Purpose This paper aims to investigate the effect of global financial market uncertainty on the relation between risk and return in G7 stock markets. Design/methodology/approach Market uncertainty is quantified using a probability-based measure derived from a regime-switching model in which the...

Purpose – This paper aims to examine regime switching behaviour of the nominal exchange rate in Uganda to shed light on the necessity (as well as efficacy) of the participation of the central bank market. Design/methodology/approach – The homogenous two‐state Markov chain methodology was...

Purpose The purpose of this paper is to examine the validity of the purchasing power parity (PPP) hypothesis for two Southern African countries, namely: Lesotho and Zambia. Design/methodology/approach The authors utilized four econometric tests to examine the existence of the PPP hypothesis in...

Purpose The purpose of this paper is to explore the determinants of international reserves in Algeria using economic growth and real effective exchange rate variables. The paper used quarterly data from 1985Q1 to 2014Q4. Design/methodology/approach The study employs autoregressive distributed...

Purpose – The paper aims to examine the relationship between changes and volatility of China's Renminbi (RMB) exchange rates and its agricultural export. Design/methodology/approach – A GARCH(1, 1) model is specified to measure the exchange rate volatility and autoregressive distributed lag...

Purpose – The purpose of this paper is to develop a model to analyze the role of exchange rate appreciation expectation in trade invoicing from the perspective of importers, then empirically analyze it using Japanese export data. Design/methodology/approach – Constructing a theoretical model...

Purpose – This paper seeks to argue that any competitive advantage realized by a firm that produces domestically and exports to a foreign market due to a real depreciation (appreciation) of the domestic (foreign) currency is purely transitory and thus not sustainable. Diversification of...

We develop a general equilibrium monetary model of endogenous specialization and international trade to examine the degree of specialization and trade volume under alternative monetary systems, a multiple currency system with a flexible exchange rate and a common currency system. Where demand...

Abstract This paper investigates whether monetary and exchange rate policies are important for the success of major fiscal adjustments. We assess their role controlling for other determinants of success identified in the literature, including the size and composition of the deficit cut, the...

Is the U.S. vulnerable to a full-blown dollar crisis? Why are international finance economists scared and jittery, but domestically-oriented macroeconomists much less concerned?