This study is an endeavour to analyse the aspect of adhering to simplicity instead of complexity when one is striving to make a forecast and faced by an unprecedented amount of uncertainty. There is substantial evidence on the exchange rate pass-through and its significant implications for the...

This paper attempts to identify the sources of U.K. exchange rate and relative consumer price fluctuations between 1973 and 1994. We follow Clarida and Gali (1994) in using the Blanchard and Quah (1989) structural VAR (SVAR) method to identify the effects of three structural shocks within a...

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital markets...

Exchange rate is one of the macroeconomic indicators that gives concern to policy makers and investors as its movements are mostly unpredictable and tend to affect both trade and capital flows. Hence, this study analyzes exchange rate volatility clustering among selected WAMZ countries for the...

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital markets...

We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy...

Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate...

Self-fulfilling expectations are commonly believed to play an important role in the transmission of currency crises across countries. However, existing models that use multiple equilibria to illustrate the importance of such expectations have many undesirable features. This paper presents a new...

The goal of this study is to measure market prices of risk and the associated foreign exchange risk premia extending the approach proposed by Balduzzi and Robotti (2001) to an international framework. Estimations of minimum variance stochastic discount factors permits the determination of market...

In macroeconomic models of foreign exchange markets, exchange rates are determined by public information, while trading activities are completely irrelevant. In general, these models have low explanatory power for short horizons, which might be due to the possible existence of private...