This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes,...

We examine the state-dependent volatility reaction to macroeconomic news in the euro-dollar, pound-dollar and yen-dollar markets between 2005 and 2009. Unlike the traditional event studies that define economic states based on exogenously determined thresholds, we employ the smooth transition...

The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...

This paper analyzes the ad hoc decision of three Asian countries to peg their currency to the U.S. dollar prior to the Asian crisis. It uses the Sjaastad model to estimate the optimal basket weights for Thailand, Korea, and Singapore. The analysis in this paper differs from the optimal basket...

This study empirically explores the dynamic interactions between the European and Indonesian cocoa markets during the 2008 global financial crisis (GFC) and the 2011 European debt crisis (EDC) using a battery of time series approaches of cointegration and multivariate Granger causality. The...

The authors review the challenges that the Romanian economy and society had to face in the European and global geoeconomic context. Starting from the perspectives advanced by the international economic fora, the risks the European economy will have to answer through counteracting and general...

Conventional Phillips-curve models that are used to estimate the output gap detect a substantial decline in potential output due to the present crisis. Using a multivariate state space model, we show that this result does not hold if the long run role of excess liquidity (that we estimate...

This note argues that the solutions to the euro-area crisis proposed by the EU governing institutions in cooperation with the IMF, based on further austerity and wage cuts, will worsen the crisis. They are unlikely to reduce both sovereign and external debt ratios of countries experiencing these...