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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

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

The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries

Arratibel, Olga - 2011

This paper analyzes the relation between nominal exchange rate volatility and several macroeconomic variables, namely real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel...

Persistent link: https://www.econbiz.de/10013133893

Microstructure of Foreign Exchange Markets

Evans, Martin D.D. - 2019

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX...

Persistent link: https://www.econbiz.de/10012891430

Real Convergence in Central and Eastern European EU Member States : Which Role for Exchange Rate Volatility?

Arratibel, Olga - 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/10012770727

Volatility and Z-Type Jumps of Euro Exchange Rates Using Outlying Weighted Quarticity Statistics in the 2010s

Yi, Chae-Deug - 2019

Purpose – This paper examines the recently realized continuous volatility and discrete jumps of US Dollar/Euro returns using the frequency of five minute returns spanning the period from February 2010 through February 2018with periodicity filters. Design/Methodology – This paper adopts the...

Persistent link: https://www.econbiz.de/10012867197

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...

Persistent link: https://www.econbiz.de/10013013057

Exchange Rate Volatility and Tax Revenue : Evidence from Ghana

Ofori, Isaac K. - 2021

The need for the Ghanaian government to generate enough revenue for development is becoming increasingly crucial in this era of slow growth, growing unemployment and high debt. However, tax revenue performance over the years reveals an unstable pattern. One key factor that has been overlooked in...

Persistent link: https://www.econbiz.de/10013237136

Exchange Rate Volatility and the Credit Channel in the Emerging Markets : A Vertical Perspective

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2004

Firms in emerging markets are exposed to severe financial frictions and credit constraints, that are exacerbated by the sudden stop of capital inflows. Can monetary policy offset this external credit squeeze? We show that although this may be the case during moderate contractions (or in partial...

Persistent link: https://www.econbiz.de/10014071372

International R&D Spillovers and Asset Prices

Gavazzoni, Federico; Santacreu, Ana Maria - 2022

We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing and...

Persistent link: https://www.econbiz.de/10013405369

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