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Oil Prices and Exchange Rate Volatility in Arab Countries

Mundaca, Gabriela - 2012

I test the bipolar view hypothesis on the exchange rates of countries of the AMF which are countries with relative free capital mobility. I find that oil price shocks seem to be the source of less flexible exchange rates

Persistent link: https://www.econbiz.de/10013109768

Real Exchange Rate Volatility, Financial Crises and Nominal Exchange Regimes

Morales-Zumaquero, Amalia - 2012

This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the … the RER volatility. To that end, we employ two complementary procedures that consist in detecting structural breaks in the … RER series and decomposing volatility into its permanent and transitory components. The results confirm that exchange rate …

Persistent link: https://www.econbiz.de/10013099193

Do capital inflows hinder competitiveness? The real exchange rate in Ethiopia

Martins, Pedro M. G. - 2010

This paper investigates the determinants of the real exchange rate (RER) in Ethiopia. In particular, it assesses whether large capital inflows (e.g. foreign aid and remittances) have an impact on the RER. This empirical exercise tries to improve the current literature in a number of ways: (i)...

Persistent link: https://www.econbiz.de/10010288491

Global commodity cycles and linkages a FAVAR approach

Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 2010

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Persistent link: https://www.econbiz.de/10011605216

Stock prices and macroeconomic performance in Pakistan : an analysis

Mukhtar, Saima; Chaudhry, Imran Sharif; Bashir, Furrukh - In: Review of economics and development studies 1 (2015) 2, pp. 119-128

Persistent link: https://www.econbiz.de/10011925274

Exchange rate movements and fundamentals : impact of oil prices and the People's Republic of China's growth

Chen, Hongyi; Cao, Shuo - 2019

This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...

Persistent link: https://www.econbiz.de/10011992197

Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data

Wilfling, Bernd; Trede, Mark - 2004

Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...

Persistent link: https://www.econbiz.de/10010295399