658 results on '"FOREIGN exchange rates"'
Search Results
2. How susceptible is the European financial stability to economic policy uncertainty?
- Author
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Orlowski, Lucjan T.
- Subjects
- *
ECONOMIC uncertainty , *ECONOMIC policy , *FINANCIAL security , *ECONOMIC equilibrium , *INTEREST rates , *FOREIGN exchange rates , *FISCAL policy - Abstract
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]
- Published
- 2023
- Full Text
- View/download PDF
3. Investigating the impact of monetary policy on foreign exchange market in Europe during COVID-19 pandemic.
- Author
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Cepoi, Cosmin-Octavian, Dumitrescu, Bogdan Andrei, Georgescu, Georgiana-Camelia, Gherghina, Rodica, and Iacob, Mihaela
- Subjects
FOREIGN exchange market ,COVID-19 pandemic ,MONETARY policy ,INTERNATIONAL relations ,FOREIGN exchange rates ,CENTRAL banking industry - Abstract
In this paper, we investigated how policy rate modifications – the main instrument used by central banks to provide liquidity during the current health crisis – influenced the evolution of the exchange rate, which is a key element within macro-stabilization policies. We documented that foreign exchange markets in European countries responded asymmetrically to monetary policy interventions devoted to the encouragement of spending and the stimulation of the economy. However, this only occurred during extreme events, which is a side-effect of the monetary policy on the foreign exchange market. These results contribute to the assessment of the space for manoeuvres by monetary policymakers regarding key policy rate modifications as a response to pandemic shocks. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
- View/download PDF
4. Modelling and Forecasting of EUR/USD Exchange Rate Using Ensemble Learning Approach.
- Author
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Boyoukliev, Ivaylo V., Kulina, Hristina N., and Gocheva-Ilieva, Snezhana G.
- Subjects
FOREIGN exchange rates ,U.S. dollar ,TIME series analysis ,UNEMPLOYMENT statistics ,HEDGING (Finance) ,PREDICTION models ,FORECASTING - Abstract
The aim of the study is to obtain an accurate result from forecasting the EUR/USD exchange rate. To this end, high-performance machine learning models using CART Ensembles and Bagging method have been developed. Key macroeconomic indicators have been also examined including inflation in Europe and the United States, the index of unemployment in Europe and the United States, and more. Official monthly data in the period from December 1998 to December 2021 have been studied. A careful analysis of the macroeconomic time series has shown that their lagged variables are suitable for model's predictors. CART Ensembles and Bagging predictive models having been built, explaining up to 98.8% of the data with MAPE of 1%. The degree of influence of the considered macroeconomic indicators on the EUR/USD rate has been established. The models have been used for forecasting one-month-ahead. The proposed approach could find a practical application in professional trading, budgeting and currency risk hedging. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
5. Modelling of Returns and Volatility Co-movements of Central European Currencies.
- Author
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Chocholatá, Michaela
- Subjects
- *
PEARSON correlation (Statistics) , *HUNGARIAN forint , *HARD currencies , *COINTEGRATION , *FOREIGN exchange rates - Abstract
This paper studies the returns and volatility co-movements of the selected Central European currencies, namely the Czech koruna, Hungarian forint and Polish zloty against the European euro. The research uses the daily data covering the 15 years' period of membership of these countries in the EU (May 2004 - April 2019). The preliminary analyses based on calculation of the Pearson's unconditional correlations and of crosssectional standard deviation of exchange rate returns are followed by estimation of symmetric diagonal BEKK-GARCH and asymmetric diagonal BEKKGARCH models to assess both the dynamics of conditional volatility and the volatility co-movements of analysed Central European currencies. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
6. Confidence and Economic Activity in Europe.
- Author
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Saccal, Alessandro
- Subjects
ECONOMIC activity ,CONFIDENCE ,EUROZONE ,PANEL analysis ,ECONOMIC shock ,PUBLIC debts ,FOREIGN exchange rates ,PHILLIPS curve - Abstract
This study supplies additional empirical evidence of responses in real economic activity to shocks in confidence. A Structural Vector Autoregression (SVAR), featuring confidence, real consumption and real output, is constructed with respect to the Euro Area (EA) and eight European nations. The results are mixed: responses exhibit reversibility and irreversibility, suggesting the formulation of a theoretical mechanism capable of formalizing such a variety. The potential causes behind confidence in the same nations are, moreover, evaluated through a panel data regression. The results indicate aversion towards output, inflation, unemployment, monetary independence and financial openness, but favor population, exchange rate rigidity and the accumulation of sovereign debt. [ABSTRACT FROM AUTHOR]
- Published
- 2022
7. Exchange rate pass-through to import prices in Europe: a panel cointegration approach.
- Author
-
Arsova, Antonia
- Subjects
EXCHANGE rate pass-through ,COINTEGRATION ,IMPORTS ,FOREIGN exchange rates - Abstract
This paper takes a panel cointegration approach to the estimation of short- and long-run exchange rate pass-through (ERPT) to import prices in the European countries. Although economic theory suggests a long-run relationship between import prices and exchange rate, in recent empirical studies its existence has either been overlooked or it has proven difficult to establish. Resorting to novel tests for panel cointegration, we find support for the equilibrium relationship hypothesis. Exchange rate pass-through elasticities, estimated by two different techniques for cointegrated panel regressions, give insight into the most recent development of the ERPT. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
8. Can a small New Keynesian model of the world economy with risk‐pooling match the facts?
- Author
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Minford, Patrick, Ou, Zhirong, and Zhu, Zheyi
- Subjects
STIMULUS & response (Psychology) ,FREE trade ,INTERNATIONAL trade ,FOREIGN exchange rates - Abstract
We ask whether a model of the US and Europe trading with the rest of the world can match the facts of world behaviour in a powerful indirect inference test. One version has uncovered interest parity (UIP), the other risk‐pooling. Both pass the test but the most probable is risk‐pooling. This is consistent with risk‐pooling failing a number of single‐equation tests, as has been found in past work; we show that these tests will typically reject risk‐pooling when it in fact prevails. World economic behaviour under risk‐pooling shows much stronger spillovers than under UIP with opposite monetary responses to the exchange rate. We argue that the risk‐pooling model therefore demands more attention from policy‐makers. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
9. THE NEXUS BETWEEN THE FEAR OF FLOATING AND EXPENDITURE-SWITCHING EXTERNAL ADJUSTMENT MECHANISM: EMERGING EUROPEAN AND LATIN AMERICAN FLOATERS.
