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A New Approach to Measuring Financial Contagion
Bae, Kee-Hong - 2000
regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger …
Persistent link: https://www.econbiz.de/10012470824
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Contagion : How to Measure It?
Rigobon, Roberto - 2001
The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...
Persistent link: https://www.econbiz.de/10012470611
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The Federal Reserve, Emerging Markets, and Capital Controls : A High Frequency Empirical Investigation
Edwards, Sebastian - 2012
In this paper I use weekly data from seven emerging nations - four in Latin America and three in Asia - to investigate the extent to which changes in Fed policy interest rates have been transmitted into domestic short term interest rates during the 2000s. The results suggest that there is indeed...
Persistent link: https://www.econbiz.de/10012460103
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What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility
Reinhart, Carmen M. - 2001
With many emerging market currencies tied to the U.S. dollar either implicitly or explicitly, movements in the exchange values of the currencies of major countries have the potential to influence the competitive position of many developing countries. According to some analysts, establishing...
Persistent link: https://www.econbiz.de/10012470183
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Staying Afloat When the Wind Shifts : External Factors and Emerging-Market Banking Crises
Eichengreen, Barry - 1998
We analyze banking crises using a panel of macroeconomic and financial data for more than one hundred developing countries from 1975 through 1992. We find that banking crises in emerging markets are strongly associated with adverse external conditions. In particular Northern interest rates are...
Persistent link: https://www.econbiz.de/10012472448
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Interest Rates, Contagion and Capital Controls
Edwards, Sebastian - 2000
In this paper I analyze several issues related to contagion,' including its definition, recent experiences, alternative channels at work, and possible prevention mechanisms. The discussion deals with the macroeconomics implications of contagion, and concentrates on the relationship between the...
Persistent link: https://www.econbiz.de/10012470949
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Country Spreads and Emerging Countries : Who Drives Whom?
Uribe, Martin - 2003
to business conditions in emerging economies significantly exacerbates aggregate volatility in these countries. (7) The …
Persistent link: https://www.econbiz.de/10012468680
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Do Sticky Prices Increase Real Exchange Rate Volatility at the Sector Level?
Crucini, Mario J. - 2010
We introduce the real exchange rate volatility curve as a useful device to understand the role of price stickiness in … theory predicts that the real exchange rate volatility curve is a U-shaped function of the degree of price stickiness. Using … sector-level European real exchange rate data and frequency of price changes, we estimate the volatility curve. The results …
Persistent link: https://www.econbiz.de/10012462574
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Accounting for Persistence and Volatility of Good-Level Real Exchange Rates : The Role of Sticky Information
Crucini, Mario J. - 2008
explains both persistence and volatility of the good-level real exchange rates. Furthermore, our framework allows for multiple …
Persistent link: https://www.econbiz.de/10012464266
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Exchange Rate Volatility and International Prices
Feenstra, Robert C. - 1991
We examine how exchange rate volatility affects exporter's pricing decisions in the presence of optimal forward …. Our theory implies a connection between the estimated risk premium equation, and the influence of exchange rate volatility …
Persistent link: https://www.econbiz.de/10012475370