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Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
Georgetown University, Department of Economics - 2005
This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro … model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine … forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap …
Persistent link: https://www.econbiz.de/10005622961
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Dynamic currency linkages between select emerging market economies: An empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014001605
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Dynamic currency linkages between select emerging market economies : an empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014232595
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The role of expectations in sudden stops
Mertens, Karel - 2007
This paper presents a flexible-price small open economy model with a peso problem in productivity states. Agents rationally adjust their beliefs about future productivity growth after the arrival of news. A downward revision of expectations triggers a Sudden Stop, together with large declines in...
Persistent link: https://www.econbiz.de/10010292050
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Between Two Poles: Matching Trade and Exchange Rate Regimes in Mercosur
Busse, Matthias; Hefeker, Carsten; Koopmann, Georg - 2004
The paper reviews exchange rate options for Mercosur countries. We start from the observation that most of the countries in the region have a longstanding tendency to adopt fixed exchange rates, and ask how such a system could best be designed. The Argentine crisis has demonstrated that...
Persistent link: https://www.econbiz.de/10010295434
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Yen or Yuan? China's role in the future of Asian monetary integration
Hefeker, Carsten; Nabor, Andreas - 2002
Most proposals for Asian monetary cooperation assign a special role to the Japanese yen as an anchor currency. We focus instead on the potential role of the Chinese renminbi. It becomes increasingly clear that China will assume the role of the dominant economy in the region, and that it will...
Persistent link: https://www.econbiz.de/10010295536
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Foreign direct investment in the enlarged EU: do taxes matter and to what extent?
Wolff, Guntram B. - 2006
Foreign direct investment is of increasing importance in the European Union. This paper estimates the effect of taxes on foreign direct investment (FDI) flows and on three sub-components of these flows for the countries of the en- larged European Union. The model in the spirit of gravity...
Persistent link: https://www.econbiz.de/10010295800
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Contagion of currency crises: Some theoretical and empirical analysis
Karmann, Alexander; Greßmann, Oliver; Hott, Christian - 2002
This paper investigates contagion effects. In a model with highly and lowly informed investors we show that a currency crisis in one country can trigger a crisis in another country. Portfolio losses of the highly informed investors in one country will force them to withdraw capital from the...
Persistent link: https://www.econbiz.de/10010301742
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Contagion of currency crises: Some theoretical and empirical analysis
Karmann, Alexander; Greßmann, Oliver; Hott, Christian - 2002
This paper investigates contagion effects. In a model with highly and lowly informed investors we show that a currency crisis in one country can trigger a crisis in another country. Portfolio losses of the highly informed investors in one country will force them to withdraw capital from the...
Persistent link: https://www.econbiz.de/10010305446
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The Role of Regulatory Arbitrage in U.S. Banks' International Lending Flows: Bank-Level Evidence
Temesvary, Judit - 2015
This paper examines how cross-border differences in the stringency of bank regulations affect U.S. banks' international activities. The analysis relies on a unique bank-level dataset on the globally most active U.S. banks' balance sheet as well as their cross-border, foreign affiliate lending...
Persistent link: https://www.econbiz.de/10011345556