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Exchange Rate Volatility and Employment Growth : Empirical Evidence from the CEE Economies
Belke, Ansgar; Setzer, Ralph - 2004
highlights the fact that high exchange rate volatility may as well signal high costs for labor markets. The impact of exchange … rate volatility on labor markets in the CEECs is analyzed, finding that volatility vis?- vis the euro significantly lowers … employment growth. Hence, the elimination of exchange rate volatility could be considered as a substitute for a removal of …
Persistent link: https://www.econbiz.de/10010261804
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Implied volatility of foreign exchange options: Is it worth tracking?
Gereben, Áron; Pintér, Klára - 2005
Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …
Persistent link: https://www.econbiz.de/10010322417
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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas; Lechthaler, Filippo - 2012
Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...
Persistent link: https://www.econbiz.de/10011753224
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Do we really know that flexible exchange rates facilitate current account adjustment? Some new empirical evidence for CEE countries
Herrmann, Sabine - 2009
2007. The exchange rate regime is measured by a continuous z-score measure of exchange rate volatility proposed by Gosh …
Persistent link: https://www.econbiz.de/10010298838
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The Forex Regime and EMU Expansion
van Foreest, Pieter W.; de Vries, Casper G. - 2002
This paper provides evidence that the choice of the foreign exchange regime is not of first order importance for achieving high output growth. It is argued that due to the forward looking nature of the foreign exchange market, exchange rate stability hinges on the current and anticipated...
Persistent link: https://www.econbiz.de/10010324808
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Monetary policy under alternative exchange rate regimes in Central and Eastern Europe
Ziegler, Christina - 2012
Monetary policy in CEE is an important determinant in the wage bargaining process, because trade unions have to predict inflation as one component of future real wages. This paper scrutinizes whether countries in CEE that officially announce an inflation target are tempted to act...
Persistent link: https://www.econbiz.de/10010308235
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Trilemma policy convergence patterns and output volatility
Aizenman, Joshua; Ito, Hiro - 2012
choices tend to experience smaller output volatility in the last two decades. Emerging markets with relatively low … international reserves/GDP could experience higher levels of output volatility when they choose a policy combination with a greater … degree of policy divergence. Yet this heightened output volatility effect does not apply to economies with relatively high …
Persistent link: https://www.econbiz.de/10010288150
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - 2006
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized. …
Persistent link: https://www.econbiz.de/10011604696
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10010271372
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The EU single market and customs policy: Impact on Estonian foreign trade
Ehrlich, Laura - 2002
Foreign trade is an important mechanism for economic integration with other countries, and plays a significant role in economic growth. The possible impacts of EU membership on Estonian foreign trade have been discussed for years without reaching a clear conclusion. Although the current paper...
Persistent link: https://www.econbiz.de/10010284936