The purpose of this study is to determine the factors contributing to real exchange rate fluctuations in Kenya; whether the real exchange rate responds more to real or to nominal shocks. A vector autoregression framework is applied in the analysis yielding impulse responses and decompositions of...

Historically, the US Dollar had been accepted as the strongest currency and it had no competition at the regional or global level. But inception of Euro changed this unique stature and status enjoyed by USD. With introduction of Euro as the common currency, the European Union became USA’s...

We identify the benefits and costs of financial openness in terms of currency crises based on a novel quantification of the systemic impact of currency (financial) crises. We find that systemic currency crises mainly exist regionally, and that financial openness helps diminish the probability of...

This paper examines the macroeconomic impact of the Asset Purchase Programme (APP) in the euro area on the basis of a set of macro-finance variables included in a Dynamic Nelson–Siegel modelling framework. The empirical results emphasise the role of the APP’s portfolio balance channel in...

There are marked differences in the effect of increases in monetary aggregates in China, Japan and the U.S. on Euro area economic and financial variables over 1999-2012. Increases in monetary aggregates in China are associated with significant increases in the world price of commodities and with...

There are marked differences in the effect of increases in monetary aggregates ‎in China, Japan ‎and the U.S. on Euro area economic and financial variables over 1999-2012. Increases in ‎monetary aggregates ‎in China are associated with significant increases in the world price of...

Our paper follows the "Time Varying Parameter VAR with Stochastic Volatility" (TVP VAR) approach developed by Primiceri (2005): Bayesian estimation with time varying coefficients and stochastic volatility. Our paper contributes to the literature by examining if the impact of monetary and...

This paper investigates whether the Purchasing Power Parity (PPP) and the Uncovered Interest Rate Parity (UIP) hold for the Peruvian economy. We analyze Peruvian, international and trade-weighted foreign data for the period 1997 - 2011 using Johansen's cointegration approach. The results of our...

The issue of exchange rate pass-through has raised interest in international economy, a necessary step for adopting an adequate monetary policy, which accentuated in 2000 given its impacts on the monetary policy. Yet, on the academic level, research attempts at studying small open economy in a...

This study investigates the effect of the degree of currency substitution on the exchange rate pass-through (ERPT) to import and domestic prices in Turkey, using monthly data between 1998 and 2013. The recursive interacted vector autoregressive (IVAR) specification of Towbin and Weber (2013) is...