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Currency momentum : an emerging market issue?

Schober, Maik; Gehrke, Matthias - In: ACRN journal of finance and risk perspectives 11 (2022), pp. 120-140

Three main currency strategies have been established in the literature: carry, value, and momentum. We investigate momentum using data on 27 currencies (10 developed countries and 17 emerging markets). We find that momentum returns are driven by emerging market currencies, while the currencies...

Persistent link: https://www.econbiz.de/10014235046

Capital flow management measures and dollarization

Andreasen, Eugenia; Nuguer, Victoria - 2020

-Karadi-Kiyotaki, where bank heterogeneity and financial dollarization are introduced to evaluate the effectiveness of the differential RR in … reducing financial dollarization and improving financial resilience. …

Persistent link: https://www.econbiz.de/10012587526

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...

Persistent link: https://www.econbiz.de/10014500904

Directional predictability in foreign exchange rates of emerging markets : new evidence using a cross-quantilogram approach

Rehman, Mohd Ziaur; Tiwari, Aviral Kumar; Samontaray, … - In: Borsa Istanbul Review 22 (2022) 1, pp. 145-155

This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging...

Persistent link: https://www.econbiz.de/10012818188

Short-term capital flows, exchange rate expectation and currency internationalization : evidence from China

Li, Mingming; Qin, Fengming; Zhang, Zhaoyong - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-15

This paper intended to employ a portfolio approach to assess the effect of exchange rate expectation on Chinese RMB internationalization and empirically test the interactive effects among short-term capital flows, RMB appreciation expectation and the internationalization process using a VAR...

Persistent link: https://www.econbiz.de/10012587433

Financial development and dollarization in Ghana : an empirical investigation

Tweneboah, George; Gatsi, John Garchie; Asamoah, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-21

This study strengthens the frontiers of research on the drivers of dollarization in emerging economies by exploring the … 2002 to March 2016. The evidence suggests that dollarization shares a common stochastic trend with exchange rates … exchange rate depreciation and financial development in the evolution of dollarization. Whereas depreciation induces a switch …

Persistent link: https://www.econbiz.de/10014232353

Analyzing exchange market pressure dynamics with Markov regime switching : the case of Turkey

İlhan, Ali; Akdeniz, Coşkun; Özdemir, Metin - In: Organizations and markets in emerging economies 13 (2022) 1, pp. 238-259

This study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low- and high-pressure periods....

Persistent link: https://www.econbiz.de/10013279667

International capital flows and speculation

Hayward, Rob; Gregoriou, Andros - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...

Persistent link: https://www.econbiz.de/10012533969

Impact of monetary policy on the macroeconomy under dollarization : evidence from the Lao PDR

Park, Hail; Son, Jong Chil; Wang, Wenbo - In: International trade, politics and development 7 (2023) 2, pp. 77-91

-term financial market and de-dollarization. Originality/value - This study can fill the gap in the literature in which the …

Persistent link: https://www.econbiz.de/10014370312

Investor behavior in gold, US dollars and cryptocurrency during global pandemics

Kim, Yoochan; Topal, Erkan; Ghosh, Apurna Kumar; Asad, … - In: Economies : open access journal 12 (2024) 3, pp. 1-14

COVID-19 and SARS are epidemics which have influenced the largest global economic crisis in recent years. This research reveals that both SARS and COVID-19 have led to fluctuations in the prices of gold and the US dollar index; however, there is no direct causal relationship be-tween COVID-19...

Persistent link: https://www.econbiz.de/10014501066