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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

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

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

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

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

On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity

Liew, Venus Khim-Sen; Baharumshah, Ahmad Zubaidi; Lim, … - EconWPA - 2003

This study re-examines the validity of relationship between Singapore Dollar-US Dollar exchange rate and the relative price using the latest econometric methodologies that accounts for non-linearity. Among others, this study finds Exponential Smooth Transition Autoregressive (ESTAR)- type...

Persistent link: https://www.econbiz.de/10005408165

Exchange RAte Dynamics with Financial Repression: A Test of Exchange Rate Models for India

Kohli, Renu; Kletzer, Kenneth - EconWPA - 2004

This paper examines the relevance of the monetary approach for exchange rate behaviour in India, unde rthe managed float regime. It finds supprot for purchaisng power parity in traded goods and that the monetary approach provdies a reasonable description of exchange rate behaviour in the period...

Persistent link: https://www.econbiz.de/10005408178

International Financial Adjustment

Gourinchas, Pierre-Olivier; Rey, Hélène - EconWPA - 2005

stabilizing valuation effects contribute as much as 31% of the external adjustment. Our theory also has asset pricing implications …

Persistent link: https://www.econbiz.de/10005408183

The Revived Bretton Woods System seen from the Benches - Lessons for Europe from a Three-Asset-Portfolio Model

Dullien, Sebastian - EconWPA - 2005

The paper develops a three-asset-portfolio model to analyse consequences of foreign exchange market operations by Asian central banks on the exchange rates between euro, dollar and yen. Both an analytical as well as a graphical solution is presented. It is found that -- contrary to public belief...

Persistent link: https://www.econbiz.de/10005408184

Fear of Floating: An optimal discretionary monetary policy analysis

Bokil, Madhavi - EconWPA - 2005

-traded sector firms are entirely denominated in the domestic currency. Domestic exchange rate volatility adversely affects the … balance sheets of the traded sector firms, while interest rate volatility creates problems for the firms in the non … traded goods sector also displays greater aversion for exchange rate volatility. …

Persistent link: https://www.econbiz.de/10005408203