Showing 1 - 10 of 2,109
for the period 1970–92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …
Persistent link: https://www.econbiz.de/10014397963
fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To …
Persistent link: https://www.econbiz.de/10014398636
standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility …Does the South African rand's relatively large volatility affect inflation? To shed some light on this question, a …. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited …
Persistent link: https://www.econbiz.de/10012155038
The aim of this paper is to evaluate the welfare gains from financial integration for developing and emerging market economies. To do so, we build a stochastic endogenous growth model for a small open economy that can (i) borrow from the rest of the world, (ii) invest in foreign assets, and...
Persistent link: https://www.econbiz.de/10014399779
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities …
Persistent link: https://www.econbiz.de/10014400392
This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative … for primary commodities, the volatility of relative commodity prices rises when exchange rate uncertainty increases. If …
Persistent link: https://www.econbiz.de/10014401290
This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … commodity-exporting countries. The introduction of hedging instruments such as futures and options enhances domestic welfare … through two channels. First, by reducing export income volatility and allowing for a smoother consumption path. Second, by …
Persistent link: https://www.econbiz.de/10014402269
Persistent link: https://www.econbiz.de/10009422676
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...
Persistent link: https://www.econbiz.de/10012667510