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On Cross-Country Differences in the Contribution of Nontraded Goods to Real Exchange Rate Fluctuations

Kitenge, Erick - 2020

We propose a new Quantity Dual Approach (QDA) to estimate the contribution of nontraded goods to Real Exchange Rate (RER) fluctuations. This method is immune to the bias resulting from the non-inclusion of some goods in CPI calculations and can be applied even in a stringent data environment...

Persistent link: https://www.econbiz.de/10012822790

International Financial Integration : Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries

Vo, Xuan Vinh - 2017

This paper investigates the interdependence between the Vietnamese stock market and other influential stock markets in terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global Financial Crisis. A VAR model is used to estimate the...

Persistent link: https://www.econbiz.de/10012968438

The Post-Crisis Slump in the Euro Area and the Us : Evidence from an Estimated Three-Region DSGE Model

Kollmann, Robert - 2017

—in particular, the EA slump has been markedly more protracted. We estimate a three-region (EA, US and Rest of World) New Keynesian …

Persistent link: https://www.econbiz.de/10012969881

Remittances and the Informal Economy

Chatterjee, Santanu - 2017

Many developing countries are characterized by a large informal sector, and are also often heavily dependent on remittance inflows from abroad. We develop a general equilibrium framework to understand better the dynamic absorption of remittances in a two-sector small open economy, by...

Persistent link: https://www.econbiz.de/10012972585

Leading Indicators of Currency Crises

Reinhart, Carmen - 2016

This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain...

Persistent link: https://www.econbiz.de/10012977832

International Reserve Management : A Drift-Switching Reflected Jump-Diffusion Model

Cai, Ning - 2016

We study the cost of shocks, i.e., jump risk, with respect to reserve management when the reserve process is formulated as a drift switching jump-diffusion with a reflecting barrier at 0. Inspired by the Brownian drift switching model, our model results in a more realistic dynamic behavior of...

Persistent link: https://www.econbiz.de/10013005998

Emerging Market Economies and the World Interest Rate

Buyukkarabacak, Berrak - 2016

the 'world' interest rate, which we extract from a dynamic factor model of yields in industrialized countries. Our results … provide evidence that many emerging market yields respond to world rate shocks, at least gradually, which is broadly … consistent with capital market integration. Our findings also suggest that the world rate captures information about emerging …

Persistent link: https://www.econbiz.de/10013006225

A Darwinian Perspective on 'Exchange Rate Undervaluation'

Du, Qingyuang - 2015

This paper studies how status competition for marriage partners can generate surprising effects on the real exchange rate (RER). In theory, a rise in the sex ratio (increasing relative surplus of men) can generate a decline in the RER. The effect can be quantitatively large if the biological...

Persistent link: https://www.econbiz.de/10013009419

Is Trouble Brewing for EMEs?

Ramos-Francia, Manuel - 2015

Discussions regarding financial stability have revolved mainly around the degree of leverage in financial institutions. However, some authors have argued that mechanisms associated with unleveraged institutions could entail financial instability. With this in mind, we aim to shed light on the...

Persistent link: https://www.econbiz.de/10013011683

How Important are Foreign Ownership Linkages for International Stock Returns?

Bartram, Söhnke M. - 2014

We show how a stock return model can be described by measures of distance between stocks along the country, industry, and ownership dimensions. This ownership return dimension is shown to be a continuous summary measure of institutional investor habitat. Empirically, we find that the ownership...

Persistent link: https://www.econbiz.de/10013055928