Relevant bibliographies by topics / Foreign exchange rates – Spain – Econometric models

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Conference papers

Academic literature on the topic 'Foreign exchange rates – Spain – Econometric models'

Author: Grafiati
Published: 10 March 2023
Last updated: 31 July 2025

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Journal articles on the topic "Foreign exchange rates – Spain – Econometric models"

1

Chen, An-Sing, and Mark T. Leung. "Dynamic Foreign Currency Trading Guided by Adaptive Forecasting." Review of Pacific Basin Financial Markets and Policies 01, no. 03 (1998): 383–418. http://dx.doi.org/10.1142/s0219091598000247.

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The difficulty in predicting exchange rates has been a long-standing problem in international finance as most standard econometric methods are unable to produce significantly better forecasts than the random walk model. Recent studies provide some evidence for the ability of multivariate time-series models to generate better forecasts. At the same time, artificial neural network models have been emerging as alternatives to predict exchange rates. In this paper we propose a nonlinear forecast model combining the neural network with the multivariate econometric framework. This hybrid model conta
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ZIMMERMANN, GEORG, RALPH NEUNEIER, and RALPH GROTHMANN. "MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES." Advances in Complex Systems 04, no. 01 (2001): 29–43. http://dx.doi.org/10.1142/s021952590100005x.

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A market mechanism is basically driven by a superposition of decisions of many agents optimizing their profit. The macroeconomic price dynamic is a consequence of the cumulated excess demand/supply created on this micro level. The behavior analysis of a small number of agents is well understood through the game theory. In case of a large number of agents one may use the limiting case that an individual agent does not have an influence on the market, which allows the aggregation of agents by statistic methods. In contrast to this restriction, we can omit the assumption of an atomic market struc
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Rahman, Md Masudur, and Md Nabir Hossain. "Exchange Rate Forecasting in Bangladesh: ARIMA and VAR Models." Innovation in Economy & Policy Research 4 (November 16, 2023): 13–21. http://dx.doi.org/10.46610/jepr.2023.v04i02.002.

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Exchange rates play a crucial role in the economic structure of any country since they affect investment, foreign trade, and the stability of the economy as a whole. This research article explores the intricate dynamics of exchange rate development in Bangladesh, a country with a rapidly growing economy and a significant presence in the global trade landscape. The article delves into the historical evolution of exchange rates in Bangladesh, the factors influencing exchange rate movements, and the implications for the country's macroeconomic stability and international trade. The study employs
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Medina Reyes, José Eduardo, Agustín Ignacio Cabrera Llanos, and Salvador Cruz Aké. "Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast." Revista Mexicana de Economía y Finanzas 18, no. 3 (2023): 1–22. http://dx.doi.org/10.21919/remef.v18i3.855.

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This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH. The returns of four exchange rates were forecasted at daily periodicity from January 2015 to November 2022 and out-of-sample, January 2019, and December 2022. The results indicate that the Fuzzy GARCH and Fuzzy EGARCH models better estimate the volatility behaviour of the exchange market series compared to traditional techniques. Therefore, the recommendation is to estimate other high volatility variables to verify the efficiency of the f
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Ahmed, KHATTAB, and SALMI Yahya. "Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate." Applied Economics and Finance 8, no. 4 (2021): 31. http://dx.doi.org/10.11114/aef.v8i4.5232.

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The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserve
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Panda, Ajaya Kumar, Swagatika Nanda, Vipul Kumar Singh, and Satish Kumar. "Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies." Journal of Financial Economic Policy 11, no. 2 (2019): 174–92. http://dx.doi.org/10.1108/jfep-03-2018-0042.

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Purpose The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the stud
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Bozhechkova, A. V., S. G. Sinelnikov-Murylev, and P. V. Trunin. "Factors of the Russian ruble exchange rate dynamics in the 2000s and 2010s." Voprosy Ekonomiki, no. 8 (August 3, 2020): 5–22. http://dx.doi.org/10.32609/0042-8736-2020-8-5-22.

