This paper analyses the spatial diffusion of the speculative attacks during the fall of the Bretton Woods System. First, we study the spatial heterogeneity of the relationship between speculative pressures and their determinants via a locally linear framework. Here, relationships were assumed to...

It is often underlined that African oil producing countries are politically unstable as a result of this natural resource. Based on the data relating to the duration in office of 101 heads of States exercises of power of 26 African countries (North Africa and Sub-Saharan Africa), our study finds...

It is often underlined that African oil producing countries are politically unstable as a result of this natural resource. Based on the data relating to the duration in office of 101 heads of States exercises of power of 26 African countries (North Africa and Sub-Saharan Africa), our study finds...

During the financial crisis of 2008, the currencies of Latin America faced pressure to devalue— which evoked memories of the “contagious†crises of the 1990s. Yet even between crises, domestic macroeconomic factors can have an impact on a country's exchange market. This study...

In this paper we assess the predictive abilities of a Bayesian threshold vector autoregression (B-TVAR) to forecast the EUR/USD exchange rate. By introducing stochastic search variable selection priors (SSVS), we account for the inherent model uncertainty when it comes to modeling exchange...

In this paper, we assess the effect of exchange rate movement on macroeconomic performance by differentiating the source of exchange rate movement as either an expansionary monetary policy or a portfolio preference shock using quarterly data from Turkish economy for the period 1987:Q1 to...

This paper investigates the relationship between the value of the dollar and the prices of two commodities, gold and oil. Granger causality is used on monthly data from January of 1970 through July of 2008. The empirical results show that the hypothesis that there is no causal relation between...

This paper reports new evidence of a time-varying risk premium, and against the usual interpretation of irrationality, in survey data for three major currency markets. Using the cointegrated VAR to better focus on the issue of persistence, the deviations from Uncovered Interest Parity are found...

This work proposes the application of a stochastic volatility model with jumps to the BRL/USD exchange rate. This model decomposes the process into transitory and permanent components that capture the jumps in the level of the unobserved volatility process. The model estimation is done using...

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...