Measuring and estimating exchange market pressure in the EU

Article Abstract:

This paper tests the efficiency of dollar exchange rate black-markets for the currencies of six formerly socialist countries of Eastern Europe, under conditions of imperfect information, high transaction costs and pronounced turbulence due to political and economic crisis and reform. We find evidence of volatility spillovers in conditional mean affecting only the markets for the Bulgarian lev and Rumanian lei, and limited evidence of volatility spillovers in conditional variance which imply the possibility of some policy coordination emanating from the Soviet Union. Nevertheless, on balance our results lend broad support to the efficiency of exchange rate black-markets, and to previous results concerning floating exchange rate systems in general. [C] 2001 Elsevier Science Ltd. All rights reserved. JEL classification: G12; F31 Keywords: Exchange rates; Black-markets; Market efficiency; Volatility spillovers

Economic aspects, European Union

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The lifetime of a unilateral target zone: some extended results

Article Abstract:

This paper tests the efficiency of dollar exchange rate black-markets for the currencies of six formerly socialist countries of Eastern Europe, under conditions of imperfect information, high transaction costs and pronounced turbulence due to political and economic crisis and reform. We find evidence of volatility spillovers in conditional mean affecting only the markets for the Bulgarian lev and Rumanian lei, and limited evidence of volatility spillovers in conditional variance which imply the possibility of some policy coordination emanating from the Soviet Union. Nevertheless, on balance our results lend broad support to the efficiency of exchange rate black-markets, and to previous results concerning floating exchange rate systems in general. [C] 2001 Elsevier Science Ltd. All rights reserved. JEL classification: G12; F31 Keywords: Exchange rates; Black-markets; Market efficiency; Volatility spillovers

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Asset pricing and foreign exchange risk: econometric evidence for the G-7

Article Abstract:

The hypothesis that establishes a relationship between excess foreign exchange returns and the two national equity markets' relative risks was validated through the use of an error correction model. The model also confirmed the existence of a risk premium in foreign exchange markets. The occurrence of short-run exchange rate overshooting was implied after evidence of non-monotonic adjustment in some of the equations related to the US dollar was noted.

Economics, Research and Development in the Social Sciences and Humanities, Stock-exchange, Stock exchanges

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