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The article discusses the key factors of the ruble exchange rate dynamics, analyzes the features of Russian currency market in the context of inflation targeting and the application of the budget rule. The basic theoretical approaches to modeling the dynamics of real and nominal exchange rates are presented, including behavioral models of the exchange rate, the monetary model of the exchange rate, and the hypothesis of uncovered interest parity. The most important factors of long-term and short-term dynamics of the exchange rate are revealed. The results of an econometric evaluation of the mod
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Elumalue, Godspower Iteziri, Obi, K. Callistar, and Ezi, C. Tom. "The moderating effect of interest rate on exchange rate volatility and foreign direct investment: An insight in some sub-Saharan African countries." International Journal of Advanced Economics 7, no. 3 (2025): 51–61. https://doi.org/10.51594/ijae.v7i3.1821.

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This study investigated the moderating effect of interest rate on exchange rate volatility’s and foreign direct investment inflows in some Sub-Saharan African countries. The study utilized panel data, spanning the period from 1990 to 2022, using a sample of 38 nations, where the Two Stages Least Square estimator was utilized as the main econometric approach in order to address issues of endogeneity, simultaneity, and reverse causality. The findings of the analysis indicated that, although exchange rate volatility negatively impacts Foreign Direct Investment inflows, its effect was not statisti
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Vandna Devi, Vandna Devi, Mahazabi Mahazabi, and Dr Suneshwer Prasad Dr. Suneshwer Prasad. "Evaluating India’s Foreign Trade Policies: Economic Impact (2015-2020) & 2023 Framework." International Journal of Business and Management Invention 14, no. 5 (2025): 80–92. https://doi.org/10.35629/8028-14058092.

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This study evaluates the economic impact of India's Foreign Trade Policy (FTP) 2015–2020 and analyzes the framework of FTP 2023. Employing econometric models, the research finds a significant relationship between key FTP variables and India’s GDP, highlighting the nuanced impact of trade policies. Specifically, the analysis reveals a strong correlation between GDP and factors such as export and import volumes, foreign exchange rates, and tariff measures, alongside an unexpected negative correlation with FDI. The FTP 2023 framework is assessed for its strategic shift towards enhanced global com
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Hacioglu, Umit, Hasan Dincer, and Ismail Erkan Celik. "Conflict Risk and Its Implication on Economy and Financial System." International Journal of Finance & Banking Studies (2147-4486) 2, no. 2 (2016): 109. http://dx.doi.org/10.20525/ijfbs.v2i2.638.

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<p>Considering the impacts of the conflict on the economic parameters in terms of macroeconomics, the following factors might affect the profitability of the company: foreign capital outflows, decrease in exports, increase in the interest rates, disruption of the investment climate, increase in the exchange rates, increase in the costs of import entry etc. Due to the expectable decrease in profit shares as to the investors, the contraction in the risk appetite will cause volatility in the prices of equity securities markets based on the impacts of the conflict, and the equity securities
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Dissertations / Theses on the topic "Foreign exchange rates – Spain – Econometric models"

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Hillman, Robert J. T. "Econometric modelling of nonlinearity and nonstationarity in the foreign exchange market." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.264846.

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Yuen, Wai-kee, and 袁偉基. "A historical event analysis of the variability in the empirical uncovered interest parity (UIP) coefficient." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36424201.

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Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.

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李寶昇 and Po-sing Li. "The study of the combination of technical analysis and qualitative model in financial forecasting." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31269035.

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Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.

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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option
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Mnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.

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In 1993, Kenya liberalised its trade policy and allowed the Kenyan Shillings to freely float. This openness has left Kenya's domestic prices vulnerable to the effects of exchange rate fluctuations. One of the objectives of the Central Bank of Kenya is to maintain inflation levels at sustainable levels. Thus it has become necessary to determine the influence that exchange rate changes have on domestic prices given that one of the major determinants of inflation is exchange rate movements. For this reason, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to domes
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Walker, Sébastien. "Essays in development macroeconomics." Thesis, University of Oxford, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712398.

