Title data
Bauer, Christian ; Herz, Bernhard:
Technical trading, monetary policy, and exchange rate regimes : Some empirical evidence.
In: Global Finance Journal.
Vol. 15
(2005)
Issue 3
.
- pp. 281-302.
ISSN 1044-0283
DOI: https://doi.org/10.1016/j.gfj.2004.07.002
Related URLs
Abstract in another language
The paper extends and empirically tests the noise trader exchange rate model of Jeanne and Rose (2002). We introduce technical trading in the exchange market as a source of noise and explicitly incorporate monetary and exchange rate policy. With these modifications, it is possible to directly test the model's prediction of an U-shaped relation between exchange trend and volatility. We find strong empirical evidence supporting the implications of the model. As a corollary, we develop a measure of excess exchange rate volatility and categorize exchange rate regimes based on the de facto behavior of the exchange rates.
Further data
Item Type: | Article in a journal |
---|---|
Refereed: | Yes |
Keywords: | Chartists; Exchange rates; Monetary policy; Multiple equilibria; Noise |
Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance > Chair Economics I - International Economics and Finance - Univ.-Prof. Dr. Bernhard Herz Faculties Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Economics Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance |
Result of work at the UBT: | Yes |
DDC Subjects: | 300 Social sciences > 330 Economics |
Date Deposited: | 13 Apr 2015 08:09 |
Last Modified: | 13 Apr 2015 08:09 |
URI: | https://eref.uni-bayreuth.de/id/eprint/10158 |