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An investigation on the effect of real exchange rate movements on OECD bilateral exports
Berthou, Antoine - 2008
countries. We test how trade costs dampen the effect of real exchange rate movements on bilateral exports, and show that the … results are highly consistent with the existence of an hysteresis effect of real exchange rate movements on trade, as …
Persistent link: https://www.econbiz.de/10011604966
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Euro's influence upon trade: Rose effect versus border effect
Cafiso, Gianluca - 2008
This paper assesses the Euro’s influence upon European trade by estimating two different indicators. The first is the … with its trade partners. This study of the Euro’s influence by means of the Border Effect is a novelty in the literature …, it reveals that the Euro’s influence upon trade is not so clear as papers focused only on the Rose Effect claim. This …
Persistent link: https://www.econbiz.de/10011604987
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Sectorial Border Effects in the European Single Market: an Explanation through Industrial Concentration
Cafiso, Gianluca - 2009
The purpose of this paper is to explain the relation between the Border Effect and industrial concentration. This is achieved by founding this relation on the Home Market Effect and testing the robustness of this foundation through an application to the European Single Market. A sectorial...
Persistent link: https://www.econbiz.de/10011605162
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The admission of accession countries to an enlarged monetary union: a tentative assessment
Ca' Zorzi, Michele; De Santis, Roberto A. - 2003
The enlargement of the European monetary union to include the accession countries (ACs) will not lead to higher average inflation in the enlarged euro area, but only to inflation redistribution across countries if continuity of the monetary policy framework is preserved. In the short term,...
Persistent link: https://www.econbiz.de/10011604262
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Cross-border diversification in bank asset portfolios
Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - 2005
Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...
Persistent link: https://www.econbiz.de/10011604475
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Welfare implications of joining a common currency
Ca' Zorzi, Michele; De Santis, Roberto A.; Zampolli, … - 2005
This paper examines the welfare implications of a country joining a currency union as opposed to operating in a flexible exchange rate regime. At the country level, the suboptimal response to domestic and foreign shocks and the inability of setting inflation at the desired level may be offset by...
Persistent link: https://www.econbiz.de/10011604491
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Cross-dynamics of volatility term structures implied by foreign exchange options
Krylova, Elizaveta; Nikkinen, Jussi; Vähämaa, Sami - 2005
This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...
Persistent link: https://www.econbiz.de/10011604576
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Is time ripe for a currency union in emerging East Asia? The role of monetary stabilisation
Sánchez, Marcelo - 2005
This paper assesses the prospects for monetary integration between Emerging East Asian (EEA) economies. Our empirical analysis is based on a simple analytical framework for currency unions of small open economies, with a focus on the conduct of monetary policy in the presence of different types...
Persistent link: https://www.econbiz.de/10011604613
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Implications of monetary union for catching-up member states
Sánchez, Marcelo - 2006
We examine the implications of monetary union for macroeconomic stabilisation in catching up participating countries. We allow member states’supply conditions to differ inside the union, especially with regard to sectoral characteristics. Sectoral productivity shocks on balance hamper the...
Persistent link: https://www.econbiz.de/10011604676
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Asset prices, exchange rates and the current account
Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - 2007
of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically … current account in the past, accounting for up to 32% of the movements of the US trade balance at a horizon of 20 quarters. By … effect on the US trade balance. Our findings suggest that sizeable exchange rate movements may not necessarily be a key …
Persistent link: https://www.econbiz.de/10011604836