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Is there really a "border effect"?
Morshed, A. K. M. Mahbub - In: Journal of international money and finance 26 (2007) 7, pp. 1229-1238
Persistent link: https://www.econbiz.de/10003565830
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A reappraisal of the border effect on relative price volatility
Cheung, Yin-Wong; Lai, Kon-sun - In: International economic journal 20 (2006) 4, pp. 495-513
Persistent link: https://www.econbiz.de/10003407480
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A reappraisal of the border effect on relative price volatility
Cheung, Yin-Wong (contributor); Lai, Kon-sun (contributor) - 2006
Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … effect estimation. Moreover, using a direct decomposition method, two conditions governing the strength of the border effect …
Persistent link: https://www.econbiz.de/10003300940
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Deviations of exchange rates from purchasing power parity : a story featuring two monetary unions
Bayoumi, Tamim; MacDonald, Ronald - In: IMF staff papers 46 (1999) 1, pp. 89-102
Persistent link: https://www.econbiz.de/10001380197
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Simultaneous stochastic volatility transmission across American equity markets
Weber, Enzo - In: The quarterly review of economics and finance : journal … 53 (2013) 1, pp. 53-60
Persistent link: https://www.econbiz.de/10009721374
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Simultaneous stochastic volatility transmission across American equity markets
Weber, Enzo (contributor) - 2008
solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an … market to three American countries are revealed. The impact is strongest for Canada, followed by Mexico and Brazil, which are …
Persistent link: https://www.econbiz.de/10003727720
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Deviations of exchange rates from purchasing power parity : a story featuring two monetary unions
Bayoumi, Tamim A.; MacDonald, Ronald - 1998
Persistent link: https://www.econbiz.de/10000991834
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Deviations of Exchange Rates from Purchasing Power Parity : A Story Featuring Two Monetary Unions
Bayoumi, Tamim - 2006
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10012782287
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Deviations of exchange rates from purchasing power parity : a story featuring two monetary unions
Bayoumi, Tamim A.; MacDonald, Ronald - 1998
Persistent link: https://www.econbiz.de/10013422580
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Deviations of Exchange Rates From Purchasing Power Parity : A Story Featuring Two Monetary Unions
MacDonald, Ronald - 1998
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10014400558