Showing 1 - 10 of 5,811
Stylized empirical facts about the correlation between the volume of international trade and exchange rate variability/uncertainty are at odds with the predictions of the simple open economy model. The present paper argues that this puzzle may be explained by drawing on the recent theoretical...
Persistent link: https://www.econbiz.de/10011615388
This paper examines the regime changes in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS), applying the duration model approach to weekly data of eight currencies participating in the ERM, covering the complete EMS history. When using the non-parametric (univariate)...
Persistent link: https://www.econbiz.de/10008493823
This paper provides empirical evidence on the determinants of exchange rate credibility under the European Monetary System (EMS). To that end, we have considered both economic variables and political factors using data of eight currencies participating in the Exchange Rate Mechanism, covering...
Persistent link: https://www.econbiz.de/10008493836
This paper characterizes exchange market pressure as a nonlinear Markov-switching phenomenon, and examines its dynamics in response to money growth and inflation over three regimes. The empirical results identify episodes of exchange market pressure in the Kyrgyz Republic and confirm the...
Persistent link: https://www.econbiz.de/10005605010
This paper analyses the functioning of the European Exchange Rate Mechanism (ERM). To that end, we apply duration models to estimate an augmented target-zone model, explicitly incorporating political and institutional factors into the explanation of European exchange rate policies. The...
Persistent link: https://www.econbiz.de/10005650019
expectations. We provide ample anecdotal, historical, and heuristic information on the goodness-of-fit of the various exchange rate …
Persistent link: https://www.econbiz.de/10010325398
In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re …-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: empirical evidence on exchange rates, Economics … expectations, although the so-called 0-1 test strongly supports the chaos hypothesis. …
Persistent link: https://www.econbiz.de/10011822180
In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re …-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: Empirical evidence on exchange rates, Economics … expectations, although the so-called 0-1 test strongly supports the chaos hypothesis. …
Persistent link: https://www.econbiz.de/10011863688
Sluggish adjustment of expectations to new information is rational in an environment characterized by information costs … expectations using data from Consensus Economics for eight emerging and industrial economies from 1999 until 2015. Our results …
Persistent link: https://www.econbiz.de/10011892133
This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building … mechanism in foreign exchange markets. Therefore, we analyze the role of expectations regarding macroeconomic fundamentals for … expected exchange rate changes. In doing so, we assess data for 31 economies from 2002 to 2017 and consider expectations …
Persistent link: https://www.econbiz.de/10012287905