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Egorov, Konstantin - 2020

Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the optimal policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general preferences and technologies, time-or...

Persistent link: https://www.econbiz.de/10012834360

Bitcoin Price Co-Movements and Culture

Caporale, Guglielmo Maria - 2020

This paper analyses the cultural drivers (tightness−looseness and individualism−collectivism) of Bitcoin prices co-movements and exchange shutdowns in 34 major countries around the world over the period 20 July 2010 – 5 February 2020. Under the assumption that investors prefer to use local...

Persistent link: https://www.econbiz.de/10012841932

Integrated Versus Segmented Markets : Implications for Export Pricing and Welfare

Becker, Raphael; Nigai, Sergey; Seidel, Tobias - 2021

This paper challenges the common assumption of market segmentation in international trade. To analyze export entry and … export costs that allows us to compare firm-level and aggregate outcomes under arbitrary market interdependence. We find that …

Persistent link: https://www.econbiz.de/10013315233

Purchasing power parity for developing and developed countries: what can we learn from non-stationary panel data models?

Drine, Imed; Rault, Christophe - 2008

The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004) and generalized by Banerjee and Carrion-i-Silvestre (2006) to examine the robustness of the PPP concept for a sample of 80 developed and developing countries. We find that strong...

Persistent link: https://www.econbiz.de/10010264327

Active currency investing and performance benchmarks

Melvin, Michael; Shand, Duncan - 2010

approach include: there is no market portfolio; there are many alternative generic factor constructions; different … hold in the FX market. An evaluation of professional currency managers' returns indicates that they are often generated …

Persistent link: https://www.econbiz.de/10010270471

Political Risk and Real Exchange Rate : What Can We Learn from Recent Developments in Panel Data Econometrics for Emerging and Developing Countries?

Bahmani‐Oskooee, Mohsen - 2019

This paper focuses on the analysis of the long-run response of the Real Exchange Rate (RER) to political risks and tests whether non-economic variables have an impact on RER in 31 emerging and developing countries. We use annual data from the International Country Risk Guide database over the...

Persistent link: https://www.econbiz.de/10012892145

Exchange Rate Parities and Taylor Rule Deviations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...

Persistent link: https://www.econbiz.de/10013236279

Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

market-based ones. Monetary authorities should aim to achieve a high degree of credibility to manage them and thus currency …

Persistent link: https://www.econbiz.de/10013243236

On the Pass-Through of Large Devaluations

Casacuberta, Carlos; Licandro, Omar - 2023

model of heterogeneous firms. Domestic firms are price takers in the international market, operate under monopolistic … competition in the domestic market, and face financial constraints when exporting. Confronted to a large nominal devaluation …, financial constraints deepen. Financially constrained exporters cannot optimally expand in the export market and react by …

Persistent link: https://www.econbiz.de/10014357036

Lending Cycles and Real Outcomes : Costs of Political Misalignment

Bircan, Cagatay; Saka, Orkun - 2021

We document a strong political cycle in bank credit and industry outcomes in Turkey. In line with theories of tactical redistribution, state-owned banks systematically adjust their lending around local elections compared with private banks in the same province based on electoral competition and...

Persistent link: https://www.econbiz.de/10013246909