This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...

We re-examine the relationships among Federal Reserve monetary-policy actions, U.S. interventions in currency markets, and exchange rates using an alternative measure of monetary policy actions, the Federal Reserve's federal funds rate target. We find that exchange rates generally respond...

We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are state-dependent and asymmetric under different market conditions. State dependency hinges on different short-term interest rate zones. To prove this point, we determine three...

We simulate the impact on the nonbank liabilities of banks in a multiplex interbank environment arising from changes in currency exposure. Currency shocks as a source of financial contagion in the banking sector have not, so far, been considered. Our model considers two sources of contagion:...

Short- and long-term interest rates are crucial for investment and, thus, business dynamism. The injection of money depends on the ability to promote cash flows through credit which boosts productive sectors. In the last decade, among Latin American countries, Peru has stood out for its key...