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Why crises happen : nonstationary macroeconomics

Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010

A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...

Persistent link: https://www.econbiz.de/10008758527

Determinants of the ZAR/USD exchange rate and policy implications : a simultaneous-equation model

Hsing, Yu - In: Cogent economics & finance 4 (2016) 1, pp. 1-7

This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South African government bond yield, US real GDP, the...

Persistent link: https://www.econbiz.de/10011450559

The Sources of Real Exchange Rate Fluctuations in Pakistan

Khan, Muhammad Luqman - 2010

This study examines the sources of real exchange rate fluctuations in Pakistan and use the SVAR (Structure Vector Autoregressive) technique to analysis the impact of different macroeconomics shocks for fluctuation in real exchange rate of Pak rupee. According to Blanchard and Quah (1999), the...

Persistent link: https://www.econbiz.de/10013137655

The Relationship between Stock Market Volatility and Macroeconomic Volatility : Evidence from Pakistan

Mushtaq, Rizwan - 2011

This study is based on examining the relationship between stock exchange market volatility and macroeconomic variables … volatility with respect to Pakistan. To measure this time series relationship for Pakistan Exponential Generalized Autoregressive … relationship of CPI and FDI with stock market; however ER and TBR are inversely related to sock market volatility. On the other …

Persistent link: https://www.econbiz.de/10013122393

Does Exchange Rate Volatility Discourage International Trade? A Meta-Regression Analysis

Haile, Mekbib - 2012

Since the breakdown of the Bretton Woods agreement, the trade effect of exchange rate variability (ERV) has been contentious. However, neither the theoretical nor the empirical literature provides unambiguous guidance on the trade effect of ERV. This article applies meta-regression analysis to...

Persistent link: https://www.econbiz.de/10013106622

Trilemma Policy Convergence Patterns and Output Volatility

Aizenman, Joshua - 2012

economies with more converged policy choices tend to experience smaller output volatility in the last two decades. Emerging … markets with relatively low international reserves/GDP could experience higher levels of output volatility when they choose a … policy combination with a greater degree of policy divergence while this heightened output volatility effect does not apply …

Persistent link: https://www.econbiz.de/10013107556

Trend Fundamentals and Exchange Rate Dynamics

Huber, Florian - 2015

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

Persistent link: https://www.econbiz.de/10013015703

Real Exchange Rate Behavior Under Peg : Evidence from the Chinese RMB and Malaysian MYR

Gu, Anthony Yanxiang - 2010

rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non …

Persistent link: https://www.econbiz.de/10013150619

Sources of Exchange Rate Fluctuations : Are They Real or Nominal?

Juvenal, Luciana - 2010

I analyze the role of real and monetary shocks on the exchange rate behavior using a structural vector autoregressive model of the US vis-à-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These...

Persistent link: https://www.econbiz.de/10013151170

A Multiple-Horizon Search for the Role of Trade and Financial Factors in Bilateral Real Exchange Rate Volatility

Cheung, Yin-Wong - 2009

This study investigates the sources of bilateral real exchange rate (RER) volatility in industrial countries. Going … RER volatility at different time horizons. The results suggest that RER volatility tends to increase with financial …. Financial factors (financial openness and financial depth) are found to influence RER volatility at primarily short horizons …

Persistent link: https://www.econbiz.de/10013158418