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Currency Crashes in Emerging Markets : Empirical Indicators

Frankel, Jeffrey A.; Rose, Andrew Kenan - 2021

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine...

Persistent link: https://www.econbiz.de/10013228733

Understanding the U.S. Dollar in the Eighties : The Expectations of Chartists and Fundamentalists

Frankel, Jeffrey A.; Froot, Kenneth - 2008

Persistent link: https://www.econbiz.de/10014071457

The Desirability of a Dollar Appreciation, Given a Contractionary U.S. Monetary Policy

Frankel, Jeffrey A. - 2022

Undesirable real effects have been attributed to floating exchange rates in general, and the 1980-83 appreciation of the dollar in particular.In the appreciating country, the U.S., export industries lose competitiveness and so output falls. In the other country, say Europe, the exchange rate...

Persistent link: https://www.econbiz.de/10013308503

The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles M. - 2010

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …

Persistent link: https://www.econbiz.de/10012763456

Verifiability and the Vanishing Intermediate Exchange Rate Regime

Frankel, Jeffrey A.; Schmukler, Sergio L.; Servén, Luis - 2021

The corners hypothesis holds that intermediate exchange rate regimes are vanishing, or should be. Surprisingly for a new conventional wisdom, this hypothesis so far lacks analytic foundations. In part, the generalization is overdone. We nevertheless offer one possible theoretical rationale, a...

Persistent link: https://www.econbiz.de/10013217196

Exchange Rate Expectations and the Risk Premium : Tests for a Cross- Section of 17 Currencies

Chinn, Menzie David; Frankel, Jeffrey A. - 2021

Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also...

Persistent link: https://www.econbiz.de/10013226178

The Estimated Effects of the Euro on Trade : Why are They Below Historical Effects of Monetary Unions Among Smaller Countries?

Frankel, Jeffrey A. - 2021

others used the gravity model on a much smaller data set to estimate the effects of the euro on trade among its members. The … that were estimated in the euro's first four years hold up in the second four years? The answer is yes. Second, and more … explanations for the gap between 15% and 200%. First, lags. The euro is still very young. Second, size. The European countries are …

Persistent link: https://www.econbiz.de/10013236830