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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010635677
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The Scapegoat Theory of Exchange Rates: The First Tests
Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which...
Persistent link: https://www.econbiz.de/10010643156
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The Polish Zloty and Currency Speculation
Fic, Tatiana - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2002
This paper uses Markov switching models to study short-run movements of the Polish zloty and speculative phenomena in Poland, that is, to investigate whether the exchange rate is "contaminated" by a speculative bubble. The zloty movements are examined in terms of so-called long swings - periods...
Persistent link: https://www.econbiz.de/10004963691
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10005069074
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010661278
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010783955
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Declining Output Volatility in Germany: Impulses, Propagation, and the Role of Monetary Policy
Fritsche, Ulrich; Kuzin, Vladimir - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004
understanding about staying out of each other's markets. The paper distinguishes among different types of trade costs: ad valorem …, unit, fixed. It is shown that for a sufficient reduction of ad valorem trade costs, a cartel supported by collusion on … unit (fixed) trade costs a price setting cartel is strengthened (unaffected), while a quantity setting one is weakened. …
Persistent link: https://www.econbiz.de/10005068976
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China's Growth and Integration into the World Economy; Prospects and Challenges
Prasad, Eswar - International Monetary Fund (IMF) - 2004
China’s transformation into a dynamic private-sector-led economy and its integration into the world economy have been among the most dramatic global economic developments of recent decades. This paper provides an overview of some of the key aspects of recent developments in China’s...
Persistent link: https://www.econbiz.de/10005252521
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China's Changing Trade Elasticities
Aziz, Jahangir; Li, Xiangming - International Monetary Fund (IMF) - 2007
China's sectoral trade composition, product quality mix, and import content of processing exports have all changed … substantially during the past decade. This has rendered trade elasticities estimated using aggregate data highly unstable, with more …
Persistent link: https://www.econbiz.de/10005263876
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Euro Area Policies; Selected Issues
International Monetary Fund (IMF); International … - 2003
examines exchange-rate pass-through and external adjustment in the euro area. The impact on third-country trade and investment …
Persistent link: https://www.econbiz.de/10005824959