In this article the monetary approach to the exchange rate is tested for the franc‐pound, dollar‐pound and franc‐dollar exchange rates over the period February 1921 to August…
Abstract
In this article the monetary approach to the exchange rate is tested for the franc‐pound, dollar‐pound and franc‐dollar exchange rates over the period February 1921 to August 1925. It is shown that the estimation technique utilised is very important. Some out of sample forecasts from a variety of exchange rate models are also presented; a simple purchasing power parity model out‐performs the alternatives.
Colm Kearney and Ronald MacDonald
This article formulates, estimates and simulates a structural model of the sterling‐dollar exchange rate over the floating rate period. A critique of existing empirical…
Abstract
This article formulates, estimates and simulates a structural model of the sterling‐dollar exchange rate over the floating rate period. A critique of existing empirical implementations of the asset‐market approach is followed by formulating a small structural model which augments a carefully specified asset sector with a real sector so that output and prices are determined endogenously along with interest rates, foreign reserves and the exchange rate. The model is estimated on quarterly data using Two Stage Least Squares and Zellner's Seemingly Unrelated Regression Procedure. Some policy simulations illustrate the response of the sterling‐dollar rate to various shocks.
The librarian and researcher have to be able to uncover specific articles in their areas of interest. This Bibliography is designed to help. Volume IV, like Volume III, contains…
Abstract
The librarian and researcher have to be able to uncover specific articles in their areas of interest. This Bibliography is designed to help. Volume IV, like Volume III, contains features to help the reader to retrieve relevant literature from MCB University Press' considerable output. Each entry within has been indexed according to author(s) and the Fifth Edition of the SCIMP/SCAMP Thesaurus. The latter thus provides a full subject index to facilitate rapid retrieval. Each article or book is assigned its own unique number and this is used in both the subject and author index. This Volume indexes 29 journals indicating the depth, coverage and expansion of MCB's portfolio.
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Guangfeng Zhang, Ian Marsh and Ronald MacDonald
– This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework.
Abstract
Purpose
This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework.
Design/methodology/approach
The authors apply real-time data of macro announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH models and examine various model specifications.
Findings
Data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process.
Originality/value
This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study.
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Flavio Vilela Vieira and Ronald MacDonald
The purpose of this paper is to empirically investigate the role of real effective exchange rate (REER) volatility on export volume and also to address the impact of the…
Abstract
Purpose
The purpose of this paper is to empirically investigate the role of real effective exchange rate (REER) volatility on export volume and also to address the impact of the international financial crisis of 2008.
Design/methodology/approach
The empirical methodology is based on System GMM estimation for a set of 106 countries for the period of 2000-2011.
Findings
For the complete sample of countries and for a set of developing/emerging economies, there is evidence that an increase (decrease) in REER volatility reduces (increases) export volume. The results are not robust once the oil export countries are removed from the sample. The estimated coefficients for the financial crisis dummy are positive and statistically significant, indicating that export volume were 0.14 percent higher after the financial crisis of 2008 compared to the previous period (2000-2007). There is also evidence that the export volume is price (REER) and income (trade weighted) inelastic.
Research limitations/implications
The empirical results are valid for the complete set of countries and for developing and emerging economies when including the oil export countries, suggesting that countries should reduce exchange rate volatility in order to foster their export volume and that oil export countries have an important role on these results.
Practical implications
The paper suggests that policymakers should adopt different policies to minimize exchange rate volatility if they seek to increase export volume. The international financial crisis had a significant impact on export volume in all estimated models regardless of the set of countries used.
Originality/value
One of the main novelties of this work is that it deals with possible endogeneity using GMM estimators and addresses the issue of instrument proliferation, which is not a common feature of previous empirical studies on exchange rate volatility and trade flows. Another original aspect of the research is the construction of trade weighted variables for foreign income and REER based on the major 20 export partners for each country used in the panel data estimation. The work also incorporates the years following the international financial crisis of 2008, which is an additional empirical novelty, in order to address the impact of the international financial crisis on the export volume.
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Bernard Badiali, Rebecca West Burns, Cynthia Coler, Michael Cosenza, Krystal Goree, Drew Polly, Donnan Stoicovy and Kristien Zenkov
The purpose of this article is to describe the key aspects of and provide examples about Essential Nine of the Second Edition of the National Association for Professional…
Abstract
Purpose
The purpose of this article is to describe the key aspects of and provide examples about Essential Nine of the Second Edition of the National Association for Professional Development Schools (NAPDS) Nine Essentials.
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‘A MAP OF THE WORLD that does not include Utopia is not worth glancing at’ wrote Oscar Wilde. ‘It leaves out the one country at which humanity is always landing. And when it lands…
Abstract
‘A MAP OF THE WORLD that does not include Utopia is not worth glancing at’ wrote Oscar Wilde. ‘It leaves out the one country at which humanity is always landing. And when it lands there it looks out and, seeing a better country, sets sail again. Progress is the realization of Utopias’.
In the past decade or so, workplace organisation and restructuring processes, have been subjected to the most intense scrutiny. Driven by rapidly intensifying competitive…
Abstract
In the past decade or so, workplace organisation and restructuring processes, have been subjected to the most intense scrutiny. Driven by rapidly intensifying competitive pressures, work organisations sought increased flexibility, especially from labour, as they struggled to maintain market shares in an economic environment increasingly characterised by excess in labour supply. Pressures for change were probably most evident in the public sector where economic and ideological forces combined to limit the growth of government services and increase their exposure to competitive forces.
DURING some comments on the brain drain last month it was remarked that work study technologists stood on the periphery. Suddenly they have been moved right to the centre as the…
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DURING some comments on the brain drain last month it was remarked that work study technologists stood on the periphery. Suddenly they have been moved right to the centre as the result of a communication from Dr. Robert N. Lehrer. He is among the six American work study experts best known to the profession in this country, ranking with Barnes and Mundel as having contributed much to a right appreciation of the subject's value and its techniques.