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Surfing the Waves of Globalization : Asia and Financial Globalization in the Context of the Trilemma
Aizenman, Joshua - 2010
choices matter for output volatility and the medium-term level of inflation. Greater monetary independence is associated with … lower output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated if a … inflation rate. We find that trilemma policy configurations and external finances affect output volatility through the …
Persistent link: https://www.econbiz.de/10012462774
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Exchange Rate Volatility and the Credit Channel in Emerging Markets : A Vertical Perspective
Caballero, Ricardo - 2004
Firms in emerging markets are exposed to severe financial frictions and credit constraints, that are exacerbated by the sudden stop of capital inflows. Can monetary policy offset this external credit squeeze? We show that although this may be the case during moderate contractions (or in partial...
Persistent link: https://www.econbiz.de/10012468176
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What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility
Reinhart, Carmen M. - 2001
With many emerging market currencies tied to the U.S. dollar either implicitly or explicitly, movements in the exchange values of the currencies of major countries have the potential to influence the competitive position of many developing countries. According to some analysts, establishing...
Persistent link: https://www.econbiz.de/10012470183
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Exchange Rate Fluctuations and Firm Leverage
Kalemli-Ozcan, Sebnem; Shim, Ilhyock; Liu, Xiaoxi - National Bureau of Economic Research - 2021
We quantify the effect of exchange rate fluctuations on firm leverage. When home currency appreciates, firms who hold foreign currency debt and local currency assets observe higher net worth as appreciation lowers the value of their foreign currency debt. These firms can borrow more as a result...
Persistent link: https://www.econbiz.de/10012496162
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Currency Crashes in Emerging Markets : Empirical Indicators
Frankel, Jeffrey A. - 1996
We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine...
Persistent link: https://www.econbiz.de/10012473427
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One Money, One Market : Estimating the Effect of Common Currencies on Trade
Rose, Andrew K. - 1999
A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …
Persistent link: https://www.econbiz.de/10012471350
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Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market
Flood, Robert P. - 1981
. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely … neglected reason for exchange-rate volatility, activist monetary policy, will be studied …
Persistent link: https://www.econbiz.de/10012478498
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Exchange Rate Volatility and Productivity Growth : The Role of Financial Development
Aghion, Philippe - 2006
This paper offers empirical evidence that real exchange rate volatility can have a significant impact on long-term rate … with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also offer a simple monetary growth model in which real exchange rate uncertainty …
Persistent link: https://www.econbiz.de/10012466492
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Fixed versus Flexible : Lessons from EMS Order Flow
Killeen, William P. - 2001
This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …
Persistent link: https://www.econbiz.de/10012470227
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Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Brandt, Michael W. - 2001
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...
Persistent link: https://www.econbiz.de/10012470313