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Corporate financial policies and performance around currency crises

Bris, Arturo; Koskinen, Yrjö; Pons, Vicente - 2001

Using data from 17 countries that have suffered a currency crisis, this paper studies firm-level leverage and performance measures before and after a crisis has occurred. We show that in the years preceding a currency crisis, companies that are expected to benefit from currency depreciations...

Persistent link: https://www.econbiz.de/10010281399

Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10010877722

The Crisis in the Foreign Exchange Market

Melvin, Michael; Taylor, Mark P. - CESifo - 2009

been used to condition the exposure to the carry trade (long high interest rate currencies, short low interest rate …

Persistent link: https://www.econbiz.de/10005013075

The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate

Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - CESifo - 2011

This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...

Persistent link: https://www.econbiz.de/10009324091

The Relationship between Exchange Rates and International Trade: A Literature Review

Auboin, Marc; Ruta, Michele - CESifo - 2012

This paper surveys a wide body of economic literature on the relationship between currencies and trade. Specifically …, two main issues are investigated: the impact on international trade of exchange rate volatility and of currency … misalignments. On average, exchange rate volatility has a negative (even if not large) impact on trade flows. The extent of this …

Persistent link: https://www.econbiz.de/10010555693

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

Persistent link: https://www.econbiz.de/10010636593

Catching Up: The Role of Demand, Supply and Regulated Price Effects on the Real Exchange Rates of Four Accession Countries

MacDonald, Ronald; Wójcik, Cezary - CESifo - 2003

The main aim of this paper is to examine the exchange rate behavior of a group of four transitional, EU accession countries, with a view to making policy recommendations regarding their accession to full European Monetary Union. We employ a dynamic OLS panel estimator to investigate the relative...

Persistent link: https://www.econbiz.de/10005765672

Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data

Fidrmuc, Jarko; Horváth, Roman - CESifo - 2007

We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange...

Persistent link: https://www.econbiz.de/10005765724

Volume and Volatility in the FX-Market: Does it matter who you are?

Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon O. Aa. - CESifo - 2002

The relationship between volume and volatility has received much attention in the the literature of financial markets. However, due to the lack of data, few results have been presented for the foreign exchange market. Further, most studies contain only aggregate series, and can not distinguish...

Persistent link: https://www.econbiz.de/10005766027

Exchange Rate Uncertainty and Labour Market Adjustment under Fixed and Flexible Exchange Rates

Chen, Yu-Fu; Funke, Michael - CESifo - 2002

The standard literature on working time has modelled the decisions of firms in a deterministic framework in which firms can choose between employment and overtime (given mandated standard hours). Contrary to this approach, we follow the real options approach, which allows us to investigate the...

Persistent link: https://www.econbiz.de/10005766184