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This study examines the interdependence and asymmetries in the relationships between the economic policy uncertainty and the selected financial stability variables in Europe. Specifically, the impact of uncertainty on inflation, equity returns, the euro in US dollar exchange rate and interest rates is analyzed. The results show a significant negative impact of shocks in economic policy uncertainty on equity returns in Europe during the examined January 1987 – January 2023 period. Uncertainty shocks affect inflation asymmetrically at different time intervals. Asymmetric responses of interest rates and the exchange rate to uncertainty shocks are also found. The results suggest that economic policies in Europe should encompass efforts to mitigate economic uncertainty. [ABSTRACT FROM AUTHOR]

Abstract: The ongoing financial crisis has drawn considerable attention to the role of credit rating agencies in the financial system. We examine how the foreign exchange market reacts to sovereign credit events prior to (2000–2006) and during the crisis (2006–2010). The sample includes a broad set of countries in Europe and Central Asia in order to investigate spillover effects. We find that rating agencies’ signals do affect the own-country exchange rate and we identify strong spillover effects to other countries’ exchange rates in the region. In both cases, the impact of outlook and watch signals is stronger than the impact of actual rating changes. Market reactions and spillovers are far stronger during the financial crisis period than pre-crisis. Negative news from all three major agencies has an impact, whereas only Moody''s positive news produces a reaction. Negative news from Fitch tends to have the strongest effect. The findings are important in enhancing understanding of the role of rating agencies and the market response to their signals. [Copyright &y& Elsevier]

Abstract: One of the questions that have not received a clear answer by academics yet is if the exchange rate regime choice could influence the economic growth. The success of the stabilization programs based on exchange rates, the pegged exchange rate arrangements brake up in some emerging countries, the current difficulties in the Euro zone show why this topic is still controversial and important. We used OLS and GMM methods to estimate a growth model with dummy variables that isolate the effect of exchange rate regimes on economic growth. The research has been employed on 16 Central and Eastern European countries, where the exchange rate arrangement choice is a key point in the years before Euro adoption. We got statistically significant coefficients for the regime dummy variables, independently of the estimation method. Our results suggest superior effect on economic growth of the floating and intermediate regimes comparing to the fixed arrangements. Although the exchange rate stability is commonly viewed as stimulation for economic growth, it seems that it doesn’t support growth if it was obtained by massive interventions of the monetary authorities to support the exchange rate level. Our surprising result does not explain why a major part of the selected countries adopted hard pegs, although the flexible regimes apparently stimulate growth. It is possible that currency boards are not suitable for long periods of time, but just for a quick economic. [Copyright &y& Elsevier]

Abstract: An almost ideal demand system model is used to examine US demand for tourism in European destinations. The model provides policy makers with useful information concerning the sensitivity of tourism demand to changes in relative prices, exchange rates and expenditure. The results show that price competitiveness is important for US demand for France, Italy and Spain but is relatively unimportant for the UK. France and Italy are regarded as substitutes by US tourists, as are Spain and Italy. As US expenditure rises, the market shares of Spain and the UK decline, while France and Italy benefit. The demand modelling and forecasting indicate that in the absence of a tourism price index, the choice between alternative price indices does not have a significant effect on the results. [Copyright &y& Elsevier]

The aim of this paper is to investigate whether stock prices and exchange rates are related and whether there is evidence of convergence in the structure of this relationship across members of the European Union (EU). We then examine if this relationship differs, depending on whether the system of finance prevalent in a particular country is financial market based or dominated by the banking system. Given the differences between the financial systems in some European countries, the result is of importance to those countries that have joined the European Single Currency and those attempting to converge their economies in preparation for joining at a later date, such as the UK. Stock prices have been used extensively to explain and predict the exchange rate over recent years, as they reflect capital movements between stock markets. Equities have been incorporated into a number of empirical studies of the exchange rate and in general are shown to have a highly significant effect. The exchange rate model used in this study is a simple dynamic bivariate asset parity model, which can be derived from Roll's (1979) model. Following a discussion into the differing nature of the financial systems across the EU, the model and results from the empirical tests are discussed and finally there is a summary and a discussion on the policy implications. [ABSTRACT FROM AUTHOR]

Evaluates issues regarding money integration in Europe. Technique for evaluating the regimes; Type of fixed exchange rate regime; Terms of the variance of the gross domestic product.

Analyzes border costs and real exchange rate dynamics in Europe. Use of Band-TAR estimation; Nature of transaction costs; Development of a donlinear framework.

Through multifractal detrended moving-average cross-correlation analysis (MF-X-DMA) and partial moving-average cross-correlation coefficient analysis (PDMCA), this paper studies power-law cross-correlations between renminbi (RMB) onshore and offshore markets (2013–2018). The interaction between CNY and CNH market pairs was examined with attention to how the floating exchange rate regime reform of August 11, 2015 affects their interactions. The obtained results suggest that net power-law cross-correlations exist between the CNY and CNH exchange markets (with influences of autocorrelation, interest rate difference, US Dollar, and Oil signals removed) and that the August 11, 2015 (referred to as "811") exchange reform significantly affects the trend of multiscale cross-correlation coefficient curves. This study also verifies that the risk of offshore RMB markets in Europe and the UK is larger than in Hong Kong and the US when facing a large shock. The nonlinear causal effect analysis reveals that asymmetric bidirectional nonlinear causality exists between any market pair, and the degree of asymmetry appears to have declined after the 811 exchange rate regime reform. For the offshore RMB markets in the US, Europe, and UK, there is evidence of stronger causality running from the CNH to CNY than vice versa, which implies that the foreign impulses have had an influence on the domestic market, and the floating exchange rate reform effectively improves the RMB exchange rate formation mechanism. • We examine the net power-law cross-correlations between onshore and offshore renminbi exchange markets. • Asymmetric bidirectional causality between the onshore and offshore exchange rates is found. • The floating exchange rate reform effectively improves the RMB exchange rate formation mechanism. [ABSTRACT FROM AUTHOR]