Search Results

Contagion of Currency Crises across Unrelated Countries without Common Lender,
Kenshi Taketa, from Econometric Society (2004)
Keywords: Contagion; Currency Crises; Global Game

A Large Speculator in Contagious Currency Crises,
Kenshi Taketa, from Econometric Society (2004)
Keywords: Contagion; Currency Crises; George Soros; Global Game

Trading Blocs and Foreign Direct Investment: Endogenous Coalition Structure,
Hyejoon Im, from Econometric Society (2004)
Keywords: trading blocs, multinational corporations, FDI, coalition formation game

A Spurious Regression Approach to Estimating Structural Parameters,
Chi-Young Choi; Ling Hu; Masao Ogaki, from Econometric Society (2004)
Keywords: Spurious regression, GLS correction method

The Empirical Relationship Between Exchange Rates and Interest Rates in Post-Crisis Asia,
Hwee Kwan CHOW & Yoonbai KIM, from Econometric Society (2004)
Keywords: exchange rate, interest rate, bivariate VAR-GARCH, causation in volatilities

Short Memory and the PPP-puzzle,
Deockhyun Ryu and Mahmoud El-Gamal, from Econometric Society (2004)
Keywords: PPP-puzzle;half-life;SMD;SMM;phi-mixing;persistence measure;cross-validation;non-parametric times series analysis;Markov models

Overseas Entry Decision and Ownership Strategy of Japanese Companies: Institution and Corporate Governance,
Sung Jin Kang, from Econometric Society (2004)
Keywords: Sample selection bias; Entry decision; Ownership strategy; Corporate governance; Institution

Capital Control, Speculation and Exchange Rate Volatility,
Mei-Lie Chu, from Econometric Society (2004)
Keywords: Capital Controls, Speculation, Exchange Rate Volatility

The effect of exchange rate uncertainty on US imports from the UK: Consistent OLS estimation with volatility measured by an ARCH-type model,
Jan Podivinsky, Chongcheul Cheong and Maozu Lu, from Econometric Society (2004)
Keywords: ARCH model; Consistent OLS estimation; Generated regressors;

Evolutionary Forces in a Banking System with Speculation and System Risk,
Shirley Ho, from Econometric Society (2004)
Keywords: speculative run, evolution process, random mutations, portfolio management, system risk, equilibrium selection, long run stability

Exchange Rate Volatility and Trade among the Asia Pacific Countries,
SaangJoon Baak, from Econometric Society (2004)
Keywords: Exchange rate volatility, Export, Asia Pacific region, APEC, Gravity model

Exchange Rate Based Stabilization with Sudden Restrictions on Capital Flows,
Chetan Subramanian and Jungsoo Park, from Econometric Society (2004)
Keywords: Exchange rate, inflation, capital flows, borrowing constraints

Economic Fundamentals on Exchange Rates under Different Exchange Rate Regimes,
Byung-Joo Lee, from Econometric Society (2004)
Keywords: Korean exchange rate, Flexible exchange rate regime, Exchange rate path-through

Agency costs and asymmetric information in a small open economy: a dynamic general equilibrium model,
Kunhong Kim and Iris Claus, from Econometric Society (2004)
Keywords: open economy, agency costs, asymmetric information, dynamic general equlibrium analysis

World financial liberalization and its effects on capital flows,
José Ricardo Santana & Fernando Garcia, from Econometric Society (2004)
Keywords: Liberalization, Capital flows, FDI, determinants of capital flows

Migration, Trade and FDI in Mexico,
William Maloney and Patricio Aroca, from Econometric Society (2004)
Keywords: Migration, Labor Market adjustment

Optimal Fear of Floating: The Role of Currency Mismatches and Fiscal Constraints,
Eduardo J. J. Ganapolsky, from Econometric Society (2004)
Keywords: exchange rates, floating, currency mismatch, optimal policy

Sterilization of Capital Inflows and Balance of Payments Crises,
Marcos Buscaglia, from Econometric Society (2004)
Keywords: Balance of Payments Crises; Sterilization of Capital Inflows; Mexican Crisis

La demanda de dinero en Uruguay: 1980.1-2002.4,
Elizabeth Bucacos and Gerardo Licandro, from Econometric Society (2004)
Keywords: Demand for money, Uruguay

Sovereign Debt: Default, Market Sanction, and Bailout,
Paulo Augusto P. de Britto, from Econometric Society (2004)
Keywords: sovereign debt, default, bailout, creadible threat, market sanction

Currency Substitution, Portfolio Diversification and Money Demand,
Miguel de Freitas, from Econometric Society (2004)
Keywords: Money Demand, Currency Substitution, Dollarisation, Portfolio Choice.

