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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
affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility … exchange rate regime, thereby re-establishing some credibility of the theory. …
Persistent link: https://www.econbiz.de/10005125528
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Financial Integration and International Portfolio
Hedi, AROURI Mohamed El - EconWPA - 2003
In this article, we extend the conditional ICAPM of De Santis and Gérard (1997,1998) using an asymmetric multivariate GARCH specification. The model is estimated, for the period March 1973-March 2003, simultaneously for 8 markets: the world market, 4 developed markets and 3 emerging markets....
Persistent link: https://www.econbiz.de/10005408146
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Return-volatility linkages in the international equity and currency markets
Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004
provides a parsimonious way of testing mean- volatility relationships in currency and equity markets and re-examining the …
Persistent link: https://www.econbiz.de/10005413091
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SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS
NWAOBI, GODWIN - EconWPA - 2005
The need to develop securities market has, following the recent international financial crises, increasingly attracted …
Persistent link: https://www.econbiz.de/10005561601
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Exchange Rate Risk and Convergence to the Euro
Orlowski, Lucjan T - EconWPA - 2005
volatility to differentials over the euro zone in both inflation (target variable) and interest rate (instrument variable) is …
Persistent link: https://www.econbiz.de/10005412757
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Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Rossi, Barbara - EconWPA - 2005
Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...
Persistent link: https://www.econbiz.de/10005062396
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The interplay of export supply and the real exchange rate. Evidence for Mercosur exports to the EU.
Felicitas Nowak-Lehmann D.; Zarzoso, Inmaculada Martínez- - EconWPA - 2003
This paper applies a dynamic macroeconomic trade model to assess Mercosur-European Union trade. Looking at export supply of Mercosur countries (the four formal members plus Chile), the role of the real exchange rate, income and the income-absorption surplus or deficit are evaluated. Special...
Persistent link: https://www.econbiz.de/10005062646
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Disparities of Exchange Rates in CEE Countries
Kocenda, Evzen - EconWPA - 2001
This paper analyzes disparities among nominal and real exchange rate movements across the Central and Eastern European (CEE) countries from 1991 to 1996. The method of analyzing such processes is to examine whether the differentials of exchange rate changes converge or diverge over time....
Persistent link: https://www.econbiz.de/10005062689
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Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach
Chen, Shiu-Sheng - EconWPA - 2003
and Rose (2002). Mixing the macroeconomic theory of exchange rate determination and the noise trading approach to asset … price volatility, we present a model with multiple equilibria, which thereafter implies a possible switching between the … regimes of high and low volatility of the exchange rates. The theoretical model motivates us to adopt a Markov …
Persistent link: https://www.econbiz.de/10005062695
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La Política Monetaria y el Corto en México
Díaz-Bautista, Alejandro; Seyffert, Diego Prieto; … - EconWPA - 2004
El corto es un instrumento de política monetaria que utiliza el Banco de México para abatir la inflación. El corto ha sido un instrumento muy útil para Banco de México en la conducción de la política monetaria, porque ha permitido que los choques a los mercados se distribuyan y se...
Persistent link: https://www.econbiz.de/10005076789