Exchange Rate Volatility, Financial Crisis and Large Output Loss: Stylized Facts and Some Useful Theories

Financial System Performance and Inflation in Iran: Some Stylized Facts

The mutual relationship between financial development, as a multilateral concept, and inflation, as a key indicator of macro-economy is crucial. In this paper, inflation regimes are identified using Markov-Switching approach, and then the finance-inflation mutual relationship is investigated in post-revolution cabinets in Iran (1982-2017). Our findings suggest that there are mutual co-movements...

Currency crisis , financial crisis , and large output loss ∗

Given the volatility of exchange rates, there is a reemergence of interest in the effect of such volatility, in particular of large currency shocks, on the domestic financial markets and the output and investment decisions of firms. We use a portfolio approach to model the occurrence of large exchange rate shocks as deriving from the asset allocation decisions of the households of a small open ...

Stylized Facts of Nominal Exchange Rate Returns

Some Stylized Facts

There are substantial differences between the economies of a Developed Country (DC) and a developing country, more aptly referred to as a Growing Less Developed Country (GDLC). An interesting question in the realm of macroeconomics iswhy the difference occurs between these two types of economies. Which are the features that set a typical DC apart from a typical GLDC? Here, our contention is tha...

Exchange rate volatility and its effect on stock market volatility

This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...