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Factors Explaining Exchange Rate Volatility in Nigeria : Theory and Empirical Evidence
Aigheyisi, Oziengbe - 2021
The study empirically investigated the factors explaining the volatility of the bilateral exchange rate of the naira to … indicated that volatility of the naira exchange rate was characterised by clustering, strong leverage effect and moderate degree … reserves as well as economic growth were germane to dampening conditional volatility of the country’s exchange rate. It was …
Persistent link: https://www.econbiz.de/10013228105
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Global Value Chains and Effective Exchange Rates at the Country-Sector Level
Patel, Nikhil - 2017
The real effective exchange rate (REER) is one of the most cited statistical constructs in open-economy macroeconomics. We show that the models used to compute these numbers are not rich enough to allow for the rising importance of global value chains. Moreover, because different sectors within...
Persistent link: https://www.econbiz.de/10012956518
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Global value chains and effective exchange rates at the country-sector level
Patel, Nikhil; Wang, Zhi; Wei, Shang-jin - 2017
The real effective exchange rate (REER) is one of the most cited statistical constructs in open-economy macroeconomics. We show that the models used to compute these numbers are not rich enough to allow for the rising importance of global value chains. Moreover, because different sectors within...
Persistent link: https://www.econbiz.de/10011772161
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A model of fickle capital flows and retrenchment : global liquidity creation and reach for safety and yield
Caballero, Ricardo J.; Simsek, Alp - 2016 - This draft: December 8, 2016
We develop a model of gross capital flows and analyze their role in global financial stability. In our model, consistent with the data, when a country experiences asset fire sales, foreign investments exit (fickleness) while domestic investments abroad return home (retrenchment). When countries...
Persistent link: https://www.econbiz.de/10011573237
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Order Flows and the Exchange Rate Disconnect Puzzle
Evans, Martin D. D. - 2011
The aim of this paper is to establish the link between the high frequency dynamics of spot exchange rates and developments in the macroeconomy. To do so, I first present a theoretical model of exchange-rate determination that bridges the gap between existing microstructure and traditional...
Persistent link: https://www.econbiz.de/10013131076
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Exchange Rate Volatility and the Credit Channel in the Emerging Markets : A Vertical Perspective
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2004
Firms in emerging markets are exposed to severe financial frictions and credit constraints, that are exacerbated by the sudden stop of capital inflows. Can monetary policy offset this external credit squeeze? We show that although this may be the case during moderate contractions (or in partial...
Persistent link: https://www.econbiz.de/10014071372
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Exchange Rates and Liquidity Risk
Evans, Martin D.D. - 2020
I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for...
Persistent link: https://www.econbiz.de/10012824202
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International R&D Spillovers and Asset Prices
Gavazzoni, Federico; Santacreu, Ana Maria - 2022
We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing and...
Persistent link: https://www.econbiz.de/10013405369
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Exchange Rates and Wages
Goldberg, Linda S.; Tracy, Joseph S. - 2006
Understanding the effects of exchange rate fluctuations across the population is important for increasingly globalized economies. Previous studies using industry aggregate data have found that industry wages are significantly more responsive than industry employment to exchange rate changes. We...
Persistent link: https://www.econbiz.de/10014135504
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Chapter 7. International Prices and Exchange Rates
Burstein, Ariel; Gopinath, Gita - In: Handbook of international economics : Volume 4, (pp. 391-451). 2014
We survey the recent empirical and theoretical developments in the literature on the relation between prices and exchange rates. After updating some of the major findings in the empirical literature, we present a simple framework to interpret this evidence. We review theoretical models that...
Persistent link: https://www.econbiz.de/10014025379