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Volatility Comovement : A Multifrequency Approach
Calvet, Laurent E. - 2004
We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar …) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood …
Persistent link: https://www.econbiz.de/10012467993
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Commodity prices and markets : [NBER East Asia Seminar on Economics, volume 20 ; collection of papers that were presented at the 20th Annual East Asia Seminar on Economics (EASE) ;...
Itō, Takatoshi (contributor); Rose, Andrew (contributor) - 2011
relationship between trade and exchange rate volatility / Christian Broda and John Romalis -- Comments: Chaiyasit Anuchitworawong …
Persistent link: https://www.econbiz.de/10008909722
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What Causes Fluctuations in the Terms of Trade?
Baxter, Marianne - 2000
This paper investigates the sources of terms of trade volatility, specifically addressing the relative importance of …
Persistent link: https://www.econbiz.de/10012471314
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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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Does Inflation Targeting Increase Output Volatility? An International Comparison of Policymakers' Preferences and Outcomes
Cecchetti, Stephen G. - 1999
suffered most increases in output volatility as a result …
Persistent link: https://www.econbiz.de/10012471355
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What Triggers Stock Market Jumps?
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - National Bureau of Economic Research - 2021
market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is … volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense …
Persistent link: https://www.econbiz.de/10012510565
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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2019
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012479665
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Determinants of Financial Stress and Recovery during the Great Recession
Aizenman, Joshua - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10012462052
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Unemployment and Productivity in the Long Run : The Role of Macroeconomic Volatility
Benigno, Pierpaolo - 2010
The paper presents a new empirical regularity between the volatility of productivity growth and long-run unemployment …
Persistent link: https://www.econbiz.de/10012462282
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The Risk Content of Exports : A Portfolio View of International Trade
Giovanni, Julian di - 2010
It has been suggested that countries which export in especially risky sectors will experience higher output volatility …. This measure is strongly correlated with terms-of-trade and output volatility, but does not exhibit a close relationship to …
Persistent link: https://www.econbiz.de/10012462648