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I am not sure what the purpose of your volatility calculation is. So, frankly, the question does not make 100% sense to me. However, countries do not engage in trade with just one other country but with many, so from an International Trade Theory point of view looking at a single bi-lateral rate (even an important one like SLOVAKIA/EUR) is not enough. ...


1

The volatility goes to 0 once the crown is pegged to the Euro. The value of an exchange rate between Currency1 and Currency2 the the ratio of the value of Currency1/Currency2. The realized volatility of a currency pair is the usually measured as some trailing average of the daily log-changes in this ratio. After the conversion was made the crown at a ...


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Today (1 day after the fact) the following headline appeared in the Financial Times: "September Fed rate lift-off put in doubt, Fallout from China’s currency move turns market mood". If true, this would certainly explain why the USD declined (i.e. the interest rate rise that everyone expected has been postponed). However, in my experience it is very hard to ...



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