We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

We study the behavior of the Real Effective Exchange Rate (REER) of the dirham against the European currencies (the EU15), over the period 1960–2000. We measure the volatility using standard deviation, and the misalignments as the difference between the actual REER and the equilibrium REER...

This paper asks whether external shocks (U.S. interest rates, U.S. industrial production, U.S. stocks prices and world industrial material price) have asymmetric effects on European relative prices (real exchange rates). On 1979-1993 period, the paper finds that two groups of countries may be...

In this paper, we estimate the relative weights of each foreign currency in the basket of currencies comprising the dirham for the period 1973-2003 on monthly data. We show that before the advent of the euro, the exchange rate regime in Morocco was a "Crawling Basket (basket slippery). This...

Europe is the natural space for the integration of the Middle East and North Africa countries (MENA) and the Central and Eastern Europe Countries (CEEC). By their small economic size, these countries revolve around the European pole with which they perform the bulk of their trade. The...

This is the first study that employs option pricing model to measure the position-unwinding risk of currency carry trade portfolios, which covers moment information as the proxy for crash risk. We show that high interest-rate currencies are exposed to higher position-unwinding risk than low...

We show that the profitability of currency carry trades can be understood as the compensation for exchange rate misalignment risk based on the rare disastrous model of exchange rates (Farhi and Gabaix, 2008). It explains over 97% of the cross-sectional excess returns and dominates other...

This paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French...