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

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

unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …

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

Continuous time regime switching model applied to foreign exchange rate.

Goutte, Stéphane; Zou, Benteng - HAL - 2012

Modified Cox-Ingersoll-Ross model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...

Persistent link: https://www.econbiz.de/10009422114

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 … to explore whether the volatility of the markets are linked in the short run. The cointegration results conclude in favor …

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 …. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process. …

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

Child Mortality Reacts to Relative Prices

Grigoriou, Christopher; Guillaumont, Patrick - HAL - 2011

This paper argues that, for a given average level of income per capita, the real currency depreciation has a negative impact on child survival, due to higher relative prices of tradable goods such as food and drug. This assumption is significantly tested from a dynamic panel model covering about...

Persistent link: https://www.econbiz.de/10008805925