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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17

Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …

Persistent link: https://www.econbiz.de/10012021528

Do China and oil exporters influence major currency configurations?

Fratzscher, Marcel; Mehl, Arnaud - 2008

This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...

Persistent link: https://www.econbiz.de/10011605019

Do China and oil exporters influence major currency configurations?

Fratzscher, Marcel; Mehl, Arnaud - 2008

Persistent link: https://www.econbiz.de/10003825947

Intraday Effect of News on Emerging European Forex Markets : An Event Study Analysis

Kočenda, Evžen - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...

Persistent link: https://www.econbiz.de/10012908658

Financial Spillovers to Emerging Economies : the Role of Exchange Rates and Domestic Fundamentals

Ciarlone, Alessio - 2020

Financial integration of emerging economies is on the rise and so are financial and monetary spillovers, especially those originating from US economic policy decisions and the (related) evolution of the US dollar. We revisit the “trilemma” vs. “dilemma” hypothesis and assess whether, and...

Persistent link: https://www.econbiz.de/10012824769

Do China and Oil Exporters Influence Major Currency Configurations?

Fratzscher, Marcel - 2015

Persistent link: https://www.econbiz.de/10012749953

Winners and Losers from Sovereign Debt Inflows

Broner, Fernando - 2020

We study the transmission of sovereign debt inflow shocks on domestic firms. We exploit episodes of large sovereign debt inflows in six emerging countries which are due to the announcements of these countries' inclusion in two major local currency sovereign debt indexes. We show that these...

Persistent link: https://www.econbiz.de/10012845279

Stock and foreign exchange market linkages in emerging economies

Andreou, Elena; Matsi, Maria; Savvides, Andreas - In: Journal of international financial markets, … 27 (2013), pp. 248-268

Persistent link: https://www.econbiz.de/10010411739

Surfing the waves of globalization : Asia and financial globalization in the context of the trilemma

Aizenman, Joshua; Chinn, Menzie David; Itō, Hiro - 2011

Using the "trilemma indexes" developed by Aizenman et al. (2010) that measure the extent of achievement in each of the three policy goals in the trilemma - monetary independence, exchange rate stability, and financial openness - we examine how policy configurations affect macroeconomic...

Persistent link: https://www.econbiz.de/10009158763

Better more than one : portfolio currency pricing and exchange rate hedging

Sokolova, Maria V. - 2016 - This version: March 2016

This paper examines the relationship between the composition of exporters' currency pricing portfolio - number and value of product sales in different currencies at a destination - and their success in trade as measured by continuing to their exporting activity. Detailed investigation of...

Persistent link: https://www.econbiz.de/10011478552

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