The economic role of jumps in EUR/USD and USD/JPY exchange rates

By:

LI, Xiao - Ping

Contributor(s):

ZHOU, Chun - Yang

Material type: Text

TextSeries: Applied Economics Letters ; Volume , number ,New York Taylor & Francis 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Online resources:

Click here to access online

Summary: This study investigates the economic role of jumps in foreign currency market. We fit exchange rates by the stochastic volatility with correlated jumps (SVCJ) model, and use Markov Chain Monte Carlo (MCMC) approach to estimate the model and identify jumps in exchange rates. Our empirical analysis of EUR/USD and USD/JPY exchange rates suggest that SVCJ model is a good characterization for exchange rates. We find that the jumps in the currency markets are closely connected with significant economic and political events.

Reviews from LibraryThing.com:

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol.20 , No. 13 - 15 (Oct 2013)	Not for loan	For In House Use Only

Browsing Main Library shelves, Shelving location: - Special Collections Close shelf browser (Hides shelf browser)

Previous	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	Next
Previous	HB1.A666 APP The complementarity effect of research and development on firm productivity	HB1.A666 APP Spatial autocorrelation in the European air navigation system	HB1.A666 APP Health status and time allocation in Spain	HB1.A666 APP The economic role of jumps in EUR/USD and USD/JPY exchange rates	HB1.A666 APP Top income shares and crime	HB1.A666 APP On the correspondence between data revision and trend-cycle decomposition	HB1.A666 APP Trade in pollutive industries and the stringency of environmental regulations/	Next

This study investigates the economic role of jumps in foreign currency market. We fit exchange rates by the stochastic volatility with correlated jumps (SVCJ) model, and use Markov Chain Monte Carlo (MCMC) approach to estimate the model and identify jumps in exchange rates. Our empirical analysis of EUR/USD and USD/JPY exchange rates suggest that SVCJ model is a good characterization for exchange rates. We find that the jumps in the currency markets are closely connected with significant economic and political events.

There are no comments on this title.

to post a comment.

here