest rate, Turkish lira-US dollar exchange rate, and domestic spot gold and silver price.
233 citations
TL;DR: In this article, the authors hypothesize that firms' 10-K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 6), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices.
Abstract: We hypothesize that firms' 10‐K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 48), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices. We argue that this reduced uncertainty and diversity of opinion should dampen trading volume sensitivity to changes in these underlying market rates or prices. Consistent with this hypothesis, we find that after firms disclose FRR No. 48‐mandated information about their exposures to interest rates, foreign currency exchange rates, and energy prices, trading volume sensitivity to changes in these underlying market rates and prices declines, even after controlling for other factors associated with trading volume. The observed declines in trading volume sensitivity are consistent with FRR No. 48 market risk disclosures providing useful information to investors.
233 citations
TL;DR: In this paper, the authors compare regional and national data on real exchange rate movements, the growth rates of output and employment, labour mobility and unemployment, and find that asymmetric shocks tend to be more prevalent at the regional than at the national level in Europe.
Abstract: In this paper we contrast regional and national data on real exchange rate movements, the growth rates of output and employment, labour mobility and unemployment. We find that asymmetric shocks tend to be more prevalent at the regional than at the national level in Europe. The presumption of the optimum currency area literature holds relatively well, i.e. the adjustment mechanism at the national level involves very little mobility of labour and substantially more real exchange rate variability. At the regional level the opposite holds, although we find some role for real exchange rate adjustments. Finally, we identify two models of regional integration, a `Northern' and a `Southern' one. Implications for monetary union in Europe are drawn.
232 citations