Fundamentals may determine the range of real exchange rate fluctuation, through signalsof misalignment, even if they are not a major influence on the level within that range.This can explain the puzzle that more open economies experience lower real exchangerate volatility...

This paper suggests a factor model for carry trade strategies wherethe regression coeffcients are allowed to depend on market volatility and liquid-ity. Empirical results on daily data from 1995 to 2008 show that a typical carrytrade strategy has much higher exposure to the stock market and also...

We consider a simple random walk process, a special case ofthe Martingale model, which exhibits a deterministic break in its drift term,for instance, from positive to negative. This particular example can be aplausible model for a time series on exchange rates which displays a persistentcurrency...

In currency crises, unlike in orderly devaluations, the financial markets dominateevents. It is shown that currency collapses (crises followed by depreciations) have hada much greater adverse impact in emerging markets (defined as relatively highincomedeveloping countries exposed to...

The standard model of currency crises is amended to distinguish betweenunemployment aversion and financial fragility. Fragility is assumed to affect theauthorities’ sensitivity to a combination of high real interest rates and unemployment.An increase in fragility expands the region of...

The existence of a self-regulating arbitrage mechanism under the gold standard has been tradi-tionally considered as one of its main advantages, and attracted a corresponding research interest.This research is arguably relevant not only to test for the effciency of the gold points, but also...

This study investigates the sensitivity of stock returns at the industry level to market, exchange rateand interest rate shocks in the four major European economies: France, Germany, Italy and the UK.In addition to exposure to the market, significant levels of exposure to both exchange rate...