- Author
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Pucar, Emilija Beker
- Subjects
FOREIGN exchange rates ,EMERGING markets ,FOREIGN exchange reserves ,INTEREST rates - Abstract
The focus of this research is the identification of the fear of floating (FOF) problem as a vulnerable ground for employing the exchange rate (ER) as a shock absorber with consequent limitations for expenditure-switching external adjustment mechanism. This research aims to fill the literature gap stressing the connection between FOF and the functioning of expenditure-switching external adjustment mechanism, highlighting the nexus from the viewpoint of emerging European vs. Latin American floaters, as well as from individual emerging European floaters (the Czech Republic, Hungary, Poland, Romania) in the period 2000Q1-2017Q2 with standard and panel VAR analysis. FOF is identified as a stronger reaction of foreign exchange reserves and interest rate to nominal ER shocks, as well as higher variations of real ER explained with price shocks compared to nominal ER shocks. As a confirmation, in countries with expressed FOF current account shock is more transmitted to economic activities (expenditure-reducing external adjustment) rather than nominal ER changes (expenditure-switching mechanism). The results confirm the vulnerable position of European emerging floaters compared to Latin American floaters, bearing in mind the stronger FOF coinciding with the higher currency mismatch. Within the sample of European emerging floaters the most vulnerable position concerning the nexus was detected for Romania, while the most favorable position was found in the case of Poland. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
10. Interest Rate Linkages within the European Monetary System: A Time Series Analysis.
- Author
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Karfakis, Costas J. and Moschos, Demetris M.
- Subjects
MONETARY systems ,FOREIGN exchange rates ,MONETARY policy ,INTEREST rates ,ECONOMIC policy - Abstract
The article focuses on the creation of a system for monetary stability in Europe. The article also discusses the contribution of the European Monetary System (EMS) to the reduction of the exchange rate volatility and the importance of capital controls for the increased volatility of interest rate differentials. It is explained in the article that the goal behind the foundation of the European Monetary System (EMS) in March 1979 was the creation of a system of monetary stability in Europe. The adoption of the EMS is attributed to the reduction of the intra-EMS nominal and real (bilateral and effective) exchange rate volatility relative to the pre-EMS period.
- Published
- 1990
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11. The Exchange Rate and the International Transmission of Business Cycle Disturbances.
- Author
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Choudhri, Ehsan U. and Kochin, Levis A.
- Subjects
FOREIGN exchange rates ,BUSINESS cycles ,GREAT Depression, 1929-1939 ,BUSINESS conditions - Abstract
This article analyzes the relationship between exchange rate and international transmission of business cycle in Europe during the Great Depression. Eight small European countries that followed three different types of exchange rate policies are examined. Researchers focused on small countries to highlight the importance of the exchange rate system in the transmission of exogenous foreign business cycle disturbances. Four of the countries (the Netherlands, Belgium, Italy, and Poland) operated on fixed exchange rates with the United States, causing them to suffer a severe contraction in both output and prices similar to that of the United States. It is noted that Spain enjoyed fairly stable output and prices during the Great Depression by maintaining a flexible exchange rate system.
- Published
- 1980
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12. The Eurodollar Market, Speculation, and Forward Exchange.
- Author
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Willett, Thomas D.
- Subjects
EUROCURRENCY market ,ARBITRAGE ,FOREIGN exchange rates ,MONEY market ,ECONOMIC policy - Abstract
The author discusses the article "A Theoretical and Empirical Analysis of the Eurodollar Market," by Georg Rich. The author's comments are directed primarily to some issues raised in Rich's theoretical and empirical analysis of the Eurodollar market. The author found that the most interesting portion of Rich's paper are his empirical results. The author asserts that the Rich's data should not have a logical contradiction between approximate interest parity and a relative low elasticity of the covered arbitrage schedule, also known as relatively low capital mobility.
- Published
- 1972
- Full Text
- View/download PDF
13. Did Purchasing Power Parity Hold in Medieval Europe?
- Author
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Bell, Adrian R., Brooks, Chris, and Moore, Tony K.
- Subjects
PURCHASING power ,FOREIGN exchange rates ,POUND sterling ,COINTEGRATION ,ECONOMIC policy - Abstract
This paper employs a unique, hand-collected dataset of exchange rates for five major currencies (the lira of Barcelona, the pound sterling of England, the pond groot of Flanders, the florin of Florence and the livre tournois of France) to consider whether the law of one price and purchasing power parity held in Europe during the late fourteenth and early fifteenth centuries. Using single series and panel unit root and stationarity tests and cointegration analysis on 10 real exchange rates between 1383 and 1411, we show that the parity relationship held for the pound sterling and some of the Florentine florin series individually and for almost all of the groups that we investigate. Our findings add to the weight of evidence that trading and arbitrage activities stopped real exchange rates deviating permanently from fair values. This research extends the results reported in other studies back more than 600 years. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
14. Monetary policy spillovers and currency crisis in comparative perspective: East Asia before the 1997 crisis and Eastern Europe after tapering.
