In our analysis, we describe and compare indicators regularly used in the course of money market monitoring, identifying the positions of FX market participants where co-movement with the forint exchange rate is most commonly observed. The correlation between the exchange rate and quantity...

We propose a novel heterogeneous interacting agents model in which traders are allowed to select endogenously between two different forecasting models and are moreover allowed to be short-term speculators or long-term investors. Within this model framework we study the effects of currency...

We explore the role of financial openness - capital account openness and gross capital inflows - and a newly constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a quarterly data set of 46 advanced and emerging market...

We analyze the intertemporal causal relationships between the real exchange rate and trade balance and cross-border capital flows in Africa. We use annual data of nine major African countries for the period 1993–2009. Through panel VAR techniques, we document some causality from real exchange...

This paper investigates the dynamic linkages between portfolio flows and various news indices (based on both "positive" and "negative" news headlines collected from Bloomberg), whilst also controlling for a comprehensive set of push and pull factors. The monthly panel examined comprises 49...

In recent years, advances in the field of unit root tests helped topartially solve the first purchasing power parity puzzle. Non-linearmean-reversion tests with real exchange rates were able to reject thenull of a unit root (indicating mean reversion) in significantly morecases than the standard...

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...

Interest rate differentials have been a driving force behind exchange rate movements in recent years. This has focused market attention on the role of currency carry trade positions, and on the possibility that a sudden unwinding might adversely affect financial stability. However, carry trades...

This paper examines from various angles foreign investors' daily transactions in six emerging Asian equity markets and their relationship with local market returns and exchange rate changes over the period 1999-2006. Confirming much of the literature, we find that equity market returns matter...

The paper argues that China's capital controls remain substantially binding. This has allowed the Chinese authorities to retain some degree of short-term monetary autonomy, despite the fixed exchange rate up to July 2005. Although the Chinese capital controls have not been watertight, we find...