This article identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialized countries has noted the superior performance of the Fractionally Integrated Generalized...

In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...

We show that sovereign risk premium contains important information about the short run exchange rate dynamics in emerging economies and that net foreign assets play the key role in the link between the two variables: on the one hand, the accumulation of foreign assets reduces the sovereign risk...

This study explores the impact of commodity price volatility on external debt accumulation under fixed, managed, and floating regimes. We estimate dynamic panel data models for 97 countries from 1993 to 2016. Our empirical findings show that commodity price volatility increases external debt...

This paper investigates the cyclicality of international reserves and their role in macroeconomic stabilization. We challenge two widely held assumptions: (1) central banks typically manage IR counter-cyclically—accumulating reserves during booms and drawing them down during downturns; and (2)...

This working paper was written by Yin-wong Cheung (University of California, Santa Cruz) and Kon S. Lai (California State University, Los Angeles).This study investigates whether greater nominal exchange rate flexibility aids real exchange rate adjustment based on data from dual exchange rates...

This paper addresses the merits of using the parallel exchange rate as a guide to setting the official exchange rate. Ideally, policymakers would set the exchange rate at the level that would balance trade and sustainable capital flows--that level is referred to as the equilibrium exchange rate....