In this study it is attempted to estimate the amount of speculation in foreign exchange market.

The paper addresses the issue of the role of exchange rate jumps. The short-run dynamics of the peseta's effective exchange rate vis-a- vis OECD countries over the period 1974:1 - 1995:9 is estimated using a PPP-based error-correction model enlarged with additional terms allowing for the...

Exchange rate targets in a stabilization game are considered. The targeting strategy consists on the choice of a desired level for the exchange and the weight assigned to such target in the loss function. The exchange rate target appears then as an intermediate objective and acts as a surrogate...

This paper provides empirical evidence on the effectiveness of movements in nominal exchange rates in smooting cyclical imbalances between countries, as explained by the literature on optimal currency areas.

Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...

The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 EMEs, we find that EME shocks...

The author develops a twin crisis model featuring multiple banks. At each bank, domestic and foreign depositors play a banking game. This game has a run and a no-run equilibrium. Bank failures drain reserves in addition to those drained when foreign agents convert domestic currency to foreign....