- Author
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Kim, Jong‐Hee
- Subjects
MONETARY policy ,EXTERNALITIES ,COMPARATIVE studies ,FINANCIAL crises ,FOREIGN exchange rates - Abstract
This paper estimates the possibility of currency crisis in Eastern Europe that can be triggered by monetary policy change in the key currency countries, such as tapering measure. We examine the crisis possibility in the five Eastern European nations-the Czech Republic, Poland, Hungary, Bulgaria and Romania-by performing a comparative analysis with East Asian countries before the 1997 currency crisis. For the analysis, we estimate how much the exchange rate deviates from the estimated equilibrium exchange rate, as well as the synchronicity of currency value towards some of the key currencies by creating market pressure index. The results can be explained in two ways. First, the market pressure in the Eastern Europe after 2012 is smaller than they were in East Asia before 1997. The crisis possibility especially intensifies when more the exchange rate deviates from the equilibrium value. Second, the monetary policy change in the key currency countries does not greatly affect the crisis possibility in Eastern Europe when their local currencies have the strong synchronisation with euro. Therefore, Eastern European countries show strong synchronicity towards the euro, so the crisis possibility may be alleviated if the Eurozone continues its expansionary monetary policy. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
15. Measuring the end of the European financial crisis.
- Author
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Lin, Ya‐Chi and Yeh, Kuo‐Chun
- Subjects
GLOBAL Financial Crisis, 2008-2009 ,FINANCIAL crises ,FOREIGN exchange rates ,EUROPEAN integration ,EURO ,ECONOMICS - Abstract
In 2013 it was declared that 'the eurozone crisis is over'. However, in fact, the series of financial crises since 2008 may have interrupted the process of EMU enlargement, which in turn triggered a continuing crisis of confidence in the euro. In this paper we extend the sigma-convergence test to provide a more precise understanding of real interest rate parity ( RIP) convergence. On the basis of this, we predict the timing for eliminating the cost of economic asymmetric shocks. Our estimation indicates the RIP among EMU members and accessions were still valid after the disruptions of the 2008 financial crisis. However, the situation has been even worse since the 2010 European sovereign debt crisis, and ceteris paribus, symmetry cannot be achieved without further policy actions. This implies that the EMU authority must do its best to strengthen symmetry and thereby solidify the EMU, at which point it will be better able to re-start the process of enlargement. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
16. On the Nominal and Real Currency Devaluation Nexus in European Transition Economies.
- Author
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Nusair, Salah A
- Subjects
DEVALUATION of currency ,TRANSITION economies ,EXPORTS ,FOREIGN exchange rates - Abstract
An important policy issue facing countries is the effectiveness of nominal currency devaluation in boosting exports and improving the trade balance of the devaluing country. It is argued that nominal devaluation would be effective only if it leads to real devaluation. This paper examines the relationship between nominal and real effective exchange rates for 17 European transition economies to determine whether nominal devaluation leads to real devaluation. Employing the ARDL cointegration test with quarterly data over the period 1994-2013, the results show that while nominal devaluation leads to real devaluation in the short run in all but Estonia, this short-run effect lasts into the long run in only Armenia, Bulgaria, Croatia, Georgia, Hungary, Poland, Romania, and the Czech Republic. Further analysis on sub-samples corresponding to different exchange rate regimes (pre and post ERM II) suggests that different exchange rate regimes may have different impacts on the link between nominal and real devaluations. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
17. Editorials.
- Author
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Parachini, Allan and Shapiro, Bruce
- Subjects
- *
MONETARY systems , *MONETARY policy , *FOREIGN exchange rates , *ECONOMIC policy - Abstract
On paper, the European Monetary System still exists, even if it is barely a shadow of its former self. Until August 2, 1993 the participants in the Exchange Rate Mechanism were so tied together that the variations in their currencies were limited to a maximum of 4.5 percent. Now, except for the mark and the Dutch guilder, they can fluctuate by as much as 30 percent. Whatever face-saving words officials may use, currencies are floating. Euroenthusiasts will object that the arrangement is, in principle, provisional and that this is not the first setback on the road toward Europe's integration.
- Published
- 1993
18. Business Abroad.
- Subjects
BUSINESS ,WAR finance ,EXTERNAL debts ,IMPORTS ,FOREIGN exchange rates - Abstract
This section offers world business news briefs as of November 23, 1932. European countries such as Germany, Italy and Switzerland are all pondering war debts. In Latin America, Mexico is expecting to improve its business industry while new provisions for payment on imports were made by Brazil. The Japanese yen exchange is weak and still hovering near 21 cents.
- Published
- 1932
19. Central Bank Balance Sheet Policies and Inflation Expectations.
- Author
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End, Jan and Pattipeilohy, Christiaan
- Subjects
CENTRAL banking industry ,FINANCIAL statements ,PRICE inflation ,FOREIGN exchange rates ,MONETARY policy - Abstract
We analyse the empirical effects of credit easing and quantitative easing on inflation expectations and exchange rates. Both monetary policy strategies are summarised in measures for composition and size of the central bank balance sheet and are included in a VAR model. The results show that changes in balance sheet size had positive, albeit weak effects on inflation expectations in Japan, while the effects were negligible in the euro area. By contrast, an increasing balance sheet size is associated with reduced short-term inflation expectations in the US and UK, pointing at negative signalling effects. Shocks to balance sheet size or composition have no substantial effects on long-term inflation expectations in the euro area, US and UK. An expanding balance sheet size is associated with a depreciation of the euro, pound sterling and Japanese yen. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
20. Institutions, public debt and growth in Europe.
- Author
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MASUCH, KLAUS, MOSHAMMER, EDMUND, and PIERLUIGI, BEATRICE
- Subjects
PUBLIC debts ,ECONOMIC development ,FOREIGN exchange rates ,PUBLIC administration ,ECONOMIC indicators - Abstract
This paper provides empirical evidence that supports the view that the quality of institutions is an important determinant of long-term growth in European countries. It shows that an initial high government debt level coupled with institutional quality below the EU average tends to be associated with particularly poor longterm real growth performance. Interestingly, the detrimental effect of high debt levels on long-term growth seems cushioned by the presence of very sound institutions. The paper offers some evidence that sound institutions may be particularly important for long-term growth in countries in which the exchange rate tool is no longer available and less so in countries with flexible exchange rate regimes. The empirical findings on the importance of institutions are robust to various measures of output growth, different measures of institutional indicators, different sample sizes, different country groupings and to the inclusions of additional control variables. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
21. Inflation Volatility, Monetary Policy, and Exchange-Rate Regimes in Central and Eastern Europe: Evidence from Parametric and Nonparametric Analyses.
