Dans cet article, nous testons la presence de contagion durant la crise financiere asiatique. A cet effet, nous proposons une nouvelle procedure qui consiste a tester la non-linearite des mecanismes de propagation des chocs estimes a travers un modele d’interdependance de long terme. Nous...

This paper summarizes key lessons learned from using models from microstructure finance to explain and forecast exchange rates. The first section is an executive summary, which outlines seven lessons that pertain to how different transaction-flow measures (e.g., interbank flows versus end-user...

This paper examines different aspects of transparency in the foreign exchange policy. More precisely, it analyses how transparency evolved over the last decades in Japan and how market participants reacted to the changes in transparency. For this, we create a dataset capturing the main features...

Cet article est consacre aux principales lecons qui peuvent etre tirees de l'experience des annees quatre-vingt-dix et de la litterature theorique et empirique consacree au declenchement des crises de change. En reponse aux insuffisances des modeles de premiere et de deuxieme generation...

Cet article etudie le coefficient de regression de l’indice de risque d’un pays sur le risque moyen des pays emergents (? risque-pays), en le supposant fixe puis variable, a l’aide d’un modele a composante inobservable. Nous nous interessons essentiellement aux pays d’Amérique latine....

This paper conducts an empirical analysis of the relationship between oil prices and exchange rates in South Africa. We model the volatility and jumps in exchange rate returns by using the GARCH autoregressive conditional jump intensity model of Chan and Maheu which models the effects of extreme...

The “impossible trinity” refers to the impossibility of the simultaneous presence of a fixed exchange rate regime, uncovered interest parity and the Central Bank?s control over the money supply. I apply this to Krugman?s (1979) balance of payments crisis model, where he argued that there is...

This paper studies the impact of a broadening of the SDR basket to the Chinese currency on the composition and volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much more significant impact can be expected in the next...

Les annees quatre-vingt et quatre-vingt-dix sont marquees par un processus d’ouverture financiere internationale qui a d’abord touche les pays developpes avant d’atteindre les economies dites emergentes. Considerant les gains d’efficience lies a cette integration financiere, le Fonds...

En depit de pressions constantes, l’autorite monetaire de Hong Kong a neglige, a plusieurs reprises, les predictions de devaluation imminente a l’apogee de la crise financiere asiatique en 1997. Cette attitude peut etre mise en relation avec l’histoire monetaire de Hong Kong et sa position...