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Zone-quadratic preference, asymmetry and international reserve accretion in India: An empirical investigation

Srinivasan, Naveen; Kumar, Sudhanshu - In: Journal of International Financial Markets, … 22 (2012) 2, pp. 253-263

Empirical estimates of the Reserve Bank of India's (RBI) intervention reaction function suggest that the central bank actively intervenes in the foreign exchange market to contain volatility but this intervention is neither continuous nor linear. It is better described by a nonlinear policy...

Persistent link: https://www.econbiz.de/10010572116

Determinants of the real exchange rate in a small open economy: Evidence from Canada

Kia, Amir - In: Journal of International Financial Markets, … 23 (2013) C, pp. 163-178

This study develops a theoretical monetary model of the real exchange rate and shows that over the long run the real exchange rate is a function of real money supply, domestic and foreign interest rate, real GDP, real government expenditure, deficit per GDP, domestic and foreign outstanding debt...

Persistent link: https://www.econbiz.de/10010603079

Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand

Vithessonthi, Chaiporn - In: Journal of International Financial Markets, … 29 (2014) C, pp. 170-194

Using a sample of monetary policy announcements in Thailand over the period 2003–2011, I show that a monetary policy surprise tends to affect the return and volatility of the Thai baht. In the full sample, a 1% unexpected increase in the policy rate leads to an about 1.8% depreciation of the...

Persistent link: https://www.econbiz.de/10010743657

Factor reversal in the euro zone stock returns: Evidence from the crisis period

Chou, Hsin-I; Zhao, Jing; Suardi, Sandy - In: Journal of International Financial Markets, … 33 (2014) C, pp. 28-55

The adoption of the euro led to a shift in importance from country to industry effects in euro zone stock returns. For the first time, this paper shows that country effects have regained importance in the recent spate of crises. This euro-wide factor reversal is driven by countries with poor...

Persistent link: https://www.econbiz.de/10011189469

Bank earnings forecasts, risk and the crisis

Anolli, Mario; Beccalli, Elena; Molyneux, Philip - In: Journal of International Financial Markets, … 29 (2014) C, pp. 309-335

This paper explores the ability of financial analysts to gauge the risk taken by banks and investigates the impact of … forecasting abilities are negatively influenced by bank-specific risks, except market risk. We also find that forecasting … crisis all risk indicators significantly reduce forecasting abilities of both types of analysts (optimistic and pessimistic …

Persistent link: https://www.econbiz.de/10010743655