- Author
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Hegerty, Scott W.
- Subjects
MARKET volatility ,MONETARY policy ,FOREIGN exchange rates ,NONPARAMETRIC estimation ,FLOATING rate notes ,ECONOMIC development - Abstract
Years after the fall of Communism, countries in Central and Eastern Europe follow a variety of often-changing exchange-rate and inflation targets. How has inflation behaved under such different regimes? This article compares monthly CPI and PPI inflation for six fixed-rate and four floating-rate currencies before estimating structural breaks in each series. It compares whether the mean and variance differ across the breaks in each series, using parametric and nonparametric tests. Granger causality testing is used to examine spillovers between inflation- and exchange-rate volatility. Overall, time-series properties differ across series and regimes, with the Balkans most susceptible to spillovers between exchange-rate and inflation volatility. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
22. US Exposure Is Next Headache for Europe Inc. as Dollar Slides.
- Author
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Atkins, Alice
- Subjects
FOREIGN exchange rates ,INVESTORS ,EXCHANGE traded funds ,BUSINESS enterprises ,CHIEF financial officers - Abstract
So far, the effect is not fully apparent - despite the euro's 13% gain versus the greenback since its September low, the majority of Stoxx firms have surpassed first-quarter earnings estimates. She is more dubious of broader European stocks' ability to withstand currency pressures, noting that recent euro moves are "more a product of dollar weakness than fundamental strength." (Bloomberg) -- Behind the facade of Europe's forecast-beating company earnings, cracks are appearing as exporters start to feel the pinch from regional exchange rate strength against the dollar. [Extracted from the article]
- Published
- 2023
23. Macroeconomic Environment and Banking Sector Soundness in CEE Countries.
- Author
-
Bilan, Irina and Roman, Angela
- Subjects
BANKING industry ,MACROECONOMICS ,ORGANIZATIONAL change ,EMPIRICAL research ,PRICE inflation ,FOREIGN exchange rates - Abstract
The aim of our paper is to empirically investigate the impact of the changes in macroeconomic environment on the financial soundness of the banking sector (as measured by bank Z-score) in 11 Central and Eastern European countries, over the period 2000-2014. The results of our empirical study indicate that the financial soundness of the banking sector in our sample countries is heavily influenced by unemployment and inflation rates, foreign exchange rate, current account balance, public debt, and financial depth. Overall, our study underlines the crucial importance of ensuring a healthy and sound macroeconomic environment for the financial soundness of banks. Also, our research highlights that, out of all the macroeconomic factors analyzed, the dynamics of bank credit to the private sector is the main risk factor for the soundness of the banking sector in CEE countries, which calls for its rigorous monitoring. [ABSTRACT FROM AUTHOR]
- Published
- 2016
24. Output effects of fiscal stimulus in Central and Eastern European countries.
- Author
-
Combes, Jean-Louis, Minea, Alexandru, Mustea, Lavinia, and Yogo, Thierry
- Subjects
PUBLIC spending ,FISCAL policy ,FOREIGN exchange rates ,ERROR correction (Information theory) ,ECONOMIC development - Abstract
In spite of the rapidly growing research on fiscal multipliers over recent years, little evidence has been so far accumulated in developing and emerging economies. This paper investigates the nature and the size of fiscal multipliers in Central and Eastern European (CEE) countries. Unlike most of the existing literature, we draw upon a panel vector error correction model, which appropriately captures the common long-term path of CEE countries, while allowing for different short-run dynamics, in an integrated setup. Our main results show that the spending multiplier is positive, but low on average. Moreover, its sign, significance and magnitude vary across CEE. Finally, both impulse and cumulative fiscal multipliers are sensitive to a wide range of CEE characteristics, including the exchange rate regime, the level of economic development, the fiscal stance and the openness degree. [ABSTRACT FROM PUBLISHER]
- Published
- 2016
- Full Text
- View/download PDF
25. SOME STYLISED FACTS ABOUT THE EXCHANGE RATE BEHAVIOUR OF CENTRAL EUROPEAN CURRENCIES.
- Author
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Vejmělek, Jan
- Subjects
FOREIGN exchange rates ,NATIONAL currencies - Abstract
The paper investigates developments of exchange rate time series of Central European currencies and tries to find evidence of some stylised facts. Statistical methods and an econometric approach to the univariate time series modelling of high-frequency data, i.e., daily, are used. The main conclusions are as follows: (1) All the CE nominal exchange time series are not stationary: nevertheless, stationarity of all the return time series was confirmed. (2) Volatility clustering was proven and the GARCH modelling approach was successfully applied, including asymmetric modelling of volatility. (3) The more flexible an exchange rate regime is, the more volatile the respective currency. This is true for both nominal and real exchange rates. While nominal volatility is lower than real volatility in a system of fixed or less flexible exchange rates, the opposite is true for flexible systems: exchange rate volatility is higher in nominal terms than in real terms. [ABSTRACT FROM AUTHOR]
