Showing 1 - 10 of 76
The euro zone crisis illustrates the insufficiency of adjustment mechanisms in a monetary union characterized by a large heterogeneity. Exchange rate adjustments being impossible, they are very few alternative mechanisms. This situation reflects a simple diagnosis. At the level of the whole euro...
Persistent link: https://www.econbiz.de/10010820762
The literature on exchange rate misalignments is very extensive as well as the literature on exchange rate determinants. To our knowledge, however, no study has analyzed the determinants of exchange rate misalignments. As huge capital inflows have been pouring into emerging countries since the...
Persistent link: https://www.econbiz.de/10010738841
The literature on exchange rate misalignments is very extensive as well as the literature on exchange rate determinants. To our knowledge, however, no study has analyzed the determinants of exchange rate misalignments. As huge capital inflows have been pouring into emerging countries since the...
Persistent link: https://www.econbiz.de/10010775953
The literature on exchange rate misalignments (ERM) is very extensive as well as the literature on exchange rate determinants. To our knowledge, however, no study has analyzed the determinants of exchange rate misalignments. With the increasing movements of capital flows observed since the...
Persistent link: https://www.econbiz.de/10010662752
This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We...
Persistent link: https://www.econbiz.de/10010933920
This paper studies the impact of global financial turmoil on the exchange rate policies in emerging countries. Many emerging countries have loosened the link of their currencies to the US dollar since the bursting of the subprime crisis in July 2007. Spillovers from advanced financial markets to...
Persistent link: https://www.econbiz.de/10011026166
In ESTAR models it is usually quite difficult to obtain parameter estimates, as it is discussed in the literature. The problem of properly distinguishing the transition function in relation to extreme parameter combinations often leads to getting strongly biased estimators. This paper proposes a...
Persistent link: https://www.econbiz.de/10010635009
The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and …
Persistent link: https://www.econbiz.de/10008794103
The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and …
Persistent link: https://www.econbiz.de/10008794371
Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets - Brent, West Texas Intermediate (WTI) and...
Persistent link: https://www.econbiz.de/10010820468