This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

This paper examines jointly the empirical relevance of the mean-reversion and the PPP hypotheses in the exchange rate dynamics under the EMS. Given the non-stationarity and the non-linearities characterizing the foreign exchange rate dynamics, this question is studied using a MS-ECM model: it...

L’étude analyse les principaux déterminants du taux de change réel et modélise les effets de la politique de change du Cameroun sur ses équilibres externe et interne. Après une brève revue de la littérature sur les travaux sur les taux de change réel. Les techniques d’analyse de la...

The alleged undervaluation of the renminbi has been the subject of intensive academic research over the past few years. Using equilibrium exchange rate models many authors have concluded that the renminbi is undervalued by 15 to 30% against the US dollar. Yet China has been experiencing strong...

The future emergence of a European monetary zone is set to transform the configuration of the international monetary system and the roles of the dollar, the Euro and the yen within this system. This book addresses this issue with discussion of: * exchange rate policies pursued in the principal...

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

The main purpose of this paper is to demonstrate the effect of debt overhang on real equilibrium exchange rate. Using a panel of twenty Sub-Saharan African countries, we find a non linear effect of external public debt on real exchange rate. External public debt negatively affects the real...

The main objective of this paper is to study the relationship between external public debt and equilibrium real exchange rate in developing countries. Using a extension of Obstfeld & Rogoff (1995) model we show that debt overhang tend to appreciate real exchange rate in the long run (Krugman...

This article looks inside the black box of order flows to understand why order flows models of exchange rate are more competitive than traditional models of exchange rate. We set a theoretical model that relies on a behavioural exchange rate model and a microstructure model. The model puts...