In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...

Employing propensity score reweighting and event-based strategies, we provide evidence that sustained real exchange rate (RER) misalignments have significant effects on economic development: positive on GDP per capita and capital stock in the case of undervaluation, and negative on the capital...

This article identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialized countries has noted the superior performance of the Fractionally Integrated Generalized...

We show that sovereign risk premium contains important information about the short run exchange rate dynamics in emerging economies and that net foreign assets play the key role in the link between the two variables: on the one hand, the accumulation of foreign assets reduces the sovereign risk...

This study investigates whether greater nominal exchange rate flexibility aids real exchange rate adjustment based on data from dual exchange rates in developing countries. Specifically, we analyze whether the more flexible parallel market rate produces faster real exchange rate adjustment than...

This working paper was written by Yin-wong Cheung (University of California, Santa Cruz) and Kon S. Lai (California State University, Los Angeles).This study investigates whether greater nominal exchange rate flexibility aids real exchange rate adjustment based on data from dual exchange rates...