Local, global and regional shocks indices in emerging exchange rate markets

International Review of Economics & Finance - Tập 73 - Trang 98-113 - 2021
F. Pinar Erdem1, Utku Bora Geyikci1,2
1Central Bank of the Republic of Turkey, İstiklal Cad. No:10, 06100 Ulus, Ankara, Turkey
2Bilkent University, 06800 Bilkent, Ankara, Turkey

Tài liệu tham khảo

Aizenman, 2016, Exchange market pressure in OECD and emerging economies: Domestic vs. external factors and capital flows in the old and new normal, Journal of International Money and Finance, 66, 65, 10.1016/j.jimonfin.2015.12.008 Aizenman, 2011, Managing Financial Integration and Capital Mobility—policy lessons from the past two decades, Review of International Economics, 21, 636, 10.1111/roie.12061 Brana, 2010, Determinants of capital inflows into Asia: The relevance of contagion effects as push factors, Emerging Markets Review, 11, 273, 10.1016/j.ememar.2010.03.003 Arellano, 1995, Another look at the instrumental variable estimation of error-components models, Journal of Econometrics, 68, 29, 10.1016/0304-4076(94)01642-D Bruno, 2015, Capital flows and the risk-taking channel of monetary policy, Journal of Monetary Economics, 71, 119, 10.1016/j.jmoneco.2014.11.011 Burger, 2015, US investment in global bonds: As the Fed pushes, some EMEs pull, Economic Policy, 30, 729, 10.1093/epolic/eiv012 Byrne, 2016, International capital flows to emerging markets: National and global determinants, Journal of International Money and Finance, 61, 82, 10.1016/j.jimonfin.2015.11.005 Calvo, 1993, Capital inflows and real exchange rate appreciation in Latin America: The role of external factors, Staff Papers, 40, 108, 10.2307/3867379 Cerutti, 2019, How important is the global financial cycle? Evidence from capital flows, IMF Economic Review, 67, 24, 10.1057/s41308-019-00073-5 Chinn, 2007, Forward premium puzzle, 1 Chinn, 2004, Monetary policy and long-horizon uncovered interest parity, IMF Staff Papers, 51, 409, 10.2307/30035956 Chuhan, 1998, Equity and bond flows to Latin America and asia: The role of global and country factors, Journal of Development Economics, 55, 439, 10.1016/S0304-3878(98)00044-3 Dailami, 2008, Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads, Journal of International Money and Finance, 27, 1325, 10.1016/j.jimonfin.2008.07.003 Dos Santos, 2016, Evidence of risk premiums in emerging market carry trade currencies, Journal of International Financial Markets, Institutions and Money, 44, 103, 10.1016/j.intfin.2016.04.012 Edwards, 2005, Flexible exchange rates as shock absorbers, European Economic Review, 49, 2079, 10.1016/j.euroecorev.2004.07.002 Fama, 1984, Forward and spot exchange rates, Journal of Monetary Economics, 14, 319, 10.1016/0304-3932(84)90046-1 Fernandez-Arias, 1996, The surge in capital inflows to developing countries: An analytical overview, The World Bank Economic Review, 10, 51, 10.1093/wber/10.1.51 Flood, 1995, Fixing exchange rates, a virtual quest for fundamentals, Journal of Monetary Economics, 36, 3, 10.1016/0304-3932(95)01210-4 Forbes, 2018, The shocks matter: Improving our estimates of exchange rate pass-through, Journal of International Economics, 114, 255, 10.1016/j.jinteco.2018.07.005 Forbes, 2012, Capital flow waves: Surges, stops, flight, and retrenchment, Journal of International Economics, 88, 235, 10.1016/j.jinteco.2012.03.006 Frankel, 1979, On the mark: A theory of floating exchange rates based on real interest differentials, The American Economic Review, 69, 610 Frankel, 2010, The forward market in emerging currencies: Less biased than in major currencies, Journal of International Money and Finance, 29, 585, 10.1016/j.jimonfin.2009.11.004 Fratzscher, 2012, Capital flows, push versus pull factors and the global financial crisis, Journal of International Economics, 88, 341, 10.1016/j.jinteco.2012.05.003 Froot, 1990, Anomalies: Foreign exchange, The Journal of Economic Perspectives, 4, 179, 10.1257/jep.4.3.179 Ghosh, 2016, Two targets, two instruments: Monetary and exchange rate policies in emerging market economies, Journal of International Money and Finance, 60, 172, 10.1016/j.jimonfin.2015.03.005 Gilchrist, 2009, Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets, Journal of Monetary Economics, 56, 471, 10.1016/j.jmoneco.2009.03.017 Hibbert, 2017, The drivers of sovereign CDS spread changes: Local versus global factors, Financial Review, 52, 435, 10.1111/fire.12140 Ismailov, 2018, Uncertainty and deviations from uncovered interest rate parity, Journal of International Money and Finance, 88, 242, 10.1016/j.jimonfin.2017.07.012 Izquierdo, 2008 Jermann, 2012, Macroeconomic effects of financial shocks, The American Economic Review, 102, 238, 10.1257/aer.102.1.238 Kennedy, 2014, Emerging market bond spreads: The role of global and domestic factors from 2002 to 2011, Journal of International Money and Finance, 43, 70, 10.1016/j.jimonfin.2013.12.008 Kim, 2001, International transmission of US monetary policy shocks: Evidence from VAR’s, Journal of Monetary Economics, 48, 339, 10.1016/S0304-3932(01)00080-0 Koepke, 2019, What drives capital flows to emerging markets? A survey of the empirical literature, Journal of Economic Surveys, 33, 516, 10.1111/joes.12273 Kumar, 2014, Unbiasedness and risk premiums in the Indian currency futures market, Journal of International Financial Markets, Institutions and Money, 29, 13, 10.1016/j.intfin.2013.10.010 Lane, 2003, Business cycles and macroeconomic policy in emerging market economies, International Finance, 6, 89, 10.1111/1468-2362.00109 Levich, 1983, Empirical studies of exchange rates: Price behaviour, rate determination and market efficiency, Vol. 1112 Lewis, 1995, Puzzles in international financial markets, Vol. 3, 1913 Maćkowiak, 2007, External shocks, US monetary policy and macroeconomic fluctuations in emerging markets, Journal of Monetary Economics, 54, 2512, 10.1016/j.jmoneco.2007.06.021 Maynard, 2003, Testing for forward-rate unbiasedness: On regression in levels and in returns, The Review of Economics and Statistics, 85, 313, 10.1162/003465303765299846 Nikolaou, 2006, New evidence on the forward unbiasedness hypothesis in the foreign exchange market, Journal of Futures Markets, 26, 627, 10.1002/fut.20211 Siklos, 2018, Boom-and-bust cycles in emerging markets: How important is the exchange rate?, Journal of Macroeconomics, 56, 172, 10.1016/j.jmacro.2018.01.005 Tai, 2003, Can currency risk be a source of risk premium in explaining forward premium puzzle? Evidence from asia-pacific forward exchange markets, Journal of International Financial Markets, Institutions and Money, 13, 291, 10.1016/S1042-4431(03)00010-6 Taylor, 1997, Capital flows to developing countries: Long-and short-term determinants, The World Bank Economic Review, 11, 451, 10.1093/wber/11.3.451