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pro vyhledávání: '"jel:F31"'
Autor:
Maurice J Roche, Michael J Moore
We present a simple framework in which both the exchange rates disconnect and forward bias puzzles are simultaneously resolved. The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Hab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c3917357125397c9a767adf532c06941
https://doi.org/10.32920/ryerson.14637912
https://doi.org/10.32920/ryerson.14637912
Publikováno v:
Journal of International Money and Finance. 131:102798
The sovereign debt default and the linkages from banking and currency crisis have been rarely explored in the crisis literature. This study attempts to dive into this unexplored area by applying panel data binary choice model on a sample with 20 emer
In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce468ae91a4697a5aa64243037d41623
For the academic audience, this paper presents the outcome of a well-identified, large change in the monetary policy rule from the lens of a standard New Keynesian model and asks whether the model properly captures the effects. For policymakers, it p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8760f392a4c67c0e2adce427e4698e1d
https://hdl.handle.net/10419/258974
https://hdl.handle.net/10419/258974
Autor:
Wongsaart, Pipat, Gao, Jiti
A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::27defbf35ea0be281b1382ec51dfa9d7
This paper examines real exchange rate responses to shocks in exchange rate determinants for fourteen Asian developing countries. The analysis is based on a panel structural vector error correction model, and the shocks are identified using sign and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19c00c4f67c913494d7141019d3f45e2
This paper investigates international responses of key macroeconomic variables, particularly real exchange rates, to simultaneous shocks to productivity in the traded sector in eight Asian emerging and developing countries. We use panel estimation te
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3a362eaadc12752862e1b62f52589a5f
Autor:
Dumrongrittikul, Taya
This paper investigates empirically the Balassa-Samuelson hypothesis (BSH) using annual data over 1970-2008 from 33 countries grouped into developed and developing countries. The innovative feature of our study is that we introduce a new approach for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c9729049b0c5cf8006573be13e96d98b
Autor:
Michael J Moore, Maurice J Roche
We present a model that simultaneously explains why uncovered interest parity holds for some pairs of countries and not for others. The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8758a1bc184f61221b6e2d1cb4827fb8
https://doi.org/10.32920/ryerson.14637378
https://doi.org/10.32920/ryerson.14637378
Publikováno v:
THE LAHORE JOURNAL OF ECONOMICS. 24:49-72
This paper tests Uncovered Interest Rate Parity (UIP) using LIBOR rates for six major international currencies for the period January 2001 to December 2008. We find that UIP generally holds over a short-term (above 5-months) horizon for individual as