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factor in a exchange rate mechanism in Russia. When world oil prices are stabilized and sanctions are cancelled, currency …
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Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we...
Persistent link: https://www.econbiz.de/10012232128
about the impact of oil price volatility on the real economy have been recently fuelled by the positive correlation between … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …–December 2019. Our results show that the relationship between stock prices and oil price volatility is significant in the CEE …
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This work investigates effects of conventional monetary policy and central bank information shocks from monetary policy announcements on the U.S. economy. We identify the surprises caused by changes in target rate and central bank’s private information embedded in high frequency exchange rate...
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