Showing 1 - 10 of 2,709
In this paper we study the hypothesis of “divergent expectations” with a signaling game. Such hypothesis points out that, in emerging economies, local investors tend to be front-runners in a currency crisis. Our analysis shows that changes in the informational structure available to the...
Persistent link: https://www.econbiz.de/10015216373
This paper studies empirically how uncertainty affects speculation in the foreign exchange markets. We use the dispersion of survey forecasts of key macroeconomic variables to measure uncertainty about fundamentals. We find that uncertainty has a non-monotone effect on exchange rate pressures:...
Persistent link: https://www.econbiz.de/10015220755
This paper aims at establishing a relationship between disparity of information and the probability of speculative attack in explaining the Asian crisis. We apply the general framework of Markov-Switching models to the differential of interest rates (DIR), subsequently in Indonesia and Malaysia....
Persistent link: https://www.econbiz.de/10015224309
This paper offers a dynamic model of the foreign exchange market where some investors in the market are more informed than others. By adjusting the proportion of informed investors in the market, it is shown that the disconnect between macroeconomic variables and the exchange rate is sensitive...
Persistent link: https://www.econbiz.de/10015228059
This paper investigates the determinants of financial dollarization in emerging market economies, a phenomenon where domestic residents hold large shares of their portfolios in foreign currencies. In addition to common explanatory variables, this paper places an emphasis on central banks'...
Persistent link: https://www.econbiz.de/10015213405
Investors, policymakers, and Economists have debated whether high volatility in the parallel exchange rate in Zimbabwe was driven by stock exchange fungibility or not. This study investigated the interaction between the stock exchange fungibility market and the parallel exchange rate market. The...
Persistent link: https://www.econbiz.de/10015216179
The question of whether foreign investments should be systematically hedged against currency risk has not been clearly answered to date. Numerous theoretical and empirical studies have provided contradictory conclusions. This paper examines to what extent foreign bonds and equities are exposed...
Persistent link: https://www.econbiz.de/10015224115
This study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities: gold and oil and the financial variables (interest rate, exchange rate and stock price) of Japan – a major oil-consuming and gold-holding country....
Persistent link: https://www.econbiz.de/10015228212
El objetivo de este artículo es medir el tamaño relativo de las intervenciones cambiarias realizadas en el periodo de la revaluación del peso, entre 2004 y 2006, y calcular la efectividad de éstas en cuanto a sus efectos sobre la media y la varianza del tipo de cambio nominal. La propuesta...
Persistent link: https://www.econbiz.de/10015264179
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...
Persistent link: https://www.econbiz.de/10015264354