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To what extent do exchange rates and their volatility affect trade ?

Huchet-Bourdon, Maryline; Korinek, J. - HAL - 2011

Trade deficits and surpluses are sometimes attributed to intentionally low or high exchange rate levels. The impact of … exchange rate levels on trade has been much debated but the large body of existing empirical literature does not suggest an … unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also …

Persistent link: https://www.econbiz.de/10010899210

The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries

Arratibel, Olga; Furceri, Davide; Martin, Reiner; … - HAL - 2011

real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and … rate volatility is associated with higher growth, higher stocks of FDI, higher current account deficits, and higher excess …

Persistent link: https://www.econbiz.de/10008792016

FDI and trade: A Granger causality analysis in a heterogeneous panel

Chiappini, Raphaël - HAL - 2011

This paper will investigate the Granger causality between outward Foreign Direct Investment (FDI) and the exports of … panel, we find that the causal relationship from FDI to exports is homogeneous among the panel. However, we find strong … evidence of a heterogeneity of the causal relationship from exports to FDI in our sample. …

Persistent link: https://www.econbiz.de/10010820945

On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates

Truchis, Gilles De; Keddad, Benjamin - HAL - 2014

This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility processes to investigate whether they are tied through a common...

Persistent link: https://www.econbiz.de/10010933834

Inflation Targeting, Exchange Rate and Financial Globalization

Tahir, Muhammad Naveed - HAL - 2011

In this paper we investigate the impact of financial globalization on the behaviour of inflation targeting emerging market economies with respect to exchange rate - do central banks respond to exchange rate movements or not. We use quarterly data for six emerging market inflation targeting...

Persistent link: https://www.econbiz.de/10009372685

Exchange Rate Undervaluation and Manufactured Exports: A Deliberate Strategy?

Nouira, Ridha; Plane, Patrick; Sekkat, K. - HAL - 2011

Recent literature suggests that a proactive exchange rate policy in accordance with price incentives (i.e. undervaluation) can foster manufactured exports and growth. This paper is built on these recent developments and investigates, using a sample of 52 developing countries, whether such a...

Persistent link: https://www.econbiz.de/10009278330

Monetary information arrivals and intraday exchange rate volatility : a comparison of the GARCH and the EGARCH models

Mokhtar, Darmoul; Harrathi, Nizar - HAL - 2007

In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1),...

Persistent link: https://www.econbiz.de/10010750845

Is it possible to discriminate between different switching regressions models? An empirical investigation

Charfeddine, Lanouar; Guegan, Dominique - HAL - 2008

In this paper we study, using the sup LR test, the possibility of discrimination between two classes of models: the Markov switching models of Hamilton (1989) and the Threshold Auto-Regressive Models (TAR) of Lim and Tong (1980). This work is motivated by the fact that generally practicians use,...

Persistent link: https://www.econbiz.de/10010738508

Testing unit roots and long range dependence of foreign exchange

Guegan, Dominique; Lu, Zhiping - HAL - 2010

Foreign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory...

Persistent link: https://www.econbiz.de/10010603665

Exchange Rate Undervaluation to Foster Manufactured Exports: A Deliberate Strategy?

Plane, Patrick; Nouira, Ridha; Sekkat, K. - HAL - 2011

Recent literature suggests that a proactive strategy consisting of deliberate real exchange rate depreciation can promote exports diversification and growth. This paper is built on these recent developments and investigates whether four developing countries have adopted such a strategy. Data...

Persistent link: https://www.econbiz.de/10008793610