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Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms

Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

Persistent link: https://www.econbiz.de/10010148075

Test of an inverted J-shape hypothesis between the expected real exchange rate and real output : the case of Ireland

Hsing, Yu - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 39-47

output during 2001.Q4-2009.Q1. Other findings show that a higher real financial stock price, a higher world real interest …

Persistent link: https://www.econbiz.de/10009958051

Responsiveness of trade flows to changes in exchange rate and relative prices : evidence from Nigeria

Oyinlola, M. Abimbola; Adeniyi, Oluwatosin; Omisakin, … - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 123-141

This paper examines the long-run and short-run impacts of exchange rate and price changes on trade flows in Nigeria using exports and imports functions. The bounds testing (ARDL) approach to cointegration is applied on a quarterly data from 1980 Q1 to 2007 Q4. The results indicate that in both...

Persistent link: https://www.econbiz.de/10009958054

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Persistent link: https://www.econbiz.de/10009958060

Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory

Bianco, Marcos José dal - In: Estudios de economía 35 (2008) 1, pp. 33-64

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...

Persistent link: https://www.econbiz.de/10009959087

Foreign exchange market efficiency : empirical results for the USD/EUR market

Czech, Katarzyna Anna; Waszkowski, Adam - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 3, pp. 1-9

condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore …, the UIP hypothesis verification accounts for the crucial part of the paper. The efficiency of the USD/EUR market is tested …-strong foreign exchange market efficiency hypothesis is rejected for the USD/EUR market. -- foreign exchange market efficiency …

Persistent link: https://www.econbiz.de/10010078132

The power of the “objective” Bayesian unit-root test

Ahking, Francis W. - In: The open economics journal 2 (2009), pp. 71-79

Some researchers, for example, Koop [1], and Sims [2], have advocated for Bayesian alternatives to unit-root testing over the classical approach using the augmented Dickey-Fuller test (ADF). This paper studies the power of what Koop [1] has called the Objectiveʺ Bayesian approach to unit-root...

Persistent link: https://www.econbiz.de/10010080118

Hospital costs and unexpected demand : the case of Greece

Boutsioli, Zoe - In: The open economics journal 4 (2011), pp. 49-58

Demand for hospital inpatient care varies in a consistent way. However, a part of this variability is unpredictable. Hospitals react to this situation by holding standby capacity in order to be prepared to meet unanticipated surges in demand. This paper examines the production responses to...

Persistent link: https://www.econbiz.de/10010080131

Are exchange rates really free from seasonality? : an exploratory analysis on monthly time series

Cellini, Roberto; Cuccia, Tiziana - In: The open economics journal 4 (2011), pp. 44-48

This study deals with the seasonality of monthly time series of nominal exchange rates. Available literature overlooks seasonality in nominal bilateral exchange rates, and generally assumes that such rates are non-seasonal. We show that seasonality is absent in recent data, while it was present...

Persistent link: https://www.econbiz.de/10010080132

Managed floats to damp world-wide exchange rate liquidity shocks like 1982-5, 2006-9 : field and laboratory evidence for the benefits of a single world Ccrrency

Pope, Robin; Selten, Reinhard - In: The open economics journal 4 (2011), pp. 1-38

academic faith that exchange rate changes are either beneficial or harmless is a false faith that contributes to needless world …-wide economic havoc; (2) the 1982-85 exchange rate liquidity crisis sent much of the third world into unmanageable debt levels and … was so devastating for the first world that in 1985 the G5 instituted managed cooperating floats; (3) nearly all …

Persistent link: https://www.econbiz.de/10010080134

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