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Foreign Exchange exposure, corporate financial policies and the exchange rate regime: Evidence from Brazil

Junior, Jose Luiz Rossi - Econometric Society - 2004

/or reducing their hedging activities. According to this hypothesis, floating regimes would help to reduce countriesâ … that the currency was allowed to float freely, currency derivatives were available in both periods and companies kept … hedging activities are able to mitigate the negative exposure that comes from the impact of the fluctuations of the exchange …

Persistent link: https://www.econbiz.de/10005699641

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

Wincoop, Eric van; Bacchetta, Philippe - Econometric Society - 2004

Empirical evidence shows that macroeconomic fundamentals have little explana-tory power for nominal exchange rates. On the other hand, the recent “microstruc-ture approach to exchange rates” has shown that most exchange rate volatility at short to medium horizons is related to order flows....

Persistent link: https://www.econbiz.de/10005328945

A New Micro Model of Exchange Rate Dynamics

Lyons, Rich; Evans, Martin - Econometric Society - 2004

We present a new class of general equilibrium model to study exchange rate dynamics. Our model synthesizes the new micro and macro approaches by incorporating the micro foundations of asset market trading into a dynamic, two country general equilibrium setting. We use the model to study how...

Persistent link: https://www.econbiz.de/10005328961

Asset Prices and Exchange Rates

Rigobon, Roberto; Pavlova, Anna - Econometric Society - 2004

This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and bond prices are jointly determined. The model predicts that stock market prices are correlated internationally even though their dividend processes are independent, providing a theoretical...

Persistent link: https://www.econbiz.de/10005329015

Exchange rates, equity returns and capital flows

Rey, Helene; Hau, Harald - Econometric Society - 2004

incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important …

Persistent link: https://www.econbiz.de/10005329018

Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka

Wickremasinghe, Guneratne B - Econometric Society - 2004

The purchasing power parity (PPP) hypothesis has attracted a lot of attention from academics and policy-makers particularly, during the recent float. Most previous studies used data from the developed world. This study examines the validity of the PPP hypothesis using data during the recent...

Persistent link: https://www.econbiz.de/10005342149

Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China

Guangzhong, Li; Voon, Jan P - Econometric Society - 2004

Previous analytical models focused on the effects of the real exchange rate (RER) and the RER volatility on Chinese aggregate exports. An important and related variable, the RER misalignment, has been hitherto omitted from the analysis. Yet this has been an issue of paramount importance facing...

Persistent link: https://www.econbiz.de/10005342171

Contagion of Currency Crises across Unrelated Countries without Common Lender

Taketa, Kenshi - Econometric Society - 2004

I construct a micro-model to show that a currency crisis can spread from one country to another even when these countries are unrelated in terms of economic fundamentals and there is no capital linkage across countries through a common lender or an interbank market. The key to explaining...

Persistent link: https://www.econbiz.de/10005342330

The Impact of the Japanese Banking Crisis on the Intraday FX Market

Hashimoto, Yuko - Econometric Society - 2004

Using the tick-by-tick yen/dollar exchange rate, this paper examines the effect of Japanese banking crisis in late 1997 on the foreign exchange market. By high-frequency methodology, GARCH estimation and variance-ratio tests, the existence of a structural break in the foreign exchange market at...

Persistent link: https://www.econbiz.de/10005342336