Search results for "Exchange rate"

The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries

2011

Working Paper Gate 09-34; International audience; This paper analyzes the relation between nominal exchange rate volatility and several macroeconomic variables, namely real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel estimations for the period between 1995 and 2008, we find that lower exchange rate volatility is associated with higher growth, higher stocks of FDI, higher current account deficits, and higher excess credit. The results are economically and statistically significant, and robust.

Short-Run Dynamics of the Trade Balance in the EMU-12 Countries

2016

During the pre-EMU period real effective exchange rate or domestic and foreign GDP per capita growth rate differential Granger-caused aggregate trade balance in most of the EMU-12 countries. However, our data-driven paper provides evidence that during the EMU period neither the growth differentials nor the CPI-based real effective exchange rates have Granger-caused the aggregate trade balances. When we decompose the aggregate trade balances into the intra balances (trade balance vis-a-vis the euro area) and the extra balances (trade balance vis-a-vis the rest of the world), we find that typically the change in the dynamics of the aggregate trade balance resulted from a change in the dynamic…

Stock market and exchange rate information in the Taylor rule : Evidence from OECD countries

2017

We analyze the effects of stock market and exchange rate information in a forward-looking Taylor rule for monthly data from 14 OECD countries during the years 1999–2016. Especially the stock market information in the form of dividend but also the currency market information in the form of real exchange rate are revealed to be relevant in Taylor rule for many of the countries examined by helping to strengthen the role of inflation and real economic activity deviations in the policy rule. In many cases the rule also seems to be opportunistic, i.e., the inflation target has been time-varying. peerReviewed

Exchange rate dynamics in black markets

1990

Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC

1996

The aim of this paper is to find some empirical evidence on Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) in the Spanish case vis a vis the European Community for the period 1980–89. The main contribution of the paper is the aggregation of the variables corresponding to the countries that participate in the exchange rate mechanism of the European Monetary System. The results support the importance of the interest differential as an explanatory variable for the short-term adjustment to the PPP. The results follow from powerful estimation techniques, applied in the framework of a multivariate error-correction model using the maximum-likelihood procedure as developed by Joh…

Did the European exchange-rate mechanism contribute to the integration of peripheral countries?

2007

Abstract This paper analyses the effect on trade of the exchange-rate mechanism I by member country. We find that it has contributed to a deeper integration of those peripheral countries that participated in the mechanism for at least several years, providing a lesson for the ten new European Union members.

The exchange rates – indicators for assessing the financial performance of the companies from Romania

2016

Abstract The research aims to determine the financial performance of the companies listed and traded on the Bucharest Stock Exchange from the manufacturing sector in Romania, compared with the performance recorded by the Bucharest Stock Exchange, based on the exchange rates. It was concluded that the financial performance of the companies included in the research, quantified on the basis of the exchange rates, decreased significantly with the arrival of the financial and economic crisis, currently, the companies being unable to reach the level of performance recorded before the crisis.

Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity

2005

Abstract This paper examines whether a monetary policy tightening (i.e., an increase in the domestic interest rate) was successful in defending the exchange rate from speculative pressures during the Asian financial crisis. We estimate a bivariate VECM for four Asian countries, and improve upon existing studies in two important ways. First, by using a long data span we are able to compare the effects of an interest rate rise on the nominal exchange rate during tranquil and turbulent periods. Second, we take into account the endogeneity of interest rates and identify the system by exploiting the heteroscedasticity properties of the relevant time series, following Rigobon [Identification thro…

ON THE HETEROGENEOUS EMPLOYMENT EFFECTS OF OFFSHORING: IDENTIFYING PRODUCTIVITY AND DOWNSIZING CHANNELS

2014

I. INTRODUCTION For the most part of the last two decades Germany suffered from a hangover of the reunification boom, an overvalued exchange rate, high unemployment, and low growth--so The Economist famously named it the "Sick Man of Europe." At the same time, German companies were relocating production, restructuring, and offshoring. The general public associated such offshoring activities--not only in Germany--with plant closures which made the headlines and confirmed the perception that offshoring was a job killer.1 What usually does not make the news is that such downsizing effects of offshoring may be counterbalanced by productivity effects in the restructuring firm. Depending on their…

Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility

2019

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. This paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the U.S. dollar in the time-frequency space using high-frequency intraday data. Special attention is paid to the potential asymmetries in the causal effects between oil and forex markets. The wavelet-based Granger causality method proposed by Olayeni (2016) is applied to quantify the causal relations in the time and frequency domains simultaneously. Moreover, the realized semivariance approach of Barndoff-Nielsen et a…