Using a regime-switching regression model, we provide evidence of the synchronization of East Asian (Korea, Thailand, the Philippines, Indonesia, and Taiwan) currencies-dollar exchange rates with yen dollar exchange rates and report that the export similarity index and FDI between Japan and this...

We reassess the degree of exchange rate co-movement between the Japanese yen and 5 emerging Asian currencies relative to the US dollar in the 2000s. It is often claimed that these currencies have been closely tied with the Japanese yen possibly due to active interactions of Japan and emerging...

The objective of this paper is to employ the Hurricane Katrina evacuation into Houston, TX as a natural experiment to estimate the effect of large scale in-migration on regional earnings. Given the characteristics of the evacuees, their influx would have caused the supply of applicants for lower...

This paper presents a model of exchange rate determination in which the forward premium anomaly emerges as the result of unanticipated central bank interventions in the foreign exchange market. Deviations from uncovered interest parity (UIP) therefore represent neither unexploited profit...

We study a simple continuous-time model based on uncovered interest parity (UIP) that endogenously generates conditional heteroskedasticity in exchange rate returns. The volatility clustering arises from dependence of the ex post deviation from UIP on the lagged interest differential which is...

This paper presents a model of exchange rate determination in which the forward premium anomaly emerges as the result of unanticipated central bank interventions in the foreign exchange market. Deviations from uncovered interest parity (UIP) therefore represent neither unexploited profit...