Exchange Rate Risk and Convergence to the Euro

Real Exchange Rate Volatility, Economic Growth and the Euro

This paper studies the effect of real effective exchange rate (REER) volatility on economic growth as well as the euro’s effect on REER volatility. We first show that, after a plausible endogeneity correction, REER volatility is negatively associated with growth in a 1980~2011 panel of OECD countries. One standard deviation volatility decrease is associated with about two percentage points (0.8...

The Appropriate Exchange Rate System and the Regulation and Forecast of Exchange Rate for Iran's Economy

VaR: Exchange Rate Risk and Jump Risk

Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital ...

Exchange Rate Policy and Economic Convergence in the European Union

This paper tests for long-run macroeconomic convergence among European Union countries according to the various exchange rate regimes that have prevailed over the last forty years. Applying a recently developed test to monthly index of industrial production data, output convergence is confirmed or rejected depending on whether or not the first largest principal component based on benchmark devi...

Has the Euro Era Facilitated Inflation Convergence?

This paper investigates the long-run convergence of national inflation rates in the European Union. The application of a new test is proposed that involves unit root testing of the first principal component based on national-EU inflation differentials. Using inflation data based on harmonized consumer price indices for 1999-2007, the first principal component is stationary. This suggests that a...