New evidence on the link between ethnic fractionalization and economic freedom

Economics of Governance - Among the determinants of economic freedom, the presence of different ethnic groups within a country has sometimes been explored by the empirical literature, without...     

汇率制度与经济绩效关系实证研究的新视角

汇率制度与经济绩效的关系是一国进行汇率制度选择的重要依据。传统的研究方法是根据各国官方所宣称的法定汇率制度来探讨两者之间的关系。由于一国所宣称的汇率制度与其实际上所采用的汇率制度之间往往存在着较大的差异 ,一些经济学家提出以实际汇率制度作为计量标准 ,来分析不同汇率制度与经济绩效的关系。这一研究方法的提出不仅开辟了实证研究汇率制度与经济绩效关系的新视角 ,而且还促使人们对汇率制度选择的依据进行重新认识与思考。     

Causality and volatility patterns between gold prices and exchange rates

This paper provides a new perspective on the link between gold prices and exchange rates. Based on gold prices denominated in five different currencies and the related bilateral exchange rates, we put causalities and short-run volatility transmission under closer scrutiny. We provide evidence that the identification of a strong hedge function of gold requires an explicit modeling of the volatility component. For all currencies, exchange rate depreciations initially have a negative impact on the gold price after one day which turns out to be positive after two days in most of the cases. Contrary to previous studies, our results point to a specific role of the dollar in the context of gold-exchange rate relationships: volatility of dollar exchange rates more frequently results in strong hedging functions of gold prices. Furthermore, the gold price denominated in the US dollar tends to increase after a depreciation of the dollar.     

The moderating effect of social capital and environmental dynamism on the link between entrepreneurial orientation and resource acquisition

This study attempts to define the four constructs identified in the title and examine patterns of interaction among them. It begins by demonstrating that entrepreneurial orientation influences resource acquisition. It then puts forward a set of parameters to assess the degree to which two factors identified as social capital and environmental dynamism affect an entrepreneurial orientation resource acquisition equation. The study finds that there are relationships between all four of the constructs, but in three propositions developed in the course of discussion it puts forward issues that may be clarified by future research, which from various angles could show how entrepreneurially oriented firms react differently from more established firms in terms of their acquisition of resources and interaction with social capital and environmental dynamism.     

The nexus between exchange rates and stock markets: evidence from the euro-dollar rate and composite European stock indices using rolling analysis

Both the goods market hypothesis and the portfolio balance theory, suggest a nexus between exchange rates and stock prices, albeit with a different direction of causality. This paper, using daily data, takes up the issue of the linkages between stock prices and exchange rates in the case of the euro-dollar rate and two composite European stock market indices: the FTSE Eurotop 300 and FTSE eTX All-Share Index. It addresses the causal ordering issue between the two markets using rolling unit root, cointegration and Granger causality tests. This methodological approach allows for the emergence of a clearer picture of the possible dynamic linkages between exchange rates and stock prices. The empirical results provide evidence of time-varying causality between the two markets.     

exchange rates and the liverpool six

Professor Tim Congdon, 'the sage of Lombard Street', reviews the possible exchange rate regimes for a medium sized country such as Britain and relates them to the arguments of the 'Liverpool Six'.     

Some empirical evidence on the effects of U.S. monetary policy shocks on cross exchange rates

This paper examines the impact of U.S. monetary policy shocks on the cross exchange rates of sterling, yen and mark. The main finding of the paper is a ‘delayed overshooting’ pattern for all currency cross rates examined (sterling/yen, yen/mark and mark/sterling) following an unexpected U.S. monetary policy change, which in turn generates excess returns. We also provide evidence that the ‘delayed overshooting’ pattern in cross exchange rates is accompanied by asymmetric interventions by central banks in the foreign exchange markets under consideration triggered by a U.S. monetary policy shock.     