International Technology Diffusion and the Demand for Skilled Labor: Evidence from East Asia and Latin America,
Ana Margarida Fernandez and Pablo Fajnzylber, from Econometric Society (2004)
Keywords: skilled labor, technology diffusion, foreign direct investment, exports

Optimal Monetary Policy under Asset Market Segmentation,
Rajesh Singh, Amartya Lahiri and Carlos Vegh, from Econometric Society (2004)
Keywords: Optimal monetary policy, asset market segmentation

International linkage of real interest rates: the case of East Asian countries,
Jae Kim and Philip Inyeob Ji, from Econometric Society (2004)
Keywords: Financial linkage; Real interest rate parity; Cointegration analysis; Wild bootstrap

The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model,
Jan Podivinsky, Chongcheul Cheong and Maozu Lu, from Econometric Society (2004)
Keywords: ARCH model; Consistent estimation; Generated regressors; Volatility

A Simple Dynamic Model of Big-push,
Ian H.K. Leow, from Econometric Society (2004)
Keywords: big-push, economic development, industrialization, financial crisis

Uncertainty and the open economy: a view through two different lenses,
Kirdan Lees, from Econometric Society (2004)
Keywords: Uncertainty; Open economy; Bayesian; robust control

Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka,
Guneratne Wickremasinghe, from Econometric Society (2004)
Keywords: Real exchange rates, Sri Lanka, Purchasing power parity, ERS tes

Spillover Effects of Fiscal Policy Under Flexible Exchange Rates,
Dirk Steffen and Ingo Pitterle, from Econometric Society (2004)
Keywords: Fiscal Shocks, Cash-in-Advance, Pricing-to-Market, Home Bias

Nonlinear Modelling of Purchasing Power Parity in Indonesia,
Param Silvapulle, Titi Kanti Lestari and Jae Kim, from Econometric Society (2004)
Keywords: Purchasing Power Parity, ESTAR model, Mean-reversion

Exchange Rate Regimes for the New Member States of the European Union,
Ramón Maria-Dolores and José García-Solanes, from Econometric Society (2004)
Keywords: EU enlargment, exchange rate systems, SVAR, European monetary integration

Why are poor countries poor?,
Daniel Cohen; Marcelo Soto, from Econometric Society (2004)
Keywords: Human capital, capital flows, Lucas Paradox

Measuring Spillovers from Alternative Forms of Foreign Investment,
Alicia Rambaldi, Kris Iyer and K., from Econometric Society (2004)
Keywords: foreign direct, portfolio and other investment; spillovers; stochastic production frontier; OECD;

External Shocks and Monetary Policy: Does it Pay to Respond to Exchange Rate Deviations?,
Rodrigo Caputo, from Econometric Society (2004)
Keywords: Structural Macromodel, Monetary Policy Rules, GMM.

Sudden Stops and Liability Dollarization: Evidence from East Asian Financial Intermediaries,
Timothy Chue and David Cook, from Econometric Society (2004)
Keywords: Stops, Liability Dollarization, Financial Intermediaries, Asian Financial Crisis.

The Markovian Dynamics of "Smart Money",
Steffi Yang J-H, from Econometric Society (2004)
Keywords: markov model, fund styles, drawdown, capital movement

The Impact of Exchange Rate Regimes on Real Exchange Rates: ABC and Mexico in the 1990s,
Nanno Mulder and Anne-Laure Baldi, from Econometric Society (2004)
Keywords: Real exchange rates, determinants, Exchange rate regimes, Latin America

An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model,
Joaquim Andrade and Vladimir Teles, from Econometric Society (2004)
Keywords: beta risk, country risk

Exchange Rates, Inflation and Monetary Policy Objectives in Open Economies: The Experience of Chile,
Rodrigo Caputo, from Econometric Society (2004)
Keywords: Monetary Policy, Open Economy, GMM Estimation of Policy Reaction Function

Credit Constraints and Macroeconomic Instability in a Small Open Economy,
Luis Felipe Céspedes, from Econometric Society (2004)
Keywords: Exchange rates, credit constraints, open economy.

Mean Reversion of Real Exchange Rates and Purchasing Power Parity in Turkey,
Joseph Alba and Donghyun Park, from Econometric Society (2004)
Keywords: Turkey, purchasing power parity, real exchange rate, unit root, non-linearity

Granger Causality Among Pre-Crisis East Asian Exchange Rates,
Joseph Alba and Donghyun Park, from Econometric Society (2004)
Keywords: Causality, exchange rate, East Asia, contagion, crisis

EXTREMAL DEPENDENCE IN EXCHANGE RATE MARKETS,
Viviana Fernandez, from Econometric Society (2004)
Keywords: extremal dependence, DVEC models

Simple Monetary Policy Rules for Developing Countries,
Juan Medina and Ruy Lama, from Econometric Society (2004)
Keywords: Monetary Policy, Nontradable goods, Welfare Costs, Staggered Prices, Small Open Economy

That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds,
Susan Thorp, from Econometric Society (2004)
Keywords: currency hedging; portfolio allocation; stochastic dominance

A simple theoretical framework for the analysis of liability dollarization,
Daniel Heymann - Enrique Kawamura, from Econometric Society (2004)
Keywords: Liability Dollarization, Nominal and Real Shocks.

