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Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Common Volatility Trends in the Central and Eastern European Currencies and the Euro »

Source: Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Volume/Issue: 2006/206

Series: IMF Working Papers

Author(s): Marcus Pramor , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864663

Keywords: exchange rate, volatility, GARCH, convergence, Central Europe, currency markets, correlations, equation, Financial Aspects of Economic Integration,

How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find...

The Effect of the ERMon Participating Economies

The Effect of the ERMon Participating Economies »

Source: The Effect of the ERMon Participating Economies

Volume/Issue: 1991/86

Series: IMF Working Papers

Author(s): Tamim Bayoumi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1991

ISBN: 9781451953725

Keywords: exchange rate, correlation, fixed exchange rate, correlations, exchange rate regime

The effect of membership of the ERM on macroeconomic performance is analyzed using vector autoregression techniques. The results indicate that while the ERM has had little effect on the nature of the shocks hitting...

The Euro and the Production Structure and Export Performance of Middle East and North African Countries

The Euro and the Production Structure and Export Performance of Middle East and North African Countries »

Source: The Euro and the Production Structure and Export Performance of Middle East and North African Countries

Volume/Issue: 1999/12

Series: IMF Working Papers

Author(s): Jean-François Ruhashyankiko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1999

ISBN: 9781451842883

Keywords: euro, exchange rate, production structure, export performance, equation, standard errors, statistics, correlation

This paper explores the link between exchange rate volatility of European currencies and economic performance of several countries in the Middle East and North Africa (MENA). The elimination of intra euro-zone exch...

Filtering the Beer

Filtering the Beer »

Source: Filtering the Beer : A Permanent and Transitory Decomposition

Volume/Issue: 2000/144

Series: IMF Working Papers

Author(s): Peter Clark , and Ronald MacDonald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2000

ISBN: 9781451856439

Keywords: Real exchange rates, equilibrium exchange rates, exchange rate, exchange rates, real exchange rate, correlation, effective exchange rates

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fu...

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption »

Source: Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters

Volume/Issue: 2004/16

Series: IMF Working Papers

Author(s): Istvan Szekely , and Ádám Kóbor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2004

ISBN: 9781451843439

Keywords: Markov regime-switching model, EU accession countries, probability, exchange rate, correlations, foreign exchange, probabilities, Econometric and Statistical Methods: General, General Financial Markets: General (includes Measurement and Data), Slovakia,

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-vol...

The Forward Premium Puzzle Revisited

The Forward Premium Puzzle Revisited »

Source: The Forward Premium Puzzle Revisited

Volume/Issue: 2002/28

Series: IMF Working Papers

Author(s): Guy Meredith , and Yue Ma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2002

ISBN: 9781451844672

Keywords: forward premium puzzle, uncovered interest parity, exchange rate, equation, correlation, exchange rate changes, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation, Open Economy Macroeconomics,

The forward premium is a notoriously poor predictor of exchange rate movements. This failure must reflect deviations from risk neutrality and/or rational expectations. In addition, a mechanism is needed that genera...

GCC Monetary Union and the Degree of Macroeconomic Policy Coordination

GCC Monetary Union and the Degree of Macroeconomic Policy Coordination »

Source: GCC Monetary Union and the Degree of Macroeconomic Policy Coordination

Volume/Issue: 2007/249

Series: IMF Working Papers

Author(s): Bassem Kamar , and Samy Ben Naceur

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451868128

Keywords: Models with panel data, central banks and their policies, analysis of fiscal and monetary policy, economic integration, policy coordination and transmission, exchange rate, real exchange rate, correlation, exchange rates, cointegration,

Coordinating macroeconomic policies is a pre-requisite to a successful launch of the common currency in the GCC countries. Relying on the Behavioral Equilibrium Exchange Rate approach as a theoretical framework, we...

A Perspectiveon Predicting Currency Crises

A Perspectiveon Predicting Currency Crises »

Volume/Issue: 2010/227

Series: IMF Working Papers

Author(s): Robert Flood , Juan Yepez , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2010

DOI: http://dx.doi.org/10.5089/9781455208920.001

ISBN: 9781455208920

Keywords: Speculative attacks, fixed exchange rate, Monte Carlo, probabilities, standard deviation, probability, correlation,

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment des...

Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Common Volatility Trends in the Central and Eastern European Currencies and the Euro »

Volume/Issue: 2006/206

Series: IMF Working Papers

Author(s): Marcus Pramor , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

DOI: http://dx.doi.org/10.5089/9781451864663.001

ISBN: 9781451864663

Keywords: exchange rate, volatility, GARCH, convergence, Central Europe, currency markets, correlations, equation, Financial Aspects of Economic Integration,

How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find...

Filtering the Beer
			: A Permanent and Transitory Decomposition

Filtering the Beer : A Permanent and Transitory Decomposition »

Volume/Issue: 2000/144

Series: IMF Working Papers

Author(s): Peter Clark , and Ronald MacDonald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2000

DOI: http://dx.doi.org/10.5089/9781451856439.001

ISBN: 9781451856439

Keywords: Real exchange rates, equilibrium exchange rates, exchange rate, exchange rates, real exchange rate, correlation, effective exchange rates

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fu...