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.

This paper presents first steps toward robust early-warning models. We conduct a horse race of conventional statistical methods and more recent machine learning methods. As early-warning models based upon one approach are oftentimes built in isolation of other methods, the exercise is of high...

This paper analyses the international transmission of monetary policy in a case where all export prices are set in US dollars. ‘Dollar pricing’ implies that the international effects of US monetary shocks are different to those of European shocks because of asymmetric exchange rate...

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...