- Published
- 2016
- Full Text
- View/download PDF
26. Did foreign banks "cut and run" or stay committed to Emerging Europe during the crises?
- Author
-
Bonin, John P. and Louie, Dana
- Subjects
FOREIGN banking industry ,FINANCIAL crises ,GOVERNMENT ownership of banks ,FOREIGN exchange rates ,EMERGING markets - Abstract
Our objective is to examine empirically the behavior of foreign banks regarding real loan growth during a financial crisis for a set of countries in which these banks dominate the banking sectors due primarily to having taken over large existing former state-owned banks. The eight countries are among the most developed in Emerging Europe, their banking sectors having been modernized by the beginning of the time period. We consider a data period that includes an initial credit boom (2004 - 2007) followed by the global financial crisis (2008 & 2009) and the onset of the Eurozone crisis (2010). Our main innovations with respect to the existing literature on banking during the financial crisis are to include explicit consideration of exchange rate dynamics and to separate foreign banks into two categories, namely, subsidiaries of the Big 6 European MNBs and all other foreign-controlled banks. Our results show that bank lending was impacted adversely by the crisis but that the two types of foreign banks behaved differently. The Big 6 banks remained committed to the region in that their lending behavior was not different from that of domestic banks corroborating the notion that these countries are a "second home market" for these banks. Contrariwise, the other foreign banks were primarily responsible for fueling the credit boom prior to the crisis but then "cut and ran" by decreasing their lending appreciably during the crisis. Our results also indicate different bank behavior in countries with flexible exchange rate regimes from those in the Eurozone. Hence, we conclude that both innovations matter in empirical work on bank behavior during a crisis in the region and may, by extension, be relevant to other small countries in which banking sectors are dominated by foreign financial institutions. [ABSTRACT FROM AUTHOR]
- Published
- 2015
27. CURRENT PROBLEMS OF INFLATION IN THE EUROPEAN AREA.
- Author
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Novak, Marcel
- Subjects
- *
PRICE inflation , *FINANCIAL crises , *FOREIGN exchange rates , *INTEREST rates , *BUSINESS cycles ,ECONOMIC conditions in the Eurozone - Abstract
When some European country willing to aspire to the membership in the Eurozone, at first it must cover the Maastricht convergence criteria, which are divided into fiscal (government deficit, public debt) and monetary (price stability, exchange rate stability, stability of long-term interest rates). The basic requirements for criteria were settled at the time of their formulation in the Protocol to the Treaty of European Union. There was the requirement to ensure a high degree of sustainable economic convergence. Currently, global uncertainty and significant financial fluctuations in the world and off course in Europe, appears to be important question of whether the fulfillment of these nominal criteria is sufficient condition, for the adoption of the common European currency as a guarantee of future success Eurozone membership. The basic objective of the article is through the analysis of monetary convergence criteria - price stability - to assess the merits of sustainability monetary criteria in selected European Union countries. We concluded that it is a certain distortion ability to express reference value determined by developments in the EU member states (and not members of the Eurozone). However, it should ensure price stability as a precondition for the smooth functioning of the euro area, covered by a common monetary policy of the ECB. [ABSTRACT FROM AUTHOR]
- Published
- 2014
28. Learning to live With floating rates.
- Author
-
Williamson, George
- Subjects
FLOATING rate notes ,FOREIGN exchange rates ,BANKING industry ,CUSTOMER relations - Abstract
The article focuses on the learning experience with the currency floating rates in Europe. Banque de Bruxelles chairman Louis Camu has observed the intense crisis that came upon dollar currency in the banking industry and the foreign exchange trading operations. Bernard Lietaer, currency management consultant at Cercle Gaulois, states that companies are providing employees in the exchange markets such as banks are on the move for customer relations in the industry.
- Published
- 1973
29. Macroeconomic Adjustment and Institutional Reforms in the Euro Area.
- Author
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Keuschnigg, Christian and Weyerstrass, Klaus
- Subjects
MACROECONOMICS -- Econometric models ,MONETARY policy ,FOREIGN exchange rates ,PUBLIC debts - Abstract
The introduction of the Euro in 1999 implied the transfer of the responsibility for monetary policy to the European Central Bank and it eliminated the member countries' nominal exchange rates. The smooth operation of a common currency area requires that independent exchange rates are replaced by other adjustment mechanisms. In the Euro area, wages have not been flexible enough, labor mobility is low, no sufficient central fiscal institutions exist, and the fiscal rules have been weak. This led to large external imbalances and high public debt in some countries. Since the outbreak of the economic crisis, macroeconomic reforms resulted in improved international competitiveness and lower public deficits. Several new institutions have been created on the European level, strengthening mutual economic surveillance and cooperation. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
30. EXCHANGE RATES CONNECTIONS TO BUSINESS CYCLES IN CENTRAL AND EASTERN EUROPEAN COUNTRIES.
- Author
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Daniel, Stavárek
- Subjects
MACROECONOMICS ,FOREIGN exchange rates ,MONETARY policy ,FOREIGN exchange accounting ,INTEREST rate parity theorem ,ECONOMIC models - Abstract
This paper aims to fill the gap in existing literature and provide direct empirical evidence on how exchange rates are connected to macroeconomic fundamental variables in ten EU new member states from Central and Eastern Europe. We use cross-correlation on cyclically filtered and seasonally adjusted time series over the period 1998-2010. In average, we found the cyclical properties of exchange rates and other variables as weakly correlated. However, substantial differences among countries and variables were revealed. The only common feature is a generally higher correlation of macroeconomic aggregates with nominal than real effective exchange rate. The results also suggest that the correlation between exchange rate and net export is more pronounced in less open and relatively poorer countries. [ABSTRACT FROM AUTHOR]