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Senzangakhona, Phakama. "The impact of oil price volatility on unemployment: a case study of South Africa." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/1697.

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This study analyses and investigates the impact of crude oil price vitality on unemployment in South Africa. This is done by firstly surveying theoretical and empirical literature on the crude oil price-unemployment relationship before relating it to South Africa. Secondly, crude oil and unemployment trends with their causes are overviewed. The study employs a Johansen co-integration technique based on VAR to model unemployment against crude oil prices, real effective exchange rate, real interest rates and real gross domestic product. Using quarterly data for the period 1990-2010, econometric
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Malek, Mansour Jeoffrey H. G. "Three essays in international economics." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210878.

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This thesis consists in a collection of research works dealing with various aspects of International Economics. More precisely, we focus on three main themes: (i) the existence of a world business cycle and the implications thereof, (ii) the likelihood of asymmetric shocks in the Euro Zone resulting from fluctuations in the euro exchange rate because of differences in sector specialization patterns and some consequences of such shocks, and (iii) the relationship between trade openness and growth influence of the sector specialization structure on that relationship.<p><p>Regarding the approach
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Ajagbe, Stephen Mayowa. "An analysis of the long run comovements between financial system development and mining production in South Africa." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002689.

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This study examines the nature of the relationship which exists between mining sector production and development of the financial systems in South Africa. This is particularly important in that the mining sector is considered to be one of the major contributors to the country’s overall economic growth. South Africa is also considered to have a very well developed financial system, to the point where the dominance of one over the other is difficult to identify. Therefore offering insight into the nature of this relationship will assist policy makers in identifying the most effective policies in
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Books on the topic "Foreign exchange rates – Spain – Econometric models"

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Obstfeld, Maurice. Risk and exchange rates. National Bureau of Economic Research, 1998.

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Pavlova, Anna. Asset prices and exchange rates. National Bureau of Economic Research, 2003.

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Edwards, Sebastian. Exchange rates as nominal anchors. National Bureau of Economic Research, 1992.

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Duarte, Margarida. Rational speculation and exchange rates. National Bureau of Economic Research, 2001.

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P, Dooley Michael. Interest rates, exchange rates and international adjustment. National Bureau of Economic Research, 2005.

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P, Dooley Michael. Interest rates, exchange rates and international adjustment. National Bureau of Economic Research, 2005.

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Knetter, Michael. Exchange rates and corporate pricing strategies. National Bureau of Economic Research, 1992.

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Dornbusch, Rudiger. Real exchange rates and macroeconomics: A selective survey. National Bureau of Economic Research, 1988.

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Pentecost, Eric. Exchange rate dynamics: A modern analysis of exchange ratetheory and evidence. Elgar, 1993.

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Bergvall, Anders. Essays on exchange rates and macroeconomic stability. Dept. of Economics, Uppsala University, 2002.

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Conference papers on the topic "Foreign exchange rates – Spain – Econometric models"

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Hacıoğlu Deniz, Müjgan, and Kutluk Kağan Sümer. "The Effects of Oil Price Volatility on Foreign Trade Revenue and National Income: A Comparative Analysis on Selected Eurasian Economies." In International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01362.

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The aim of this study is to identify the effects of the volatility of oil prices and exchange rates on foreign trade revenue of a few selected Eurasian Economies. These countries are oil and natural gas exporting countries and getting most of their trade revenue from exporting these commodities. The effects of sharply falling oil prices since June 2014 and depreciating exchange rates on these countries’ external trade were analyzed by using alternative econometric models. The sample of this analysis covered the period from June 2014 when oil prices has started falling sharply – till June 2015
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