Għażliet tat-Tfixxija
Paġna ewlenija Midja Spjegazzjonijiet Riċerka u Pubblikazzjonijiet Statistika Politika Monetarja L-€uro Ħlasijiet u Swieq Karrieri
Suġġerimenti
Issortja skont
Mhux disponibbli bil-Malti

Fabio Scacciavillani

1 June 2001
WORKING PAPER SERIES - No. 66
Details
Abstract
This paper examines the predictive properties of risk indicators for the foreign exchange markets. In particular it considers the predictive properties of historical volatilities and implied volatilities for movements in various bilateral exchange rates and compares them with the analogous properties of a composite indicator of risk, the Global Hazard Index (GHI). The GHI is a function of the implied volatility derived from currency options on the three major exchange rates, i.e. the euro-US dollar, the US dollar-yen and the euro-yen. For the empirical analysis this paper employs the concept of kernel volatility, which, loosely speaking, expresses the volatility of one variable conditional on the level of another. Simple regressions show that the levels of all the indicators on a particular day have a strong link to the variance of the nominal bilateral exchange rate on the next day. A strong overall influence is displayed by the GHI, especially for the currencies of small open economies.
JEL Code
F01 : International Economics→General→Global Outlook
F31 : International Economics→International Finance→Foreign Exchange
1 May 1999
WORKING PAPER SERIES

Is-sit web tagħna juża cookies

Aħna nużaw cookies funzjonali biex naħżnu l-preferenzi tal-utent; cookies analitiċi biex intejbu l-prestazzjoni tas-sit web; cookies ta’ partijiet terzi stabbiliti minn servizzi ta' partijiet terzi integrati fil-websajt.

Għandek l-għażla li taċċettahom jew li tirrifjutahom. Għal aktar informazzjoni jew biex tirrevedi l-preferenza tiegħek fuq il-cookies u l-logs tas-server li nużaw, nistednuk biex:

Taqra l-istqarrija ta’ privatezza tagħna

Issir taf aktar dwar kif nużaw il-cookies