Productivity of Nations: a stochastic frontier approach to TFP decomposition,
Fernando Garcia and Jorge Pires, from Econometric Society (2004)
Keywords: Total factor productivity, stochastic frontiers, technical change, technical efficiency, allocative efficiency, scale efficiency, convergence

Extreme Value Theory and the Incidence of Currency Crises,
Reza Siregar, Victor Pontines and Ramkishen Rajan,, from Econometric Society (2004)
Keywords: Extreme Value Theory, Currency Crises, Exchange Market Pressure, East Asia, Latin America

Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market,
Young-Kyu Moh and Nelson Mark, from Econometric Society (2004)
Keywords: Forward premium anomaly, foreign exchange intervention

Empirical Modelling of Contagion: A Review of Methodologies,
Vance Martin, Brenda Gonzalez-Hermosillo,, Mardi Dungey and Renee Fry-McKibbin, from Econometric Society (2004)
Keywords: Contagion, Financial Crises

Empirical Modelling of Contagion: A Review of Methodologies,
Vance Martin, Mardi Dungey and M., from Econometric Society (2004)
Keywords: Contagion, Financial Crises

Confidence bounds for the extremum determined by a quadratic regression,
Jeanette Lye and Joseph Hirschberg, from Econometric Society (2004)
Keywords: Turning Point, Fieller interval, U-shaped

Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?,
Dimitrios Thomakos and Prasad Bhattacharya, from Econometric Society (2004)
Keywords: Forecasting, Vector Autoregression, Non-linear Models, Inflation, Exchange Rates, Pass-Through Effect

The Role of Firm Size in Controlling Output Volatility during the Asian Financial Crisis,
Hung-Ju Chen, from Econometric Society (2004)
Keywords: Asian financial crisis; Firm size; Credit constraints; Risk premiums

Who Bears the Cost of a Change in the Exchange Rate?,
Rebecca Hellerstein, from Econometric Society (2004)
Keywords: exchange-rate pass-through: cross-border vertical contracts

Fear of Sudden Stops: lessons from Australia and Chile,
Jonathan Kearns, Ricardo Caballero and Kevin Cowan, from Econometric Society (2004)
Keywords: sudden stops

A Time Series Model for an Exchange Rate in a Target Zone with Applications,
Timo Teräsvirta, from Econometric Society (2004)
Keywords: target zone model, cycles

On the Role of Local Content Requirement in Defusing the Threat of Quid-Pro-Quo FDI,
Jung Hur & Yohanes E. Riyanto, from Econometric Society (2004)
Keywords: tariff, local content requirement, export, quid-pro-quo foreign direct investment

Technology Differences and Capital Flows,
Sebastian Claro, from Econometric Society (2004)
Keywords: TEchnology Differences, Capital Flows, International Factor Price Differences

Optimal Inflation in an Open Economy,
David Arseneau, from Econometric Society (2004)
Keywords: Optimal Monetary Policy, Friedman Rule, Policy Coordination

Economic Fluctuations in Central and Eastern Europe. The Facts,
Attila Rã Tfai and BENCZÚR Pã‰ter, from Econometric Society (2004)
Keywords: business cycle facts

Models of foreign exchange intervention: Estimation and testing,
Douglas Hodgson, from Econometric Society (2004)
Keywords: Central bank intervention, nonlinear simultaneous equations, time series, semiparametric methods

FINANCIAL DOLLARIZATION: Evaluating the consequences,
Eduardo Levy-Yeyati, from Econometric Society (2004)
Keywords: dollarization

Country Insurance,
Tito Cordella and Eduardo Levy Yeyati, from Econometric Society (2004)
Keywords: Financial Crises, Bailouts, Moral Hazard, Insurance Effect,

Optimal Devaluations,
Juan Pablo Nicolini and Constantino Hevia, from Econometric Society (2004)
Keywords: Devaluations, Ramsey allocation

Currency Mismatch, Uncertainty and Debt Structure,
Winfried Koeniger, Matthieu Bussiere and Marcel Fratzscher, from Econometric Society (2004)
Keywords: maturity mismatch, currency mismatch, debt, emerging markets

Could the Exchange Rate Regime Reduce Macroeconomic Volatility?,
Jorge Carrera and Diego Bastourre, from Econometric Society (2004)
Keywords: real volatility, exchange rate regime, panel data