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countries and product categories, in the euro area over the last fifteen years. Our results show that the transmission of … introduction of the euro caused a structural change in exchange rate pass-through. Although some estimated point elasticities have … manufacturing industries. And since the euro was introduced, industries producing differentiated goods have been more likely to …
Persistent link: https://www.econbiz.de/10014062124
This paper borrows the tradition of estimating policy reaction functions from monetary policy literature to ask whether capital controls respond to macroprudential or mercantilist motivations. I explore this question using a novel, weekly dataset on capital control actions in 21 emerging...
Persistent link: https://www.econbiz.de/10012829284
This paper investigates the link between Bitcoin and macroeconomic fundamentals by estimating the impact of macroeconomic news on Bitcoin using an event study with intraday data. The key result is that, unlike other U.S. asset classes, Bitcoin is orthogonal to monetary and macroeconomic news....
Persistent link: https://www.econbiz.de/10013548985
It is widely observed that primary commodity prices comove. A parallel literature asserts that correlation risk matters for financial returns. Our novel study connects these topics and presents evidence that commodity correlation risk is both non-constant and important for returns. We reconsider...
Persistent link: https://www.econbiz.de/10014256948
Persistent link: https://www.econbiz.de/10009705640
degree of competition with the euro, and the history of macroeconomic instability over the previous generation. We find no …
Persistent link: https://www.econbiz.de/10003947795
This paper studies the effect of exchange rate pass-through on inflation in Tunisia over the period 2001-2009. The authors' objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main...
Persistent link: https://www.econbiz.de/10009578287
We study the effect of central banks' international reserve hoardings on the composition of equity capital inflows, namely the ratio of portfolio equity investment (PEI) to foreign direct investment (FDI). Foreign investors' decisions regarding the location and the type of equity capital...
Persistent link: https://www.econbiz.de/10009659850
This paper studies the effect of exchange rate pass-through on inflation in Tunisia for the period 2001 to 2009. The objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main regimes for...
Persistent link: https://www.econbiz.de/10010223028
According to the Balassa-Samuelson effect, productivity gains in the domestic tradable sector raise the relative price of domestic non-tradables causing deviations from the purchasing power parity. In the literature, the Balassa-Samuelson effect is typically invoked to explain the Penn effect,...
Persistent link: https://www.econbiz.de/10010338980