- Published
- 2011
31. Interests Or Expectations?: A Political Economy Model Of The Credibility Of Exchange Rate Agreements.
- Author
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Talani, Leila Simona and Fazio, Giorgio
- Subjects
- *
FOREIGN exchange rates , *CAPITAL market - Abstract
This contribution seeks to explain why a country commits itself to fix its exchange rate, and why, at a certain point, the credibility of this commitment may fade triggering the rational expectations of the financial markets to re-orient towards a realignment of the exchange rate, eventually producing speculative attacks.Thus, the following research question will be addressed:Why does a government decide to commit itself to fixed exchange rates? On what is the credibility of this commitment based? Why and when do the markets decide to bet on the lack of credibility of a similar commitment? In this work it is argued that the markets, in deciding whether to attack a currency peg or not, evaluate a wide range of factors, including socio-political and structural ones. In particular, the credibility of an exchange rate agreement, and, therefore, marketsâ expectations about devaluation, are crucially depending on the behaviour and interests of socio-economic actors and interests groups. The main hypothesis to be tested is that an exchange rate peg credibility and resilience to a speculative attack increases, when it receives support from socio-economic groups. Secondly, this effect is greater when the support comes from groups to whom the government can be considered more sensitive. In particular, this research investigates the cases of Italy and UK permanence within the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) between its establishment in 1978 and its end in December 1998 just before the entry in operation of EMU. The analysis is carried out following the literature on speculative attacks (Eichengreen, Rose and Wyplosz, 1995). ..PAT.-Unpublished Manuscript [ABSTRACT FROM AUTHOR]
- Published
- 2008
32. CHAPTER NINE: DECLINING GROWTH, RISING RIGIDITIES.
- Author
-
Eichengreen, Barry
- Subjects
ECONOMIC development ,INTERNATIONAL trade ,FOREIGN exchange rates - Abstract
Chapter Nine of the book "The European Economy Since 1945: Coordinated Capitalism and Beyond," by Barry Eichengreen is presented. It details the decline in European economic growth in 1970s which was pushed further by the collapse of the Smithsonian Agreement and backlash against international trade due to fluctuations in exchange rate. It narrates the slowdown in productivity growth that affected the entire industrial world between the periods 1962-1973 and 1973-1982.
- Published
- 2008
- Full Text
- View/download PDF
33. Europe drives Ferragamo's sales higher.
- Subjects
CORPORATE profits ,LEATHER goods ,GROSS margins ,FOREIGN exchange rates ,STREAM channelization - Abstract
But when using theIFRS16 accounting standard, Ferragamo had a net debt of €248 million. Article Financial Reporting Salvatore Ferragamo reported a growth in sales and profits in the first ninemonths of 2022, thanks to a positive performance in both distributionchannels and a strong increase in revenues in the Europe, Middle East andAfrica (EMEA) business region. [Extracted from the article]
- Published
- 2022
34. PRODUCTION SHARING AND MONETARY POLICY UNDER ERM 2.
- Author
-
Hammermann, Felix
- Subjects
MONETARY policy ,FOREIGN exchange rates ,BUSINESS process outsourcing ,BUSINESS cycles ,BANKING industry - Abstract
Recent empirical papers point to the relevance of outsourcing and offshoring for the transmission of business cycle shocks and thereby for the conduct of monetary policy. This is especially true for the countries that are about to join the euro, who have to stay for two years in the European Exchange Rate Mechanism (ERM 2) and therefore target inflation and the exchange rate simultaneously. These countries are significantly integrated with third countries through the production chain. How do external shocks originating from a third country affect monetary policy under ERM 2? We analyze a third-country technology shock. Our results show that a Taylor rule extended for an exchange rate term is a good simple rule for production sharing via complements as well as substitutes vis-à-vis the third country. Nevertheless, the costs of ERM 2 in terms of a traditional central bank loss function are considerable. [ABSTRACT FROM AUTHOR]
- Published
- 2007
35. HITTING AND HOPING: MEETING THE EXCHANGE RATE AND INFLATION CRITERIA DURING A PERIOD OF NOMINAL CONVERGENCE.
- Author
-
Lewis, John
- Subjects
FOREIGN exchange rates ,PRICE inflation ,EURO ,MONETARY policy - Abstract
This paper analyses the effect of price level convergence on the ability of Central and Eastern European Countries (CEECs) to meet both the inflation and the exchange rate criteria for Eurozone entry. The size of these convergence effects on the exchange rate (for inflation targeters) and for inflation differentials (under a fixed exchange rate) is estimated for a variety of different convergence scenarios. The key result, robust across all scenarios, is that countries with fixed exchange rates will find it much harder to simultaneously meet the criteria than inflation targeters. Convergence effects on inflation could keep countries with fixed exchange rates out of the Euro for a decade or more, whereas under inflation targeting, the 15% bands of ERM-II could provide sufficient room to accommodate convergence effects via the exchange rate. [ABSTRACT FROM AUTHOR]
- Published
- 2007
36. TROUBLED TIMES FOR EUROPEAN TOURISM.
- Author
-
Hamper, David
- Subjects
- *
TOURISM , *BREXIT Referendum, 2016 , *TERRORISM , *CIVIL war , *SOCIAL unrest , *FOREIGN exchange rates - Abstract
The article discusses the challenges faced by the European tourism sector in 2016. Topics mentioned include the political uncertainty and terror faced by the region, such as the Brexit or exit of Great Britain from the European Union and attacks in France, impact of civil war and unrest in North Africa and the Middle East on Europe, as well as the decline in the exchange rate for the British pound.
- Published
- 2016
37. Deviations from Purchasing Power Parity: Causes and Welfare Costs.
- Author
-
Engel, Charles and Rogers, John H.
- Subjects
PURCHASING power parity ,FOREIGN exchange rate risk ,INTERNATIONAL finance ,FOREIGN exchange rates - Abstract
This paper explores deviations from short-run purchasing power parity (PPP) across European cities, attempting to expand research that document very large border effects. This study documents two very distinct types of border effects embedded in relative prices: the "real barriers effect", caused by various barriers to market integration and a sticky-consumer-price cum volatile exchange-rate effect. These border effects are shown to be important empirically, the second type especially so. The authors argue that the two effects are very different from each other and the first type of effect implies deadweight welfare losses. The second type of border effect could be eliminated with fixed exchange rates with welfare not necessarily being increased. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.
