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Political risk and real exchange rate : what can we learn from recent developments in panel data econometrics for emerging and developing countries?
Bahmani-Oskooee, Mohsen; Hadj Amor, Thouraya; Nouira, Ridha - 2019
Cross- Sectionally Augmented ARDL approach of Chudik and Pesaran (2015b), and the panel threshold estimation of Chudik et al …
Persistent link: https://www.econbiz.de/10011955761
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10003891665
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Sources of real exchange rate volatility and international financial integration : a dynamic GMM panel approach
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2011
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels...
Persistent link: https://www.econbiz.de/10009378390
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Market structure and the cost of capital
Arouri, Mohamed; Rault, Christophe; Sova, Robert; Sova, … - 2013
partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a …
Persistent link: https://www.econbiz.de/10009700297
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On the exchange rate and economic policy uncertainty nexus : a panel VAR approach for emerging markets
Abid, Abir; Rault, Christophe - 2020
We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR perspective used for the first time in this context. Focusing on Emerging Market Economies (EME), our noteworthy findings postulate that (a) both home and foreign EPU shocks...
Persistent link: https://www.econbiz.de/10012195928