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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is … been used to condition the exposure to the carry trade (long high interest rate currencies, short low interest rate …
Persistent link: https://www.econbiz.de/10010266026
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The Crisis in the Foreign Exchange Market
Melvin, Michael; Taylor, Mark P. - CESifo - 2009
implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is … been used to condition the exposure to the carry trade (long high interest rate currencies, short low interest rate …
Persistent link: https://www.econbiz.de/10005013075
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IMF Support and Inter-regime Exchange rate Volatility
Arnold, Ivo J.M.; MacDonald, Ronald; Vries, Casper G. de - Department of Economics, Adam Smith Business School - 2007
exchange rates. We re-examine the data and conclude that the disparity between the fundamentals and exchange rate volatility is … for the fundamental variables’ volatility under fixed exchange rates. We show that IMF credit support is a crucial …
Persistent link: https://www.econbiz.de/10005549042
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Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach
Frömmel, Michael; MacDonald, Ronald; Menkhoff, Lukas - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2003
In this paper we demonstrate that there is evidence of an unstable and nonlinear re-lationship between fundamentals and exchange rates. Modeling this time-varying nature of the importance of fundamentals in a Markov switching framework substan-tially improves the fit of the real interest rate...
Persistent link: https://www.econbiz.de/10005464665
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A Method for Indicating Economic Transition with an Application to Albania
Hallwood, C. Paul; MacDonald, Ronald - In: Eastern Economic Journal 28 (2002) 4, pp. 465-480
We offer a method for assessing the progress of transition economies towards becoming market economies. A simple macroeconomic model is used which incorporates certain microeconomic features relevant to a transition economy that is introducing market-driven resource allocation. According to our...
Persistent link: https://www.econbiz.de/10005466734
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The monetary approach to exchange rates in the CEECs
Crespo Cuaresma, Jesús; Fidrmuc, Jarko; MacDonald, Ronald - 2003
A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square...
Persistent link: https://www.econbiz.de/10012148459
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The Effects of Japanese Interventions on FX-Forecast Heterogeneity
Reitz, Stefan; Stadtmann, Georg; Taylor, Mark P. - Volkswirtschaftliche Fakultät, … - 2009
that exchange rate misalignments increase forecast dispersion, while foreign exchange intervention of the Japanese Ministry …
Persistent link: https://www.econbiz.de/10005668400
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PPP and the Balassa Samuelson effect : the role of the distribution sector
MacDonald, Ronald; Ricci, Luca Antonio - 2001
This paper investigates the impact of the distribution sector on the real exchange rate, controlling for the Balassa-Samuelson effect, as well as other macro variables. Long-run coefficients are estimated using a panel dynamic OLS estimator. The main result is that an increase in the...
Persistent link: https://www.econbiz.de/10011398102
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PPP and the Balassa Samuelson Effect : The Role of the Distribution Sector
MacDonald, Ronald; Ricci, Luca A. - 2021
This paper investigates the impact of the distribution sector on the real exchange rate, controlling for the Balassa-Samuelson effect, as well as other macro variables. Long-run coefficients are estimated using a panel dynamic OLS estimator. The main result is that an increase in the...
Persistent link: https://www.econbiz.de/10013317922
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Bank of England interest rate announcements and the foreign exchange market
Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009
. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …
Persistent link: https://www.econbiz.de/10003831967