Extreme risk spillovers between crude palm oil prices and exchange rates

This study is the first attempt to examine the extreme risk spillovers between Malaysian crude palm oil (CPO) and foreign exchange currencies of the three largest CPO importers: India, the European Union and China throughout the global financial crisis. Using daily data of three currencies, CPO spot and futures from 2000 to 2018, our results show: First, before the crisis, the unexpected change in foreign exchange rates is the primary driver of risk spillover to the CPO market. Second, during the crisis, the extreme movement of CPO spot returns is dominant in the Malaysian exchange rates relative to the euro. Third, after the crisis, the spillover flows from the CPO market to the foreign exchange market. Overall, our findings show the importance of CPO pricing dynamics in mitigating foreign exchange risk over the crisis period. This paper contributes to the extant literature by recognizing the effect of risk spillover on the targeted foreign exchange rate for portfolio allocation.     

Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models

The paper studies the long-run relation and short-run dynamics between real oil prices and real exchange rates in a sample of 13 oil-exporting countries. The purpose of the study is to examine the possibility of Dutch disease in these countries. Tests of cointegration using threshold and momentum-threshold autoregressive (TAR and M-TAR) models suggest the possibility of the disease in 3-out-of 13 countries??Bolivia, Mexico and Norway. For these countries, we also find that (a) oil prices have a long-run effect on the exchange rates; and (b) exchange rates adjust faster to positive deviations from the equilibrium; and (c) there is no evidence of short-run causality between real exchange rates and real oil prices in either direction. Over all, these findings suggest a weak link between oil prices and real exchange rates and thus limited evidence in favor of the Dutch disease.     

Dynamic relationship between stock prices and exchange rates for G-7 countries

There are two major findings from our time-series estimations. First, we find that there is no long-run significant relationship between stock prices and exchange rates in the G-7 countries. This result interfaces with Bahmani-Oskooee and Sohrabian’s (1992) finding, but contrasts with the studies that suggest there be a significant relationship between these two financial variables. Our second finding is that the short-run significant relationship has only been found for one day in certain G-7 countries. For instance, currency depreciation often drags down stock returns in the German financial market, but it stimulates the Canadian and UK markets on the following day. However, an increase in stock price often causes currency depreciation the next day in Italy and Japan. In addition, we also find that the record of stock price and the value of the dollar cannot be depended on when predicting the future in the US, either in the short-run or long-run.     

Oil prices,stock returns,and exchange rates: Empirical evidence from China and the United States

Employing the diagonal BEKK model as well as the dynamic impulse response functions, this study investigates the time-varying trilateral relationships among real oil prices, exchange rate changes, and stock market returns in China and the U.S. from February 1991 to December 2015. We highlight several key observations: (i) oil prices respond positively and significantly to aggregate demand shocks; (ii) positive oil supply shocks adversely and significantly affect the Chinese stock market; (iii) oil price shocks persistently and significantly impact the trade-weighted US dollar index negatively; (iv) the US and China stock markets correlate positively just as the dollar index and the exchange rate does; (v) a significant parallel inverse relation exists between the US stock market and the dollar and between the China stock market and the exchange rate; and (vi) the Chinese stock market is more volatile and responsive to aggregate demand and oil price shocks than the US stock market in recent years.     

On exchange rates and economic growth

Extending Ireland's (1994) model, this paper analyzes an international economy where cash or credit can be used for payment. Foreign trade credit is more costly than its domestic analog. A depreciation of the real exchange rate is associated with an external surplus and a reduced share of imports purchased with credit. Economic growth slows when foreign trade credit becomes the predominant means of payment for international transactions. A country with high inflation exports its Tobin effect and thus temporarily increases world growth.     

A model of dynamic tail dependence between crude oil prices and exchange rates

We explore the tail dependence between crude oil prices and exchange rates via a dynamic quantile association regression model based on the flexible Fourier form. This method allows us to describe the quantile dependence between conditional distributions of assets. We first perform simulation exercises to gauge the estimation precision of our model. We then undertake empirical analyses to examine the dynamic relation between crude oil and nine exchange rates. We reveal a mildly symmetric tail dependence between these two assets but it increases sharply during the Great Recession of 2008. Further robustness check substantiates the baseline results.     

Forecasting the volatility of currency exchange rates

Currency volatility is defined to be the standard deviation of day-to-day changes in the logarithm of the exchange rate. After a discussion of statistical models for exchange rates, the paper describes methods for choosing and assessing volatility forecasts using open, high, low and close prices. Results for DM/$ futures prices at the IMM in Chicago from 1977 to 1983 show high and low prices are valuable when seeking accurate volatility forecasts. The best forecasts are a weighted average of present and past high, low and close prices, with adjustments for weekend and holiday effects. The forecasts can be used to value currency options.     

