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Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment : Evidence from Dual Exchange Rates in Developing Countries

Cheung, Yin-Wong; Lai, Kon S. - 2021

This study investigates whether greater nominal exchange rate flexibility aids real exchange rate adjustment based on data from dual exchange rates in developing countries. Specifically, we analyze whether the more flexible parallel market rate produces faster real exchange rate adjustment than...

Persistent link: https://www.econbiz.de/10013318352

Monetary Policy, Model Uncertainty and Exchange Rate Volatility

Markiewicz, Agnieszka - 2021

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

Persistent link: https://www.econbiz.de/10013316252

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets

Égert, Balázs - 2013

news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

Persistent link: https://www.econbiz.de/10013079876

Volatility Transmission in Emerging European Foreign Exchange Markets

Bubak, Vit - 2013

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

Persistent link: https://www.econbiz.de/10013094673

Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?

Caporale, Guglielmo Maria; Hanck, Christoph - 2021

We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...

Persistent link: https://www.econbiz.de/10013317393

The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis

Ben Cheikh, Nidhaleddine - 2015

This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...

Persistent link: https://www.econbiz.de/10013012532

Market Depth, Leverage, and Speculative Bubbles

Enders, Zeno - 2019

Tobin tax can prevent bubbles. Implemented incorrectly, however, these measures may create the possibility of bubbles and …

Persistent link: https://www.econbiz.de/10012899999

Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB

Caporale, Guglielmo Maria - 2016

This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined...

Persistent link: https://www.econbiz.de/10012985392

The Undisclosed Renminbi Basket : Are the Markets Telling Us Something About Where the Renminbi-US Dollar Exchange Rate is Going?

Funke, Michael - 2013

On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...

Persistent link: https://www.econbiz.de/10012753619