Volatility and persistence of simulated DSGE real exchange rates

Market Structure and the Persistence of Sectoral Real Exchange Rates

We examine the relationship between market structure and the persistence of US dollar-based sectoral real exchange rates for 14 OECD countries. Our empirical results based on disaggregated data suggest that differences in market structure significantly determine the rates at which deviations from sectoral purchasing power parity decay. Specifically, industries with a larger price-cost margin ar...

Volatility in Foreign Exchange Rates

Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...

Welfare and excess volatility of exchange rates

Simulated Likelihood Estimation of Multivariate Di usions with an Application to Interest Rates and Exchange Rates with Stochastic Volatility

This paper and an earlier version entitled \Simulated Likelihood Estimation of Di usions with an Application to the Short Term Interest Rate" have bene tted from helpful conversations with Jo~ao Amaro de Matos, Lars Peter Hansen, Lars Nielsen, Jes us Sa a-Requejo, and Jos e Scheinkman, as well as seminar participants at Carnegie-Mellon University, London Business School, Northwestern University...

Foreign Exchange Rates Have Surprising Volatility

Local Polynomial Estimation (LPE) is implemented on a dataset of high-frequency foreign exchange (FX) quotes. This nonparametric technique is meant to provide a exible background against which to evaluate parametric time series models. Assuming a conditionally heteroscedastic nonlinear autoregressive (CHARN) model, estimates of the mean and volatility functions are reported. The mean function d...