Similar Search Results

EXCHANGE MARKET PRESSURE AND REGIONAL PRICE SPILLOVERS IN RUSSIA, UKRAINE, AND BELARUS

HEGERTY, Scott W. - In: Applied Econometrics and International Development 14 (2014) 2

The economies of Russia, Ukraine, and Belarus have long been undergoing an uneven process of regional integration, but at the same time face the lasting effects of the 2008 Global Financial Crisis. This study examines different measures of Exchange Market Pressure (EMP), which captures currency...

Persistent link: https://www.econbiz.de/10010938512

Currency Crises: A Perspective on Recent Theoretical Developments

Jeanne, Olivier - C.E.P.R. Discussion Papers - 1999

This paper puts recent theoretical developments in the literature on currency crises in perspective by comparing two theoretical approaches, one based on the speculative attack model of Krugman-Flood-Garber and the other approach, which evolved following the 1992-93 crisis of the European...

Persistent link: https://www.econbiz.de/10005123792

Measuring contagion between energy market and stock market during financial crisis: A copula approach

Wen, Xiaoqian; Wei, Yu; Huang, Dengshi - In: Energy Economics 34 (2012) 5, pp. 1435-1446

In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock … dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion … the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion …

Persistent link: https://www.econbiz.de/10010593867

Testing for nonlinearity of exchange rates: an information-theoretic approach

Zhang, Yuqin; Soofi, Abdol S.; Wang, Shouyang - In: Journal of Economic Studies 38 (2011) November, pp. 637-657

Purpose – This study seeks to explore the nature of a data-generating process for four dollar exchange rates. Design/methodology/approach – Using a discrete parametric modeling approach, an efficient test statistic was computed for nonlinearity in terms of variance of the residuals of the...

Persistent link: https://www.econbiz.de/10010814540

Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the World Economy 30 (2014) C, pp. 10-24

with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to … markets. We find empirical evidence of contagion effect and spillovers between stock market and foreign exchange market during …

Persistent link: https://www.econbiz.de/10010906891

Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models

Ben Cheikh, Nidhaleddine - In: Economics - The Open-Access, Open-Assessment E-Journal 6 (2012), pp. 1-28

This paper examines the presence of asymmetric behavior in exchange rate pass-through (ERPT) to CPI inflation in 12 euro area (EA) countries. Using a class of nonlinear smooth transition models, the author tests for asymmetry with respect to the direction and the magnitude of exchange rate...

Persistent link: https://www.econbiz.de/10010954801

Modelling oil price and exchange rate co-movements

Reboredo, Juan C. - In: Journal of Policy Modeling 34 (2012) 3, pp. 419-440

We examine how oil prices and exchange rates co-move using two measures of dependence: correlations and copulas and document two main findings for crude oil prices and a range of currencies: oil price–exchange rate dependence is in general weak, although it rose substantially in the aftermath...

Persistent link: https://www.econbiz.de/10010577349

Oil and US dollar exchange rate dependence: A detrended cross-correlation approach

Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Energy Economics 42 (2014) C, pp. 132-139

crisis for all time scales, thereby providing evidence of both contagion and interdependence. This empirical evidence has …

Persistent link: https://www.econbiz.de/10010752926

Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors

Kilian, Lutz; Zha, Tao - C.E.P.R. Discussion Papers - 1999

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

Persistent link: https://www.econbiz.de/10005792458

Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound

Hall, Stephen G.; Kenjegaliev, Amangeldi; Swamy, P.A.V.B.; … - In: Journal of the Japanese and International Economies 29 (2013) C, pp. 1-20

We investigate bilateral currency pressures against the US dollar for three currencies: the Japanese yen, the Chinese yuan, and the UK pound during the period 2000:Q1 to 2009:Q4. We employ a model-based methodology to measure exchange market pressure over the period. Conversion factors required...

Persistent link: https://www.econbiz.de/10010703041