A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets

2017 ◽  
Vol 36 (1) ◽  
pp. 101-114 ◽  
Author(s):  
Roberto Casarin ◽  
Domenico Sartore ◽  
Marco Tronzano
Keyword(s):  
Exchange Rate ◽  
Markov Switching ◽  
Correlation Model ◽  
Exchange Rate Markets

Multifrequency network for SADC exchange rate markets using EEMD-based DCCA

2021 ◽  
Author(s):  
Anokye M. Adam ◽  
Kwabena Kyei ◽  
Simiso Moyo ◽  
Ryan Gill ◽  
Emmanuel N. Gyamfi
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Markets

scholarly journals A Three-State Markov-Modulated Switching Model for Exchange Rates

2016 ◽  
Vol 2016 ◽  
pp. 1-9 ◽  
Author(s):  
Idowu Oluwasayo Ayodeji
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Markov Switching ◽  
The Other ◽  
Markov Switching Model ◽  
Switching Model ◽  
Empirical Results ◽  
Proposed Model ◽  
Markov Modulated ◽  
Japanese Yen

Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit ak-state(k≥2)pattern. The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira. Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies. For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds. In addition, taking0.5as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.

scholarly journals Markov switching regimes in a monetary exchange rate model

2005 ◽  
Vol 22 (3) ◽  
pp. 485-502 ◽  
Author(s):  
Michael Frömmel ◽  
Ronald MacDonald ◽  
Lukas Menkhoff
Keyword(s):  
Exchange Rate ◽  
Markov Switching ◽  
Rate Model ◽  
Switching Regimes
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