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Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe

Habib, Maurizio Michael - EconWPA - 2002

Republic, Hungary and Poland during the period August 1997 – May 2001. I find that neither exchange rates nor interest rates … affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

Persistent link: https://www.econbiz.de/10005125528

A Time-Series Analysis of the Shanghai and New York Stock Price Indices

Chow, Gregory C. - EconWPA - 2003

and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Most surprisingly the volatility …

Persistent link: https://www.econbiz.de/10005556546

Capital Flows and Domestic Financial Sector in India

Kohli, Renu - EconWPA - 2004

, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

Persistent link: https://www.econbiz.de/10005119480

Efficiency of the Foreign Exchange Market of Papua New Guinea During the Recent Float

Wickremasinghe, Guneratne Banda - EconWPA - 2004

This paper examines the validity of the efficient market hypothesis (EMH) for the foreign exchange market of Papua New Guinea (PNG) using data on spot exchange rates for four major foreign currencies during the recent float. The unit root test results indicate that all the four exchange rates...

Persistent link: https://www.econbiz.de/10005408043

EFFICIENCY OF FOREIGN EXCHANGE MARKETS: A DEVELOPING COUNTRY PERSPECTIVE

Wickremasinghe, Guneratne Banda - EconWPA - 2004

This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka using six bilateral foreign exchange rates during the recent float. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using co- integration and...

Persistent link: https://www.econbiz.de/10005556627

Quality of Government Services and the Civic Duty to Pay Taxes in the Czech and Slovak Republics, and other Transition Countries

Hanousek, Jan; Palda, Filip - EconWPA - 2002

A 2002 survey of 1089 Czechs and 501 Slovaks, as well as a more limited survey of Hungary, and Poland, indicates that …

Persistent link: https://www.econbiz.de/10005408409

Financial Crises and the Presence of Foreign Banks

Tschoegl, Adrian E. - EconWPA - 2004

The paper distinguishes between the classic or traditional foreign banks with their emphasis on corporate and wholesale banking, and the innovators responding to transition, deregulation or crisis in emerging markets. The innovators come in three varieties—bettors, prospectors and...

Persistent link: https://www.econbiz.de/10005556647

Extreme Moves in Foreign Exchange Rates and Risk Limit Setting

Dacorogna, Michel; Blum, Peter - EconWPA - 2003

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...

Persistent link: https://www.econbiz.de/10005126103

Short-Run Price Movements in Ecuador

Jr, Thomas M Fullerton - EconWPA - 2004

A theoretical model of inflationary dynamics in Ecuador is specified for the pre-dollarization period when the sucre was still the official currency. Parameter estimation is carried out using a battery of time series techniques. Monthly data from January 1964 to December 1994 are used in the...

Persistent link: https://www.econbiz.de/10005126131

Using the Scaling Analysis to Characterize Financial Markets

Matteo, T. Di; Aste, T.; Dacorogna, Michel M. - EconWPA - 2004

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That …

Persistent link: https://www.econbiz.de/10005134766