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Crises and Prices : Information Aggregation, Multiplicity and Volatility
Angeletos, George-Marios; Werning, Iván - 2005
Many argue that crises - such as currency attacks, bank runs and riots - can be described as times of non-fundamental volatility. We argue that crises are also times when endogenous sources of information are closely monitored and thus an important part of the phenomena. We study the role of...
Persistent link: https://www.econbiz.de/10014067957
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Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System
Bartov, Eli - 2013
We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we...
Persistent link: https://www.econbiz.de/10013081564
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Uncertainty and Exchange Rate Volatility : The Case of Mexico
Bush, G. - 2019
This paper investigates the effect of domestic and global uncertainty on the volatility of the Mexican peso US dollar … estimated exchange rate volatility on domestic and global uncertainty proxies, built with data from the survey of professional … Davis global economic policy uncertainty index (EPU). A trade uncertainty index based on Google trends is incorporated in …
Persistent link: https://www.econbiz.de/10012897453
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Strategic flexibility and exchange rate uncertainty
Krupp, Corinne Marie - In: The Canadian journal of economics 29 (1996) 2, pp. 436-456
Persistent link: https://www.econbiz.de/10001206532
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Exchange rate variability and the riskiness of US multinational firms : evidence from the breakdown of the Bretton Woods system
Bartov, Eli; Bodnar, Gordon M.; Kaul, Aditya - In: Journal of financial economics 42 (1996) 1, pp. 105-132
Persistent link: https://www.econbiz.de/10001205753
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Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System
Bartov, Eli - 1995
This study assesses the impact of exchange rate variability on the riskiness of U.S. multinational firms by examining the relation between exchange rate variability and stock return volatility and by decomposing this relation into components of systematic and diversifiable risk. Focusing on two...
Persistent link: https://www.econbiz.de/10012473547
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Real convergence in Central and Eastern European EU Member States : which role for exchange rate volatility?
Arratibel, Olga (contributor); Furceri, Davide (contributor) - 2008
This paper analyzes the relation between exchange rate volatility and several macroeconomic variables, namely real per capita output growth, the credit cycle, the stock of inward foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member...
Persistent link: https://www.econbiz.de/10003789431
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Welfare effects of commodity price and exchange rate volatilities in a multi-sector small open economy model
Dib, Ali (contributor) - 2008
This paper develops a multi-sector New Keynesian model of a small open economy that includes commodity, manufacturing, non-tradable, and import sectors. Price and wage rigidities are sector specific, modelled à la Calvo-Yun style contracts. Labour and capital are imperfectly mobile across...
Persistent link: https://www.econbiz.de/10003711673
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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
In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship 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...
Persistent link: https://www.econbiz.de/10009718901