Modelling real exchange rate effects on output performance in Latin America

This article empirically analyses real per capita GDP growth for six Latin American countries (Argentina, Brazil, Chile, Columbia, Mexico, Venezuela) in terms of real exchange rate depreciations, inflation and US interest rates, focussing on the role of the real exchange rate. We find evidence of nonlinearity in this relationship, which we capture through a smooth transition regression model. With the exception of Mexico, nonlinearity in economic growth is associated with changes in the real exchange rate, with depreciations leading to different relationships compared with appreciations. Regimes for Mexico are associated with the past growth rates, with effectively symmetric effects of real exchange rate changes. Although our results are in accord with other recent literature in that depreciations may have negative effects for growth, the asymmetries we uncover indicate that these effects depend on the conditioning state.

Revisiting the forward-spot relation: An application of the nonparametric long-run correlation coefficient

This study revisits the statistical relationship between the spot and the forward rate. Unlike previous studies, this association is measured by the estimation of the long-run correlation coefficient, a non-parametric measure of linear association. This estimator was shown to be equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. This statistic allows for the measurement of the intensity of correlation. Using data for the £/DM over the May 1992 British General Election and September 1992 ERM devaluation, and for the FF/DM, BEF/DM, AT/DM, and NLG/DM up to the introduction of Euro, the results show that the predictive ability of the forward rate increased. © 2010 Springer Science+Business Media, LLC

Valuation effects of international joint venture formation: Hong Kong listed companies

The study tests the abnormal returns of announcements of joint-venturing in Mainland China by Hong Kong-based companies. As the Hong Kong stock market is one of the most mature stock markets in the world, the response of the stock price should be among the best quality. Thus the positive response suggests that international joint ventures provide potential profits to the parent firms, which is predicted by the nowadays standard eclectic theory. The result supports the hypothesis of abnormal returns.

Exchange Controls And The Parallel Premium In Tanzania, 1967-90

Developments in Tanzania’s parallel foreign exchange market have mirrored the evolution of macroeconomic policy in that country since its independence in 1961. At independence, Tanzania operated a relatively open trade and payments regime supported by conservative monetary and fiscal policies. These policies survived the introduction of the Tanzanian shilling in 1965, but the Arusha Declaration of 1967 generated a fundamental reorientation under the rubric of self-reliance and African socialism. In the two decades following the Arusha Declaration, the exchange rate in Tanzania’s illegal parallel foreign exchange market rose at a rate of nearly 2.5 percent per month, more than three times as rapidly as the official exchange rate. By early 1986, the parallel rate exceeded the official rate by more than 800 percent