- Published
- 2000
38. Tail events in the FX markets since 1740.
- Author
-
Abildgren, Kim
- Subjects
FINANCIAL institutions ,FOREIGN exchange rates ,MARKET equilibrium ,CONTESTABLE markets theory - Abstract
Purpose – The purpose of this paper is to explore the extent of the so-called “small-sample problem” within quantitative exchange-rate risk management. Design/methodology/approach – The authors take a closer look at the frequency distribution of nominal price changes in the European foreign exchange markets. Findings – The analysis clearly illustrates the risk of seriously underestimating the probability and magnitude of tail events when frequency distributions are derived from fairly short data samples. Practical implications – The authors suggest that financial institutions and regulators should have an eye for the long-term historical perspective when designing sensitivity tests or “worst case” scenarios in relation to risk assessments and stress tests. Originality/value – The authors add to the literature by analysing the distribution of nominal exchange-rate fluctuations on the basis of a unique quarterly data set for ten European exchange-rate pairs covering a time span of 273 years constructed by the authors. To the best of the authors' knowledge this is the first study on nominal exchange-rate changes for a large number of exchange-rate pairs based on quarterly data spanning almost three centuries. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
39. EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS.
- Author
-
ABBAS-TURKI, LOKMAN A. and LAMBERTON, DAMIEN
- Subjects
OPTIONS (Finance) ,ECONOMIC models ,PRICES ,APPROXIMATION theory ,FOREIGN exchange rates - Abstract
We study the sensitivity of European option prices with respect to correlation parameters in the multi-asset Heston model. The differentiability of the price function with respect to the correlation is proved by using the regularity of the flow of the Cox-IngersoURoss model. In the bidimensional case and when the Feller condition is satisfied, we establish an asymptotic approximation for the derivative of the price with respect to the correlation for short maturities. This approximation is used to discuss monotony issues for exchange and spread option prices. Monotony properties are also obtained for some values of "the volatility of the volatility parameter" and of the correlation between stock prices and their volatilities. We conclude with a large number of simulations that confirm the theoretical results. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
40. Competing specifications of the gravity equation: a three-way model, bilateral interaction effects, or a dynamic gravity model with time-varying country effects?
- Author
-
Nuroğlu, Elif and Kunst, Robert
- Subjects
GRAVITY model (Social sciences) ,ECONOMIC forecasting ,FOREIGN exchange rates ,MONETARY policy ,ECONOMIC models - Abstract
We investigate bilateral trade flows across the EU-15 countries from 1962 to 2003 by different specifications of the gravity model. We augment the basic gravity model with population and exchange rate variables, and then include time-varying country fixed effects, to account for Anderson and van Wincoop (Am Econ Rev 93(1):170-192, ) multilateral resistance terms. Then, following the previous theoretical derivations of the gravity model in the presence of panel data in a dynamic setting we change the specification of our gravity model. We compare the results of different specifications showing the improvement in each case. We claim the comparative superiority of the dynamic gravity model with time-varying exporter and importer fixed effects due to its higher explanatory power. Finally, we compare out-of-sample forecasting performance of different specifications of the gravity model. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
41. Could and should Britain have Joined the European Exchange Rate Mechanism in 1979? A Personal Memoir.
- Author
-
Franklin, Michael
- Subjects
MONETARY systems ,DECISION making ,ECONOMIC conditions in Great Britain ,FOREIGN exchange rates ,UNEMPLOYMENT - Abstract
The author discusses the creation of the European Monetary System (EMS) in 1979 and the decision making of Great Britain to whether participate in the exchange rate mechanism (ERM) in 1978. Topics include a lecture given by former French President Giscard D'Estaing and German Chancellor Helmut Schmidt at the annual Ditchley Foundation in 1985 on Europe's international monetary system, the unemployment in Europe, and the economic condition of Great Britain.
- Published
- 2013
42. Inspecs lifts HY profits but sees tough trading in Europe.
- Subjects
ECONOMIC forecasting ,FOREIGN exchange rates ,RUSSIAN invasion of Ukraine, 2022- - Published
- 2022
43. Exchange rate pass-through under inflation targeting in transition economies.
- Author
-
Petreski, Marjan
- Subjects
FOREIGN exchange rates ,TRANSITION economies ,PRICE inflation ,FINANCIAL crises - Abstract
This paper assesses whether the exchange rate pass-through in transition economies changed due to inflation targeting and the ongoing crisis. The economies of Central and South Eastern Europe and the Commonwealth of Independent States, of which nine are inflation targeters, are examined over the period 1993-2011. Results suggest that the exchange rate pass-through in transition economies is generally quite high. However, inflation targeters achieved a pass-through that was nearly four times lower and maintained it during the crisis due to their acquired monetary credibility. On the other hand, for non-inflation targeters, the pass-through increased during the crisis, likely due to temporary exchange rate shocks being perceived by agents as permanent. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
44. Competitiveness and German-Dutch Monetary Relations, 1871–1931.
- Author
-
Klemann, Hein A. M.
- Subjects
MONETARY policy -- History ,PRICES ,WAGES ,GOVERNMENT policy on economic competition ,GOLD standard ,RECONSTRUCTION (1914-1939) ,PRICE inflation ,FOREIGN exchange rates ,ECONOMIC conditions in the Netherlands ,GERMAN economy ,HISTORY ,INTERNATIONAL economic relations - Abstract
The article discusses foreign economic relations and monetary policies in Germany and the Netherlands in the late 19th and early 20th centuries. The author focuses on the connection between prices and wages in the context of the Dutch government's efforts to insure the international economic competitiveness of the Netherlands. Aspects considered include the influence of the gold standard, inflation in Germany during the post-World War I reconstruction period, and currency exchange rates between Dutch guilders and German marks.
