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Interactions between the Exchange Rates and the Differential of the Stock Returns between Romania and US during the Global Crisis
STEFANESCU, Razvan; DUMITRIU, Ramona - In: Economics and Applied Informatics (2011) 2, pp. 61-66
The relation between the foreign exchange markets and the stock markets is still a controversial subject in the specialized literature. Recent studies revealed the changes that occur in this relation during the financial crisis. In this paper we approach the interactions between the exchange...
Persistent link: https://www.econbiz.de/10010625578
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A Perspective on Modelling the Real Trade Weighted Index Since the Float
Aruman, Shakila; Dungey, Mardi - Research School of Economics, College of Business and … - 2001
Persistent link: https://www.econbiz.de/10004967982
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Mercados cambiarios y tipos de cambio de Asia y Latinoamérica: Sincronización de largo plazo, cambios estructurales y choques estocásticos
Ruiz Porras, Antonio; Fregoso Becerra, Luis Enrique - In: Revista de Métodos Cuantitativos para la Economía y … 25 (2018), pp. 295-317
structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long …
Persistent link: https://www.econbiz.de/10011995022
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Mercados cambiarios y tipos de cambio de Asia y Latinoamérica : sincronización de largo plazo, cambios estructurales y choques estocásticos
Ruiz Porras, Antonio; Fregoso Becerra, Luis Enrique - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 295-317
structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long …
Persistent link: https://www.econbiz.de/10011870778
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Exchange rate uncertainty and international portfolio flows
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10010312834
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Exchange Rate Uncertainty and International Portfolio Flows
Caporale, Guglielmo Maria; Menla Ali, Faek; Spagnolo, Nicola - 2013
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10010312853
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Exchange Rate Uncertainty and International Portfolio Flows
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - CESifo - 2013
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10010659181
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Exchange Rate Uncertainty and International Portfolio Flows
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10011128874
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Return and volatility spillovers among CIVETS stock markets
Korkmaz, Turhan; Çevik, Emrah İ.; Atukeren, Erdal - In: Emerging Markets Review 13 (2012) 2, pp. 230-252
Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries...
Persistent link: https://www.econbiz.de/10011056986
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On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets
Dieci, Roberto; Westerhoff, Frank - 2011
We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...
Persistent link: https://www.econbiz.de/10010304672