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The First and Second Stage Pass‐Through of Exchange Rates: A Developing Country Perspective 汇率的第一和第二阶段传递:一个发展中国家的视角
ERN: International Finance (Topic) Pub Date : 2014-08-01 DOI: 10.1111/rode.12105
Nusrate Aziz, N. Horsewood, S. Sen
{"title":"The First and Second Stage Pass‐Through of Exchange Rates: A Developing Country Perspective","authors":"Nusrate Aziz, N. Horsewood, S. Sen","doi":"10.1111/rode.12105","DOIUrl":"https://doi.org/10.1111/rode.12105","url":null,"abstract":"This paper investigates the validity of the conventional wisdom that, unlike in developed countries, exchange rate pass-through (ERPT) should be ‘complete’ for developing economies. To test this hypothesis, we construct new variables as well as original data sets, which are not readily available in the literature, and employ an alternative error correction model technique for a typical small open developing economy—Bangladesh. The transmission of exchange rate movements to import prices is found to be ‘complete’; however, the ‘second stage pass-through’ is ‘partial’ both in the short and long run. The response of traded goods prices to exchange rate shocks is found to be significant and larger in the long run compared with the short run. Trade liberalization is also a significant phenomenon for ERPT. The analysis has wider applicability to other small open economies.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115593945","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Economic Growth Risk: The Role of Foreign Development Assistance and Its Uncertainty 经济增长风险:对外发展援助的作用及其不确定性
ERN: International Finance (Topic) Pub Date : 2014-06-26 DOI: 10.2139/ssrn.2459334
V. Sum
{"title":"Economic Growth Risk: The Role of Foreign Development Assistance and Its Uncertainty","authors":"V. Sum","doi":"10.2139/ssrn.2459334","DOIUrl":"https://doi.org/10.2139/ssrn.2459334","url":null,"abstract":"This study is set up to investigate if foreign development assistance and its uncertainty have a joint impact on economic growth risk. Based on the analysis of the average data across 157 countries and territories, the results indicate that, on average, increased foreign development assistance is associated with lower economic growth risk (b = -0.077; p = 0.053), yet increased foreign development assistance uncertainty is significantly linked to higher economic growth risk (b = 0.227; p = 0.000). Foreign development assistance and its uncertainty jointly explain about 11.27% of variation of economic growth risk across countries. The findings provide an important implication for policy debate.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124643991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
International Capital Markets Structure, Preferences and Puzzles: The US-China Case 国际资本市场结构、偏好与困惑:中美案例
ERN: International Finance (Topic) Pub Date : 2014-02-01 DOI: 10.2139/ssrn.2394504
G. Caporale, M. Donadelli, Alessia Varani
{"title":"International Capital Markets Structure, Preferences and Puzzles: The US-China Case","authors":"G. Caporale, M. Donadelli, Alessia Varani","doi":"10.2139/ssrn.2394504","DOIUrl":"https://doi.org/10.2139/ssrn.2394504","url":null,"abstract":"A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the high real exchange rate (RER) volatility relative to consumption volatility (RER volatility puzzle), the negative RER-consumption differentials correlation (Backus-Smith anomaly), the relatively low cross-country consumption correlation (consumption correlation puzzle), the low risk-free rate (risk-free rate puzzle) and the high equity risk premium (equity premium puzzle) in the data. In this paper, we show that instead a two country-two good model with recursive preferences, international complete markets and correlated long-run innovations can address all five puzzles for a relatively large range of parameter values, specifically in the case of the US and China. Therefore, in contrast to other IBC models, its performance does not rely on any financial market imperfections.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125613201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach 适度样本长度的可信格兰杰因果推理:一种跨样本验证方法
ERN: International Finance (Topic) Pub Date : 2014-01-01 DOI: 10.2139/ssrn.2292311
Richard Ashley, K. Tsang
{"title":"Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach","authors":"Richard Ashley, K. Tsang","doi":"10.2139/ssrn.2292311","DOIUrl":"https://doi.org/10.2139/ssrn.2292311","url":null,"abstract":"Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an “in-sample” period – purportedly utilized only for model specification/estimation – and a “post-sample” period, purportedly utilized (only at the end of the analysis) for model validation/testing purposes. This partitioning is usually infeasible, however, with samples of modest length – e.g., T ≤ 150 – as is common in both quarterly data sets and/or in monthly data sets where institutional arrangements vary over time, simply because there is in such cases insufficient data available to credibly accomplish both purposes separately. A cross-sample validation (CSV) testing procedure is proposed below which both eliminates the aforementioned a priori partitioning and which also substantially ameliorates this power versus credibility predicament – preserving most of the power of in-sample testing (by utilizing all of the sample data in the test), while also retaining most of the credibility of post-sample testing (by always basing model forecasts on data not utilized in estimating that particular model’s coefficients). Simulations show that the price paid, in terms of power relative to the in-sample Granger-causality F test, is manageable. An illustrative application is given, to a re-analysis of the Engel andWest [1] study of the causal relationship between macroeconomic fundamentals and the exchange rate; several of their conclusions are changed by our analysis.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126155913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
International Investors, Exchange Rates and Equity Prices 国际投资者，汇率和股票价格
ERN: International Finance (Topic) Pub Date : 2013-12-01 DOI: 10.2139/ssrn.2389964
D. Baur, Isaac Miyakawa
