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Exchange Rate Volatility and the Asian Financial Crisis: Evidence from South Korea and ASEAN-5

Baharumshah, Ahmad Zubaidi; Wooi, Hooy Chee - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 02, pp. 237-264

This paper investigates the degree of volatility and asymmetric behavior of real exchange rates in East Asian. Exponential generalized autoregressive heteroskedasticity (EGARCH) is deployed to estimate the volatility of the exchange rate returns before and after the 1997 Asian financial crisis....

Persistent link: https://www.econbiz.de/10004970147

Exchange Rate Forecasting, Order Flow and Macroeconomic Information

Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - C.E.P.R. Discussion Papers - 2009

This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow...

Persistent link: https://www.econbiz.de/10004972168

Do the Benefits of Exchange Rates Outweigh Their Cost? The Franc Zone in Africa

Devarajan, Shantayanan; Rodrik, Dani - C.E.P.R. Discussion Papers - 1991

lower inflation levels than their neighbours. Our framework provides a way of weighing these costs and benefits. The … inflation differential between CFA and non-CFA African countries has been around 14 percentage points. We attribute this …. Under `reasonable' output-inflation trade offs, these countries would have been better off having the flexibility to adjust …

Persistent link: https://www.econbiz.de/10005123545

An Economic Evaluation of Empirical Exchange Rate Models

Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - C.E.P.R. Discussion Papers - 2007

This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical...

Persistent link: https://www.econbiz.de/10005123849

Exchange Rates and Fundamentals: Footloose or Evolving Relationship?

Sarno, Lucio; Valente, Giorgio - C.E.P.R. Discussion Papers - 2008

Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve over time in a very general fashion. Our key findings...

Persistent link: https://www.econbiz.de/10005123971

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...

Persistent link: https://www.econbiz.de/10005124143

Real Exchange Rates Within and Between Currency Areas: How Far Away is EMU?

Neumann, Manfred J.M.; von Hagen, Jürgen - C.E.P.R. Discussion Papers - 1992

The renewed quest for a European monetary union raises the question: Is Europe ready for a common currency? We compare the variability and persistence of real exchange rate fluctuations within the German monetary union and between Germany and eight European countries to assess the viability of a...

Persistent link: https://www.econbiz.de/10005124270

Exchange Rates in Search of Fundamental Variables

De Grauwe, Paul - C.E.P.R. Discussion Papers - 1994

In this paper it is shown that relatively simple models are capable of generating exchange rate movements that, at least in the short run, are largely disconnected from their fundamental values. The essential ingredient of such models is the hypothesis that economic agents use different...

Persistent link: https://www.econbiz.de/10005124324

Foreign Exchange Intervention and International Policy Coordination: Comparing the G-3 and EMS Experience

Weber, Axel A - C.E.P.R. Discussion Papers - 1994

The paper aims to develop understanding of why and how central banks have intervened in foreign exchange markets, and whether intervention was (i) coordinated, (ii) sterilized, and (iii) effective. The experience in the G-3 context is compared with the past EMS experience. In addition to foreign...

Persistent link: https://www.econbiz.de/10005136515

Dispersion of Beliefs in the Foreign Exchange Market

Jongen, Ron; Verschoor, Willem F C; Wolff, Christian C; … - C.E.P.R. Discussion Papers - 2008

This paper analyzes the sources of the differential beliefs of market participants in the foreign exchange market and their relative role in forming exchange rate expectations. We find that there are distinct periods of high and low dispersion and document that dispersion arises because of a...

Persistent link: https://www.econbiz.de/10005136619