Similar Search Results

A possible explanation of the 'exchange rate disconnect puzzle' : a common solution to three major macroeconomic puzzles?

Horioka, Charles; Ford, Nicholas - 2016

Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...

Persistent link: https://www.econbiz.de/10011502367

Commodity Prices and Exchange Rate Volatility : Lessons from South Africa's Capital Account Liberalization

Arezki, Rabah - 2012

We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way...

Persistent link: https://www.econbiz.de/10013098635

Fickle Emerging Market Flows, Stable Euros, and the Dollar Risk Factor

Adriaan Boermans, Martijn; Burger, John D. - 2021

Policymakers fear the potentially destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight....

Persistent link: https://www.econbiz.de/10013240814

Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization

Arezki, Rabah; Dumitrescu, Elena; Freytag, Andreas; … - In: Emerging Markets Review 19 (2014) C, pp. 96-105

We examine the relationship between the South African Rand and the gold price volatility using monthly data for the period 1979–2010. Our main finding is that prior to capital account liberalization the causality runs from the South African Rand to the gold price volatility but the causality...

Persistent link: https://www.econbiz.de/10010785356

The impact of foreign capital shifts on economic activities and asset prices : a threshold VAR approach

Baba, Boubekeur; Sevil, Güven - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 87-104

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...

Persistent link: https://www.econbiz.de/10012515007

Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020

We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019....

Persistent link: https://www.econbiz.de/10012294928

The effectiveness of capital controls : the case of Slovenia

Buch, Claudia M.; Hanschel, Elke - 1999

Similar to Chile in the 1990s, Slovenia has introduced an unremunerated reserve requirement (URR) on financial credits in 1995. We find that the URR has not been effective in reducing overall inflows of foreign capital. Hence, the gain in monetary autonomy has been limited. While the overall...

Persistent link: https://www.econbiz.de/10011475657

Exchange Rate Volatility and Export Growth in India : An ARDL Bounds Testing Approach

Palamalai, Srinivasan - 2013

This paper empirically investigates the impact of exchange rate volatility on the real exports in India using the ARDL bounds testing procedure proposed by Pesaran et al. (2001). Using annual time series data, the empirical analyses has been carried out for the period 1970 to 2011. The study...

Persistent link: https://www.econbiz.de/10013082330

Portfolio balance approach to asymmetries, structural breaks and financial crisis : testing a model for Nigeria

Adekoya, Oluwasegun B. - In: CBN journal of applied statistics 11 (2020) 1, pp. 87-110

This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September, 1997 to … stability after the crisis. The full sample results show that the PBT holds for Nigeria and asymmetries and structural breaks …

Persistent link: https://www.econbiz.de/10012297508

The consequences of exchange rate fluctuations on Nigeria's economic performance : an autoregressive distributed lag (ARDL) approach

Iheanachor, Nkemdilim; Ozegbe, Azuka Elvis - In: International journal of management, economics and … 10 (2021) 2/3, pp. 68-87

This study examined the effects of persistent exchange rate fluctuations on Nigeria's economic performance. It was … motivated by the quest to ascertain why concerted efforts of the monetary authorities in Nigeria to pursue internal and external … inflation rate had a significant adverse impact on Nigeria's economic growth in the long run. By implication, the net effect of …

Persistent link: https://www.econbiz.de/10012705698

1
2
3
4
5
6
7
8
9
10
Next
Last