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International capital flow pressures
Goldberg, Linda S.; Krogstrup, Signe - 2018
This paper presents a new measure of capital flow pressures in the form of a recast exchange market pressure index. The measure captures pressures that materialize in actual international capital flows as well as pressures that result in exchange rate adjustments. The formulation is...
Persistent link: https://www.econbiz.de/10011795416
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International capital flow pressures
Goldberg, Linda S.; Krogstrup, Signe - 2018
Persistent link: https://www.econbiz.de/10011800152
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International investment positions and exchange rate dynamics : a dynamic panel analysis
Binder, Michael (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003599280
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International investment positions and exchange rate dynamics : a dynamic panel analysis
Binder, Michael (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003562211
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International investment positions and exchange rate dynamics : a dynamic panel analysis
Binder, Michael (contributor);  … - 2007
In this paper we revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we develop a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our...
Persistent link: https://www.econbiz.de/10003529555
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Risk, ambiguity, and equity premium : international evidence
Kim, Eung-Bin; Byun, Suk Joon - In: International review of economics & finance : IREF 76 (2021), pp. 321-335
Persistent link: https://www.econbiz.de/10013175824
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Exchange rate volatility and exports : estimation of firms risk preferences
Broll, Udo; Mukherjee, Soumyatanu; Sensarma, Rudra - 2017
In this companion paper to Broll and Mukherjee (2017), we empirically analyse how exchange rate volatilities affect firms optimal production and exporting decisions. The firms elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible...
Persistent link: https://www.econbiz.de/10011638802
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Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies
Nitschka, Thomas - 2007
Persistent link: https://www.econbiz.de/10003690945
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Time-varying stock returns and labor income risks in the US and UK
Li, Yuming - In: The European journal of finance 17 (2011) 3/4, pp. 321-336
Persistent link: https://www.econbiz.de/10009155399
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Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) : evidence from net oil export and import groups
Nieh, Chien-chung; Yao, Hsueh-chu - In: Advances in management & applied economics 3 (2013) 2, pp. 179-192
between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set … the volatility of world market excess return as the threshold variable and the percentage changes of crude oil price and …. We found that all beta values are positive and higher in the low regime (i.e., volatility of world market excess return …
Persistent link: https://www.econbiz.de/10009718901