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Financial development, exchange rate fluctuations, and debt dollarization : a firm-level evidence
Kim, Minsuk - 2019
This paper examines how financial development influences the debt dollarization of nonfinancial firms in a sample of emerging market economies (EMEs). The macroeconomic channels are identified from an optimal portfolio allocation model and assessed empirically using the accounting information of...
Persistent link: https://www.econbiz.de/10012102196
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Exchange rate volatility and pass-through to inflation in South Africa
Miyajima, Ken - 2019
Does the South African rand's relatively large volatility affect inflation? To shed some light on this question, a standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility. Estimated results suggest that higher exchange rate...
Persistent link: https://www.econbiz.de/10012155038
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Exchange Rate Volatility, Pricing to Market and Trade Smoothing
Faruqee, Hamid - 1997
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities in the presence of market segmentation and pricing to market. Firms stabilize destination prices through systematic price discrimination, limiting the degree of exchange rate...
Persistent link: https://www.econbiz.de/10014400392
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Deviations of Exchange Rates From Purchasing Power Parity : A Story Featuring Two Monetary Unions
MacDonald, Ronald - 1998
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10014400558
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Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals
Giorgianni, Lorenzo - 1999
This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset...
Persistent link: https://www.econbiz.de/10014400941
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The Volatility of the Relative Price of Commodities in Terms of Manufactures Across Exchange Regimes : A Theoretical Model
Liang, Hong - 1998
This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative commodity prices. The analysis shows that the relationship depends upon both the market structure and the economic agent’s perception about future exchange rate movements. When the...
Persistent link: https://www.econbiz.de/10014401290
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Consumption Smoothing and Exchange Rate Volatility
Turtelboom, Bart - 1995
This paper analyzes exchange rate behavior in a model where consumers trade goods to diversify shocks to their income. A model with traded and nontraded goods is simulated in a multilateral context based upon historical output correlations for the period 1970–92. Simulation results indicate...
Persistent link: https://www.econbiz.de/10014397963
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China's Changing Trade Elasticities
Aziz, Jahangir - 2007
China''s sectoral trade composition, product quality mix, and import content of processing exports have all changed … very wide. All this suggests greater caution in using historical data to simulate the response of the China''s economy to … external shocks and exchange rate changes. Analyses based on models whose estimated coefficients largely reflect the China of …
Persistent link: https://www.econbiz.de/10014401157
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Soft power and exchange rate volatility
Cevik, Serhan; Harris, Richard D. F.; Yilmaz, Fatih - 2015
Standard models-based exclusively on macro-financial variables-have made little progress in explaining the behavior of exchange rates. In this paper, we introduce a neglected set of 'soft power' factors capturing a country's demographic, institutional, political and social underpinnings to...
Persistent link: https://www.econbiz.de/10011281975
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FX funding risks and exchange rate volatility : Korea’s case
Ree, Jack Joo K.; Yoon, Kyoungsoo; Park, Hail - 2012
This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after...
Persistent link: https://www.econbiz.de/10009679020