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Common Volatility Trends in the Central and Eastern European Currencies and the Euro.
Pramor, Marcus - 2006
Intro -- Contents -- I. INTRODUCTION -- II. METHODOLOGY AND DATA -- III. VOLATILITY DYNAMICS IN CENTRAL AND EASTERN …
Persistent link: https://www.econbiz.de/10012691001
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Global Volatility and Forex Returns in East Asia
Kalra, Sanjay - 2008
During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian … increase in mature market equity volatility generated an exchange rate depreciation of up to ½ percent. This sensitivity rose …
Persistent link: https://www.econbiz.de/10012677655
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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
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FX funding risks and exchange rate volatility : Korea’s case
Ree, Jack Joo K.; Yoon, Kyoungsoo; Park, Hail - 2012
This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted …
Persistent link: https://www.econbiz.de/10009679020
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Commodity Prices and Exchange Rate Volatility : Lessons from South Africa's Capital Account Liberalization
Dumitrescu, Elena - 2012
We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980 … volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price … volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of …
Persistent link: https://www.econbiz.de/10012690174
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IMF's Reserves Template and Nominal Exchange Rate Volatility.
Cady, John - 2006
Intro -- Contents -- I. INTRODUCTION -- II. DATA AND ESTIMATION METHODOLOGY -- III. CONCLUSION -- APPENDIX I: DATA …
Persistent link: https://www.econbiz.de/10012690966
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Estimating Equilibrium Exchange Rates for Armenia and Georgia
Ding, Shuang - 2008
The significant real exchange rate appreciation in Armenia and Georgia since 2003, coupled with persistent current account deficits, raises the question of whether real exchange rates have become overvalued. This paper seeks to identify possible exchange rate misalignment by applying the...
Persistent link: https://www.econbiz.de/10012677593
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How Robust are Estimates of Equilibrium Real Exchange Rates : The Case of China
Dunaway, Steven Vincent - 2006
Intro -- Contents -- I. INTRODUCTION -- II. THE MACROECONOMIC BALANCE APPROACH -- III. THE EXTENDED PPP APPROACH: SINGLE-COUNTRY ESTIMATES -- IV. THE EXTENDED PPP APPROACH: PANEL DATA ESTIMATES -- V. CONCLUDING REMARKS -- APPENDIX. METHODOLOGICAL DIFFICULTIES OF DEALING WITH SLOPE HETEROGENEITY...
Persistent link: https://www.econbiz.de/10012690973
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Exchange Rate Misalignment : An Application of the Behavioral Equilibrium Exchange Rate (BEER) to Botswana
Iimi, Atsushi - 2006
-- IV. ANALYTICAL FRAMEWORK -- V. ESTIMATION RESULTS -- VI. DISCUSSION -- VII. CONCLUSION -- EXPERIENCES OF OTHER COUNTRIES …
Persistent link: https://www.econbiz.de/10012691183
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A Quantitative Assessment of Financial Conditions in Asia
Osorio, Carolina; Unsal, D. Filiz; Pongsaparn, Runchana - International Monetary Fund (IMF) - 2011
We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting GDP growth and may be thus used as a leading indicator. Based on the FCI,...
Persistent link: https://www.econbiz.de/10009203540