- Published
- 2013
- Full Text
- View/download PDF
45. Trends in European real exchange rates.
- Author
-
Berka, Martin and Devereux, Michael B.
- Subjects
FOREIGN exchange rates ,MONETARY policy ,PRICES ,ECONOMIC trends - Abstract
We study a newly created panel data set of relative prices for a large number of consumer goods among 31 European countries over a 15-year period. The data set includes eurozone members both before and after the inception of the euro, floating exchange rate countries of Western Europe, and emerging market economies of Eastern and Southern Europe. We find that there is a substantial and continuing deviation from purchasing power parity (PPP) at all levels of aggregation, both for traded and non-traded goods, even among eurozone members. Real exchange rates (RER) exhibit two clear properties in the sample (a) they are closely tied to gross domestic product (GDP) per capita relative to the European average, at all levels of aggregation and for both cross country time series variation; (b) they are highly positively correlated with variation in the relative price of non-traded goods. We then construct a simple two-sector endowment economy model of real exchange rate determination which exhibits these two properties, calibrated to match the data. Simulating the model using the historical relative GDP per capita for each country, we find that for most countries, there is a close fit between the actual and simulated real exchange rate. In terms of policy relevance, the model can offer suggestions of the degree to which real exchange rates in Europe (both in and out of the eurozone) have been overvalued (by approximately 15% in Greece and Portugal and 6% in Italy and Spain). -Martin Berka and Michael B. Devereux [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
46. Monetary Determinants of Deposit Euroization in European Post-Transition Countries.
- Author
-
Tkalec, Marina
- Subjects
MONETARY policy ,FOREIGN exchange rates ,INTEREST rates ,BANK deposits - Abstract
This paper investigates the long-run and short-run relationship between deposit euroization in twelve European post-transition economies and two determinants of deposit euroization that are under the influence of monetary policy: the exchange rate and the interest rate differential. The link between deposit euroization, exchange rates and interest rate differentials is investigated using Johansen cointegration and error correction models for each country separately. The results suggest that changes in both monetary drivers have significant effects on deposit euroization and are therefore important for explaining and fighting deposit euroization. Differences between exchange rate regimes, fixed and managed vs. floating, seem to matter for deposit euroization. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
47. Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers
- Author
-
Alsakka, Rasha and ap Gwilym, Owain
- Subjects
- *
RATING agencies (Finance) , *EUROPEAN Sovereign Debt Crisis, 2009-2018 , *EXTERNALITIES , *FINANCIAL crises , *CREDIT ratings , *FOREIGN exchange market , *FOREIGN exchange rates - Abstract
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]
- Published
- 2013
- Full Text
- View/download PDF
48. A Continuous-Time Model for Valuing Foreign Exchange Options.
- Author
-
Kung, James J.
- Subjects
- *
CONTINUOUS time models , *FOREIGN exchange rates , *OPTIONS (Finance) , *PARAMETER estimation , *VALUATION , *STOCHASTIC systems - Abstract
This paper makes use of stochastic calculus to develop a continuous-timemodel for valuing European options on foreign exchange (FX) when both domestic and foreign spot rates follow a generalizedWiener process. Using the dollar/euro exchange rate as input for parameter estimation and employing our FX option model as a yardstick, we find that the traditional Garman-Kohlhagen FX option model, which assumes constant spot rates, values incorrectly calls and puts for different values of the ratio of exchange rate to exercise price. Specifically, it undervalues calls when the ratio is between 0.70 and 1.08, and it overvalues calls when the ratio is between 1.18 and 1.30, whereas it overvalues puts when the ratio is between 0.70 and 0.82, and it undervalues puts when the ratio is between 0.86 and 1.30. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
49. A NOTE ON TIME VARIATION IN A FORWARD-LOOKING MONETARY POLICY RULE: EVIDENCE FROM EUROPEAN COUNTRIES.
- Author
-
Kishor, N. Kundan
- Subjects
MONETARY policy ,TIME-varying systems ,FOREIGN exchange rates ,CENTRAL banking industry ,NONLINEAR theories ,ECONOMIC models ,PRICE inflation ,HETEROSCEDASTICITY - Abstract
This paper estimates time-varying forward-looking monetary policy reaction functions for the central banks of France, Germany, Italy, and the United Kingdom. We utilize the framework developed by Kim [Economics Letters 91 (2006) 21–26] and Kim and Nelson [Journal of Monetary Economics (2006) 1949–1966] to deal with the issue of endogeneity in a time varying–parameter model. Our results find substantial time variation in the conduct of monetary policy in these four countries, which cannot be adequately captured by the conventional fixed-coefficient approach. Our findings suggest that there was a significant decline in the Bank of France's and the Bank of Italy's response to the German interest rate in 1992, and it coincided with the breakdown of the exchange rate management system in Europe. Our results suggest that the Bank of England was slower than the Bundesbank to increase its response to expected inflation, as its response to inflation became more than one-for-one only in the early 1980s. [ABSTRACT FROM PUBLISHER]
- Published
- 2012
- Full Text
- View/download PDF
50. A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti-herding.
- Author
-
Pierdzioch, Christian, Rülke, Jan-Christoph, and Stadtmann, Georg
- Subjects
ECONOMIC forecasting ,EMERGING markets ,FOREIGN exchange rates ,ECONOMIC surveys ,FUTUROLOGISTS - Abstract
Using survey forecasts of a large number of Asian, European, and South American emerging market exchange rates, we studied empirically whether evidence of herding or anti-herding behavior of exchange-rate forecasters can be detected in the cross-section of forecasts. Emerging market exchange-rate forecasts are consistent with herding (anti-herding) if forecasts are biased towards (away from) the consensus forecast. Our empirical findings provide strong evidence of anti-herding of emerging market exchange-rate forecasters. [ABSTRACT FROM AUTHOR]
- Published
- 2012
- Full Text
- View/download PDF
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