Topic
Foreign exchange market
About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.
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TL;DR: In this article, the authors carried out quantitative tests of the accuracy of a number of UK-based exchange-rate forecasts and concluded that the forward rate tends to outperform the forecast services as far as quantitative accuracy is concerned.
38 citations
TL;DR: The authors analyzes a small open economy model under inflation targeting and shows why such a monetary regime is vulnerable to speculative attacks that take place over a short period rather than instantaneously, showing that the speed at which the regime collapses and the extent of reserve losses are increasing in the central bank's explicit or implicit commitment to intervene in the foreign exchange market.
38 citations
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Abstract: Using the index proposed by Weymark (1995) for small open economies, the paper computes exchange market pressure and intervention indexes for Chile in the period from 1990 to 1998. This statistics can be used to assess timing and scale of currency crises, as they include exchange rate and reserves variations in one single indicator. The index is suited for intermediate exchange rate policies, since it gives due consideration to the possibility of accommodating exchange market pressures through changes in domestic credit. The monetarist model developed suggests low effectiveness of controls in affecting the exchange rate level, when the interest rate-elasticity of money demand is low. Substantial appreciative pressure on the Chilean peso is found over the period, with exception of isolated quarters following the introduction of the reserve requirement and following the outset of the Asian crisis.
38 citations
01 Nov 1998
TL;DR: In this paper, the authors report new results about the impact of noise on information processing with application to financial markets and use these results to derive a method for detecting the change in market volatility from period to period.
Abstract: We report new results about the impact of noise on information processing with application to financial markets. These results quantify the trade-off between the amount of data and the noise level in the data. They also provide estimates for the performance of a learning system in terms of the noise level. We use these results to derive a method for detecting the change in market volatility from period to period. We successfully apply these results to the four major foreign exchange markets. The results hold for linear as well as nonlinear learning models and algorithms and for different noise models.
38 citations
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TL;DR: In this paper, the authors used daily data to analyze how stock and foreign exchange markets react to terror attacks in Israel and found that suicide attacks had a permanent effect on both the stock and currency market, as did the numbers of victims, while location of a terror attack had no effect on either market.
Abstract: This paper uses daily data to analyze how stock and foreign exchange markets react to terror.The data distinguishes location, type of attack and target, number of casualties, and the number of attacks per day for 639 terror attacks between 1990 and 2003 in which 1212 people in Israel were killed and 5726 people were maimed or injured. Suicide attacks had a permanent effect on both the stock and foreign exchange market, as did the numbers of victims, while location of a terror attack had no effect on either market. Markets did not become desensitized to terror. Financial markets continued to function efficiently; past market liberalization policies ostensibly contributed to coping with the terror. The conclusions, although based on terror against the population of Israel, have broader implications that extend to western societies because of Israel’s democratic regime, free markets, and well-developed financial markets.
38 citations