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The impacts of the dollar-renminbi exchange rate misalignment on the China-United States commodity trade : an asymmetric analysis

Ferjani, Sabrine; Saafi, Sami; Nouira, Ridha; Rault, … - 2022

Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric effects. We use monthly time-series data over the...

Persistent link: https://www.econbiz.de/10013187157

Are entrepreneurs aware of covered interest parity and dollar shortage?

Nariman, Farhad; Heshmati, Almas - 2022

The purpose of this study is demonstrating why entrepreneurs should monitor the broad dollar index. This paper explains the reason why the broad dollar index has become a risk (leverage) gauge since 2008 using the Covered Interest Parity (CIP). CIP can be viewed as a reflection of the shadow...

Persistent link: https://www.econbiz.de/10013173246

Exchange rate volatility effects on the German labour market : a survey of recent results and extensions

Buscher, Herbert S.; Mueller, Claudia - 1999

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different volatility measures and four country groups. In...

Persistent link: https://www.econbiz.de/10011294706

The pass-through of exchange rate in the context of the European sovereign debt crisis

Ben Cheikh, Nidhaleddine; Rault, Christophe - 2015

This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...

Persistent link: https://www.econbiz.de/10011376318

The yen exchange rate and the hollowing out of the Japanese industry

Belke, Ansgar; Volz, Ulrich - 2019

Since the demise of the Bretton Woods system, the yen has seen several episodes of strong appreciation, including in the late 1970s, after the 1985 Plaza Agreement, the early and late 1990s and after 2008. These appreciations have not only been associated with "expensive yen recessions"...

Persistent link: https://www.econbiz.de/10012099480

Trade and worker deskilling

Costa, Rui; Dhingra, Swati; Machin, Stephen - 2019

This paper presents new evidence on international trade and worker outcomes. It examines a big world event that … occurred in any of the world's four major currencies since the collapse of Bretton Woods. Exploiting this variation, the paper … with respect to intermediate import prices to theory uncovers evidence of a production complementarity between workers and …

Persistent link: https://www.econbiz.de/10012022416

The role of the exchange rate regime in the process of real and nominal convergence

D'Adamo, Gaetano; Rovelli, Riccardo - 2013

During the last decade, economists have intensively searched for evidence on the importance of the Balassa-Samuelson (B-S) hypothesis in explaining nominal convergence. One general result is that B-S can at best explain only part of the excess inflation observed in the European catching-up...

Persistent link: https://www.econbiz.de/10010191206

Resolving puzzles of monetary policy transmission in emerging markets

Ha, Jongrim; Kim, Dohan; Kose, M. Ayhan; Prasad, Eswar S. - 2024

Conventional empirical models of monetary policy transmission in emerging market economies produce puzzling results: monetary tightening often leads to an increase in prices (the price puzzle) and depreciation of the currency (the FX puzzle). We show that incorporating forward-looking...

Persistent link: https://www.econbiz.de/10015084194

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10003586562