Showing 1 - 10 of 235
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Persistent link: https://www.econbiz.de/10009401332
The purpose of this paper is to provide a new set of tools for policy makers at central banks. Based on the Garman-Kohlhagen formula for currency options, this research extends it with the Taylor-rule expression used for inflation targeting, thus obtaining the corresponding Call and Put options...
Persistent link: https://www.econbiz.de/10011107280
This paper provides an empirical study of the asymmetrical spillovers of the euro-US dollar exchange rate on inflation in the euro zone. We divide the euro zone members in two groups of countries: "core" (closely related to Germany) and "periphery", testing if the euro-US dollar exchange rate is...
Persistent link: https://www.econbiz.de/10011108149
This paper investigates the most appropriate model for generating scenarios for daily foreign exchange rates for a long history of a large number of daily exchange rates and finds: returns are not normal; a mean reversion model is rarely appropriate; sampling from historical returns (natural log...
Persistent link: https://www.econbiz.de/10011108423
This paper empirical investigates the effects of 2008 financial crisis on exchange rate determination in PPP-UIP framework for four emerging countries, using monthly date over the period 1981-2012. The results suggest that the impact of recent financial crisis led to change the role of...
Persistent link: https://www.econbiz.de/10011108761
This study uses new measures of real exchange rates to investigate the decline of American manufacturing employment in the early 2000s, comparing it to the smaller decline in the 1980s. I find that US manufacturing sectors with greater initial exposure to trade in the 1970s were...
Persistent link: https://www.econbiz.de/10011109329
In the article two methods of estimating fractal dimension of financial time series are compared: variation method and method of area division. Both methods are used to estimate fractal dimension of chosen exchange rates time series.
Persistent link: https://www.econbiz.de/10011109345
Negative macroeconomic performance issues represent one of the key effects of crisis period. Due to many economic crisis related side effects countries became more vulnerable to various types of endogenous and exogenous shocks. Exchange rates of the European transition economies became much more...
Persistent link: https://www.econbiz.de/10011110095
In light of the unprecedented developments in the financial sectors of developed economies in the years 2008-2009 and in view of the current political Arab upheaval, this paper reviews the pros and cons of financial integration of the South-Mediterranean region. Our analyses includes Morocco,...
Persistent link: https://www.econbiz.de/10011257867
Using disaggregated quarterly trade data for Switzerland over 2004-2011, we study exchange rate pass through (ERPT) into imported intermediate input prices and its role in the price setting behaviour of exporters. We explicitly include disaggregated proxies for imported input prices in our...
Persistent link: https://www.econbiz.de/10011257878