FDI and credit constraints: Firm-level evidence from China

In this paper, we assess the success of the ongoing financial system reforms in China by investigating the extent to which firms are financially constrained. We focus on the role played by Foreign Direct Investment (FDI) in funding the Chinese corporate sector, and analyze whether incoming foreign investment in China plays an important role in alleviating domestic firms’ credit constraints. Using firm-level data on 1300 domestic companies over the period 2000–2002, we confirm that the development of cross-border relationships with foreign firms helps private domestic firms to bypass both the financial and legal obstacles that they face at home.     

产品内贸易与外商直接投资的关系——理论模型与基于中国数据的经验分析

本文在赫克歇尔-俄林模型基础上建立一个产品内分工的分析框架，把小岛清模型应用到产品内分工上，揭示了产品内分工条件下贸易和投资的互补关系，运用协整方法和误差修正模型，考察了FDI与中国产品内贸易的关系。结果表明，FDI与中国加工贸易进口和加工贸易出口之间均存在长期均衡关系。     

浙江省外商直接投资与环境污染的相关性分析

随着经济全球化程度的加深,外商直接投资与环境之间的关系越发复杂,它们之间究竞存在怎样的相互关系呢?目前,就外商直接投资与环境之间的关系而言,学术界主要存在两种相互对立的观点:一种观点强调,FDI会对环境产生破坏作用,而环境保护又会妨碍FDI的自由流动;另一种观点则以波特假说为依据,认为FDI对环境保护是有益的,环境保护的全球化浪潮也会促进FDI在全球范围内的流动.本文利用浙江省FDI数据和环境相关数据,对FDI与环境污染之间的关系进行了实证分析,结论表明:FDI与各环境污染物之间存在长期的均衡关系:工业废水和二氧化硫与FDI呈正相关,工业固体污染物与FDI呈负相关.     

Spot and forward exchange rates as predictors of future spot rates: trends in exchange market value and the contribution of new information

This study investigates whether or not new information affects the predictive capability of forward and spot foreign exchange rates symmetrically during periods of rising as opposed to falling currency values. Statistically significant different intercept and slope coefficients are found between the periods of U.S. dollar appreciation and U.S. dollar depreciation. Further, the predictive ability of the two models differs between opposite trends in foreign exchange values.     

Time-series properties and predictability of Greek exchange rates

This paper explores the time-series properties and predictability of weekly percentage changes in the Greek drachma exchange rates with respect to the currencies of major trading-partner countries, such as the USA, Germany, the UK, France, Italy and Japan. The analysis is carried out using the EGARCH-M model along with the power exponential distribution. Percentage changes in the Greek drachma with respect to the German mark, the French franc, the Italian lira and Japanese yen are predictable using past information. The volatility of Greek exchange rates is best represented by an EGARCH process and as such is predictable using past volatility measures. Moreover, volatility of the Greek drachma with respect to the German mark and Italian lira positively influences future movements in these exchange rates. The hypothesis that volatility is an asymmetric function of past innovations is rejected in all cases. Following the inclusion of the Greek drachma in the ECU currency basket, its value has been depreciating at a higher rate with respect to the German mark and Italian lira and at a lower rate with respect to the US dollar. Also, its volatility with respect to the German mark, the French franc, and the Italian lira has decreased, whereas its volatility with respect to the US dollar has increased.     

Unit root and cointegration tests on the efficiency and biasedness of forward exchange rates

This paper analyzes the stationarity of spot and forward exchange rates by testing for the presence of unit roots in the autoregressive process of the exchange rate time series. The results of the unit root and cointegration tests for forward exchange rates of six major currencies are inconsistent with earlier studies by others that found the existence of unit roots but the absence of cointegration. Our results show that realized spot rates are cointegrated with past forward rates. Both Dickey-Fuller and Augmented Dickey-Fuller tests affirm the unbiased forward rate hypothesis for 30- and 90-day forward rates. The Augmented Dickey-Fuller tests on the longer term forward rate, however, reveal the existence of cointegration that leads to the rejection of the hypothesis.