Measuring and estimating exchange market pressure in the EU
Article Abstract:
This paper tests the efficiency of dollar exchange rate black-markets for the currencies of six formerly socialist countries of Eastern Europe, under conditions of imperfect information, high transaction costs and pronounced turbulence due to political and economic crisis and reform. We find evidence of volatility spillovers in conditional mean affecting only the markets for the Bulgarian lev and Rumanian lei, and limited evidence of volatility spillovers in conditional variance which imply the possibility of some policy coordination emanating from the Soviet Union. Nevertheless, on balance our results lend broad support to the efficiency of exchange rate black-markets, and to previous results concerning floating exchange rate systems in general. [C] 2001 Elsevier Science Ltd. All rights reserved. JEL classification: G12; F31 Keywords: Exchange rates; Black-markets; Market efficiency; Volatility spillovers
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
The lifetime of a unilateral target zone: some extended results
Article Abstract:
This paper tests the efficiency of dollar exchange rate black-markets for the currencies of six formerly socialist countries of Eastern Europe, under conditions of imperfect information, high transaction costs and pronounced turbulence due to political and economic crisis and reform. We find evidence of volatility spillovers in conditional mean affecting only the markets for the Bulgarian lev and Rumanian lei, and limited evidence of volatility spillovers in conditional variance which imply the possibility of some policy coordination emanating from the Soviet Union. Nevertheless, on balance our results lend broad support to the efficiency of exchange rate black-markets, and to previous results concerning floating exchange rate systems in general. [C] 2001 Elsevier Science Ltd. All rights reserved. JEL classification: G12; F31 Keywords: Exchange rates; Black-markets; Market efficiency; Volatility spillovers
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
Asset pricing and foreign exchange risk: econometric evidence for the G-7
Article Abstract:
The hypothesis that establishes a relationship between excess foreign exchange returns and the two national equity markets' relative risks was validated through the use of an error correction model. The model also confirmed the existence of a risk premium in foreign exchange markets. The occurrence of short-run exchange rate overshooting was implied after evidence of non-monotonic adjustment in some of the equations related to the US dollar was noted.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The width of the band and exchange rate mean-reversion: some further ERM-based results. Exchange rates, financial innovation and divisia money: the sterling/dollar rate 1972-1990
- Abstracts: The realization of the stabilization program will not be enough to surmount the crisis. The crisis of the financial system in Russia
- Abstracts: Credibility of a new monetary regime: the currecny board in Bulgaria. Constructing and estimating a realistic optimizing model of monetary policy
- Abstracts: Political party negotiations, income distribution, and endogenous growth. Transitional dynamics in an R and D based growth model with imitation: comparing its predictions to the data
- Abstracts: The role of debt and bankruptcy statutes in facilitating tacit collusion. Maintenance contracts for leased goods: their role in creating brand loyalty