Sökning: "exchange rate volatility"

Visar resultat 1 - 5 av 25 avhandlingar innehållade orden exchange rate volatility.

  1. 1. Essays on Exchange Rates, Exports and Growth in Developing Countries

    Författare :Kristian Nilsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; International commerce; developing countries; growth; exports; exchange rate misalignments; Exchange rate regimes; exchange rate volatility; Internationell ekonomi;

    Sammanfattning : This dissertation is a collection of four essays, where the unifying theme is how different exchange rate regimes have affected developing countries’ economic performance in different respects. In particular, we analyse the consequences on developing countries’ exports, but also, to some extent, the effects on their economic growth. LÄS MER

  3. 2. Time Varying Parameters in Exchange Rate Models

    Författare :Richard Henricsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; stochastich volatility.; purchasing power parity; GARCH; exchange rates; Stationarity; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Sammanfattning : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). LÄS MER

  4. 3. Macroeconomic Uncertainty and Exchange Rate Policy

    Författare :Erik Post; Nils Gottfries; Annika Alexius; Kai Leitemo; Uppsala universitet; []
    Nyckelord :Social sciences; SAMHÄLLSVETENSKAP;

    Sammanfattning : Essay 1 (with Annika Alexius) uses a structural VAR model to study the role of floating exchange rates for five "small open economies" with inflation targets. We show that only in Sweden and Canada does the nominal exchange rate behave in a stabilizing way. Most exchange rate movements are responses to non-fundamental shocks. LÄS MER

  5. 4. On the Normal Inverse Gaussian Distribution in Modeling Volatility in the Financial Markets

    Författare :Lars Forsberg; Luc Bauwens; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Volatility modeling; inverse Gaussian; normal inverse Gaussian; realized volatility; GARCH; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

    Sammanfattning : We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial markets. Refining the work of Barndorff-Nielsen (1997) and Andersson (2001), we introduce a new parameterization of the NIG distribution to build the GARCH(p,q)-NIG model. LÄS MER

  7. 5. Essays on Exchange Rates and Macroeconomic Stability

    Författare :Anders Bergvall; Philip Lane; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Exchange rates; Monetary policy; Macroeconomic stability; Nationalekonomi; Economics; Nationalekonomi; nationalekonomi; Economics;

    Sammanfattning : This thesis consists of three self-contained essays.Essay 1 investigates the relevance of the exchange rate regime for macroeconomic stability. I simulate hypothetical macroeconomic developments under different hypothetical regimes in Sweden during the period 1974-1994. LÄS MER