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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
terms of foreign exchange market dynamics. An implementable financial stress index (FSI) is created and then used to … currencies) and we show that such an index has potential value in protecting a portfolio against loss during periods of stress …
Persistent link: https://www.econbiz.de/10003861767
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
Persistent link: https://www.econbiz.de/10003887408
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - In: Journal of international money and finance 28 (2009) 8, pp. 1317-1330
Persistent link: https://www.econbiz.de/10003929178
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The financial crisis in Central and Eastern Europe: the measures and determinants of the exchange market pressure index and the money market pressure index
Filipozzi, Fabio; Harkmann, Kersti - In: Research in economics and business : Central and … 2 (2010) 2, pp. 5-36
Persistent link: https://www.econbiz.de/10009374186
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Robust benchmark design
Duffie, Darrell; Dworczak, Piotr - 2014
Persistent link: https://www.econbiz.de/10010423509
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Libero mercato dei cambi e sviluppo : una prospettiva alternativa ; un modello a crescita endogena di mercati valutari imperfetti nei PVS
Yotopoulos, Pan A. - In: Quaderni di economia e finanza : rivista quadrimestrale … 5 (1996) 1, pp. 5-32
Persistent link: https://www.econbiz.de/10001215621
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A general approach to measuring exchange market pressure
Weymark, Diana N. - In: Oxford economic papers 50 (1998) 1, pp. 106-121
Persistent link: https://www.econbiz.de/10001236436
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On jump processes in the foreign exchange and stock markets
Jorion, Philippe - In: The review of financial studies 1 (1988) 4, pp. 427-445
Persistent link: https://www.econbiz.de/10001106330
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Measuring exchange market pressure and intervention in interdependent economies : a two-country model
Weymark, Diana N. - In: Review of international economics 5 (1997) 1, pp. 72-82
Persistent link: https://www.econbiz.de/10001256064
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A Markov-Switching Approach to Measuring Exchange Market Pressure
Kumah, Francis Y. - 2008
This paper characterizes exchange market pressure as a nonlinear Markov-switching phenomenon, and examines its dynamics in response to money growth and inflation over three regimes. The empirical results identify episodes of exchange market pressure in the Kyrgyz Republic and confirm the...
Persistent link: https://www.econbiz.de/10012772940