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Exchange Rate Movements and International Interdependence of Stock Markets

International Monetary Fund - 1989

This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic...

Persistent link: https://www.econbiz.de/10014396348

Exchange Rate Fluctuations and Trade Flows : Evidence From the European Union

Dell'Ariccia, Giovanni - 1998

This paper analyzes the effects of exchange rate volatility on bilateral trade flows. Through use of a gravity model … attention is reserved for problems of simultaneous causality. The negative correlation between trade and bilateral volatility …

Persistent link: https://www.econbiz.de/10014403368

China's evolving exchange rate regime

Das, Sonali - 2019

China's exchange rate regime has undergone gradual reform since the move away from a fixed exchange rate in 2005. The renminbi has become more flexible over time but is still carefully managed, and depth and liquidity in the onshore FX market is relatively low compared to other countries with de...

Persistent link: https://www.econbiz.de/10012009461

Patterns of foreign exchange intervention under inflation targeting

Adler, Gustavo; Chang, Kyun Suk; Wang, Zijiao - 2020

The paper documents the use of foreign exchange intervention (FXI) across countries and monetary regimes, with special attention to its use under inflation targeting (IT). We find significant differences between advanced and emerging market economies, with the former group conducting FXI...

Persistent link: https://www.econbiz.de/10012251394

The External Impact of China'S Exchange Rate Policy : Evidence From Firm Level Data

Eichengreen, Barry - 2011

We examine the impact of renminbi revaluation on foreign firm valuations, considering two surprise announcements of changes in China’s exchange rate policy in 2005 and 2010 and employing data on some 6,000 firms in 44 economies. Stock returns rise with renminbi revaluation expectations. This...

Persistent link: https://www.econbiz.de/10014399195

Exchange rate fluctuations and international portfolio rebalancing in Thailand

Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip - 2012

We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006....

Persistent link: https://www.econbiz.de/10009621634

The external impact of China's exchange rate policy : evidence from firm level data

Eichengreen, Barry; Tong, Hui - 2011

Persistent link: https://www.econbiz.de/10009424815

Informational Efficiency in Developing Equity Markets

McDermott, C. John - 1995

The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents’ dynamic consumption and investment decisions are first...

Persistent link: https://www.econbiz.de/10014397956

Stock Market Volatility and Corporate Investment

Hu, Zuliu - 1995

Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the … implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed … investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment …

Persistent link: https://www.econbiz.de/10014398072

Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Richards, Anthony J. - 1996

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …

Persistent link: https://www.econbiz.de/10014398639