The variance of real interest rate differentials (rids) is decomposed between ex post deviations from relative purchasing power parity and uncovered interest rate parity (UIRP) for a set of emerging markets from 1995M5 to 2004M3. The results point out to nominal interest rate differentials and...

Purpose - The purpose of this paper is to investigate the impact of foreign capital shifts on economic activities and asset prices in South Korea. Design/methodology/approach - The authors in this paper apply the Bayesian threshold vector autoregressive (TVAR) model to estimate the regimes of...

I study the determinants of capital flows to Argentina, Brazil, and Mexico, assessing the relative importance of domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA, and then embed them in a multi-country Global VAR. The...

The paper develops a simple model to explain Covered Interest Parity (CIP) deviations. The model allows for a time-varying country risk premium and is used to motivate a Structural Vector Auto-Regression (SVAR) approach to study the joint dynamics of the Covered Interest Differential (CID) and...

Increasing amounts of capital flows to developing countries and emerging markets tend to stimulate economic activity in these countries on one hand, and lead to serious macroeconomic fluctuations on the other hand. Foreign investors' activities in an emerging market, specifically in a stock...

Several studies have suggested that the prediction of standard theory on the effects of monetary policy on the exchange rate might not be applicable to or in the case of the Republic of Korea because participation of foreign investors is weak in the bond market but strong in the stock market....

This paper develops a new empirical measure of capital mobility. It tests the hypothesis that the degree of capital mobility can be estimated by measuring the reaction intensity of capital flows to shocks in interest rates, on a sample of eight European post-transitional economies. This...