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Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
Foreign Capital Inflows and the Real Exchange Rate in Sub-Saharan Africa
Capital inflows real exchange rates Sub-Saharan Africa
2010/9/7
This paper presents a short-run dynamic panel model for the relationship between aggregate net foreign capital transfers and the real exchange rate in twenty-four Sub-Saharan African countries. The re...
Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases
Nonstationarity panel data PPP real exchange rate stationarity
2010/9/7
In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is th...