We compare forecasts of the realized volatility of the exchange rate returns of the Euro against the U.S. Dollar and the Japanese Yen obtained both directly and through decomposition. Decomposing the realized volatility into its continuous sample path and jump components, and modeling and forecasting them separately instead of directly forecasting the realized volatility, is shown to lead to im...

Two issues; the liberalisation of labour markets and monetary unification, have taken centre stage in policy debates on the future of the European Union. We show that both have the effect of raising capital mobility as well as labour-market flexibility. The reduction of exchange-rate fluctuations reduces the cost of both entering a market – by setting up companies and hiring new employees – as ...

This paper uses descriptive statistics and regression analyses to esamine the relationship between exchange rate variability and output volatility in developed countries based on 1961 to 1984 data. The results indicate that a flexible exchange rate system is associated with less, not more, dispersion in output growth across industrialized countries despite a more turbulent global environment. A...

This paper develops a dynamic general-equilibrium (DGE) model of a small open economy to investigate alternative monetary rules, differing primarily in the degree to which they allow for exchange rate flexibility. A central argument of the paper is that the nature of the trade-off between fixed and floating exchange rates may be quite different in mature industrial economies than in emerging-ma...

We study the behavior of real exchange rates in a two-country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the rebalancing of the capital stock can only happen finitely often. We propose a realistic cost structure ...

This paper uses a general equilibrium model to study the source and reward of asymmetric volatility or skewness of market returns in an exchange economy. In particular, the dividend growth rate is modeled as a stochastic volatility process and the representative agent is characterized by Epstein-Zin preferences. The equilibrium equity premium, risk-free rate, and asymmetric volatility (measured...

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  ...

This paper presents an efficient currency option pricing model based on support vector regression (SVR). This model focuses on selection of input variables of SVR. We apply stochastic volatility model with jumps to SVR in order to account for sudden big changes in exchange rate volatility. We use forward exchange rate as the input variable of SVR, since forward exchange rate takes interest rate...

in this section of the journal, a summary of theses completed at the m.b.a level is presented. the title of these are: 1- the effect of financing methods on the stock price on the tehran stock exchange by mohammad rahmani 2- the effect of money supply on the exchange rate in iran by minuo kiani -red 3- an investigation of the reasons for price volatility of stock price an tehran on the stock ex...

this paper evaluates the real exchange rate fluctuations and uncertainties resulting from it, in the iranian economy. for this purpose, at first indirect effect of real exchange rate uncertainties on economic growth through foreign investment, private investment and exports are expressed, then the real exchange rate uncertainties and its relationship with economic growth and final pattern of in...