{"title":"International Investors, Exchange Rates and Equity Prices","authors":"D. Baur, Isaac Miyakawa","doi":"10.2139/ssrn.2389964","DOIUrl":"https://doi.org/10.2139/ssrn.2389964","url":null,"abstract":"The correlation between equity returns and currency returns affects the risk of international equity portfolios. We analyze the equity index and currency returns of 53 countries and find that correlations are mainly positive. Negative correlations are found for currencies which play a special role in the global financial system like the US dollar, the Japanese yen, the British pound, the euro and the Swiss franc. Correlations generally increased in recent years and are often larger in extreme equity market conditions. In addition, empirical evidence for an equilibrium relationship between equity returns and currency returns - Uncovered Equity Parity - is only found for a small group of countries. For the majority of countries exchange rates increase the risk of international equity portfolios.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125358165","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Triangular PPP 三角购买力平价
ERN: International Finance (Topic) Pub Date : 2013-11-08 DOI: 10.2139/ssrn.2352018
Peijie Wang, Fangya Xu
{"title":"Triangular PPP","authors":"Peijie Wang, Fangya Xu","doi":"10.2139/ssrn.2352018","DOIUrl":"https://doi.org/10.2139/ssrn.2352018","url":null,"abstract":"We propose a triangular PPP analytical framework in this paper, which is theoretically justified and empirically validated. The peg of the RMB to the US dollar causes a triangular PPP effect that the dollar euro exchange rate is not a function of the relative prices in the US and Euroland; instead, it becomes a function of the relative prices in PRC and Euroland. The results are supportive of triangular PPP for the dollar euro exchange rate in a three-economy world of the US, Euroland and PRC.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127380868","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Foreign Investors and Risk Shocks: Seeking a Safe Haven or Running for the Exit? 外国投资者与风险冲击:寻求避风港还是逃离?
ERN: International Finance (Topic) Pub Date : 2013-10-30 DOI: 10.2139/ssrn.2347459
M. Habib, Livio Stracca
{"title":"Foreign Investors and Risk Shocks: Seeking a Safe Haven or Running for the Exit?","authors":"M. Habib, Livio Stracca","doi":"10.2139/ssrn.2347459","DOIUrl":"https://doi.org/10.2139/ssrn.2347459","url":null,"abstract":"In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks with a more idiosyncratic nature (such as the euro debt crisis) on cross border portfolio flows, taking the perspective of foreign investors. We find robust evidence of systematic portfolio outflows in the wake of both types of shocks. There are no securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived to be high. Nevertheless, especially money market instruments issued by the US, euro area low-yield countries and Japan, as well as securities issued in Switzerland have behaved as safe haven assets in specific episodes or following changes in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not necessarily experiencing portfolio outflows or even attracting inflows for short-term dated securities, as a safe haven country, in those episodes. JEL Classification: G11, G15","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132924710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
On the Dynamics of the HKD Exchange Rate Under Convertibility Undertakings 论可兑换承诺下港元汇率的动态
ERN: International Finance (Topic) Pub Date : 2013-10-10 DOI: 10.2139/ssrn.2338322
H. Yee, N. Dokuchaev
{"title":"On the Dynamics of the HKD Exchange Rate Under Convertibility Undertakings","authors":"H. Yee, N. Dokuchaev","doi":"10.2139/ssrn.2338322","DOIUrl":"https://doi.org/10.2139/ssrn.2338322","url":null,"abstract":"The paper studies the statistical properties of the evolution of the USD/HKD exchange rate during the period after the separation of strong and weak side convertibility undertakings, when the rate is confined to a specified corridor. We suggest a discrete time Markov model for the exchange rate evolution. This model accommodates the empirical exchange rate distribution, associated transition probabilities, and the volatility of the historical exchange rate.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131545310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The First Global Emerging Markets Investor: Foreign & Colonial Investment Trust 1880-1913 第一个全球新兴市场投资者:外国和殖民地投资信托1880-1913
ERN: International Finance (Topic) Pub Date : 2013-07-02 DOI: 10.2139/ssrn.2024921
R. Esteves, D. Chambers
{"title":"The First Global Emerging Markets Investor: Foreign & Colonial Investment Trust 1880-1913","authors":"R. Esteves, D. Chambers","doi":"10.2139/ssrn.2024921","DOIUrl":"https://doi.org/10.2139/ssrn.2024921","url":null,"abstract":"The Foreign and Colonial Investment Trust is the oldest surviving closed end fund, having been established in 1868. Its early success and emulation were related to its identification of a missing market – the provision of a wholesale diversified vehicle for the investing public. This paper is a micro-study of this leading investment trust during the First Era of financial globalisation. The history of this flagship fund over more than three decades provides an insight into the relative success of this financial innovation as well as into the risk and returns of investing in emerging markets over a century ago.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114146529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Risk Exposures and Financial Spillovers in Tranquil and Crisis Times: Bank-Level Evidence 平静时期和危机时期的风险暴露和金融溢出效应:银行层面的证据
ERN: International Finance (Topic) Pub Date : 2013-06-01 DOI: 10.5089/9781484311240.001
H. Poirson, Jochen M. Schmittmann
{"title":"Risk Exposures and Financial Spillovers in Tranquil and Crisis Times: Bank-Level Evidence","authors":"H. Poirson, Jochen M. Schmittmann","doi":"10.5089/9781484311240.001","DOIUrl":"https://doi.org/10.5089/9781484311240.001","url":null,"abstract":"For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any “globalization” of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"320 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115835898","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
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