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Christophe Rault - One of the best experts on this subject based on the ideXlab platform.

  • sources of real exchange rate volatility and International Financial Integration a dynamic generalised method of moments panel approach
    Journal of International Development, 2014
    Co-Authors: Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault
    Abstract:

    The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of International Financial Integration in particular. A reduced‐form model is estimated using the generalised method of moments for dynamic panels over the period 1979–2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for the volatility of real exchange rates in emerging economies, with International Financial Integration being a major driving force. Therefore, Financial liberalisation and Integration should be pursued only gradually in emerging countries. Copyright © 2011 John Wiley & Sons, Ltd.

  • sources of real exchange rate volatility and International Financial Integration a dynamic gmm panel approach
    2011
    Co-Authors: Guglielmo Maria Caporale, Christophe Rault, Thouraya Hadj Amor
    Abstract:

    The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of International Financial Integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels over the period 1979-2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for volatility of real exchange rates in emerging economies, with International Financial Integration being a major driving force. Therefore, Financial liberalisation and Integration should be pursued only gradually in emerging countries.

  • International Financial Integration and real exchange rate long run dynamics in emerging countries some panel evidence
    Journal of International Trade & Economic Development, 2011
    Co-Authors: Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault
    Abstract:

    The aim of this paper is to provide new empirical evidence on the impact of International Financial Integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out “second-generation” tests for non-stationary panels. Several factors, including International Financial Integration, are shown to drive the long-run RER in emerging countries. It is found that the new Financial environment characterised by International Financial Integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries.

  • International Financial Integration and real exchange rate long run dynamics in emerging countries
    2009
    Co-Authors: Christophe Rault, Guglielmo Maria Caporale, Thouraya Hadj Amor
    Abstract:

    The aim of this paper is to provide new empirical evidence on the impact of International Financial Integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out "second-generation" tests for non-stationary panels. Several factors, including International Financial Integration, are shown to drive the long-run RER in emerging countries. It is found that the new Financial environment characterised by International Financial Integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries

Guglielmo Maria Caporale - One of the best experts on this subject based on the ideXlab platform.

  • sources of real exchange rate volatility and International Financial Integration a dynamic generalised method of moments panel approach
    Journal of International Development, 2014
    Co-Authors: Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault
    Abstract:

    The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of International Financial Integration in particular. A reduced‐form model is estimated using the generalised method of moments for dynamic panels over the period 1979–2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for the volatility of real exchange rates in emerging economies, with International Financial Integration being a major driving force. Therefore, Financial liberalisation and Integration should be pursued only gradually in emerging countries. Copyright © 2011 John Wiley & Sons, Ltd.

  • sources of real exchange rate volatility and International Financial Integration a dynamic gmm panel approach
    2011
    Co-Authors: Guglielmo Maria Caporale, Christophe Rault, Thouraya Hadj Amor
    Abstract:

    The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of International Financial Integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels over the period 1979-2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for volatility of real exchange rates in emerging economies, with International Financial Integration being a major driving force. Therefore, Financial liberalisation and Integration should be pursued only gradually in emerging countries.

  • International Financial Integration and real exchange rate long run dynamics in emerging countries some panel evidence
    Journal of International Trade & Economic Development, 2011
    Co-Authors: Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault
    Abstract:

    The aim of this paper is to provide new empirical evidence on the impact of International Financial Integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out “second-generation” tests for non-stationary panels. Several factors, including International Financial Integration, are shown to drive the long-run RER in emerging countries. It is found that the new Financial environment characterised by International Financial Integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries.

  • International Financial Integration and real exchange rate long run dynamics in emerging countries
    2009
    Co-Authors: Christophe Rault, Guglielmo Maria Caporale, Thouraya Hadj Amor
    Abstract:

    The aim of this paper is to provide new empirical evidence on the impact of International Financial Integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out "second-generation" tests for non-stationary panels. Several factors, including International Financial Integration, are shown to drive the long-run RER in emerging countries. It is found that the new Financial environment characterised by International Financial Integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries

Thouraya Hadj Amor - One of the best experts on this subject based on the ideXlab platform.

  • sources of real exchange rate volatility and International Financial Integration a dynamic generalised method of moments panel approach
    Journal of International Development, 2014
    Co-Authors: Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault
    Abstract:

    The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of International Financial Integration in particular. A reduced‐form model is estimated using the generalised method of moments for dynamic panels over the period 1979–2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for the volatility of real exchange rates in emerging economies, with International Financial Integration being a major driving force. Therefore, Financial liberalisation and Integration should be pursued only gradually in emerging countries. Copyright © 2011 John Wiley & Sons, Ltd.

  • sources of real exchange rate volatility and International Financial Integration a dynamic gmm panel approach
    2011
    Co-Authors: Guglielmo Maria Caporale, Christophe Rault, Thouraya Hadj Amor
    Abstract:

    The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of International Financial Integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels over the period 1979-2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for volatility of real exchange rates in emerging economies, with International Financial Integration being a major driving force. Therefore, Financial liberalisation and Integration should be pursued only gradually in emerging countries.

  • International Financial Integration and real exchange rate long run dynamics in emerging countries some panel evidence
    Journal of International Trade & Economic Development, 2011
    Co-Authors: Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault
    Abstract:

    The aim of this paper is to provide new empirical evidence on the impact of International Financial Integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out “second-generation” tests for non-stationary panels. Several factors, including International Financial Integration, are shown to drive the long-run RER in emerging countries. It is found that the new Financial environment characterised by International Financial Integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries.

  • International Financial Integration and real exchange rate long run dynamics in emerging countries
    2009
    Co-Authors: Christophe Rault, Guglielmo Maria Caporale, Thouraya Hadj Amor
    Abstract:

    The aim of this paper is to provide new empirical evidence on the impact of International Financial Integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out "second-generation" tests for non-stationary panels. Several factors, including International Financial Integration, are shown to drive the long-run RER in emerging countries. It is found that the new Financial environment characterised by International Financial Integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries

Peter Tillmann - One of the best experts on this subject based on the ideXlab platform.

  • International Financial Integration and national price levels the role of the exchange rate regime
    Journal of International Money and Finance, 2012
    Co-Authors: Mathias Hoffmann, Peter Tillmann
    Abstract:

    This paper proposes a new perspective on systematic deviations from purchasing power parity. Panel evidence for OECD countries shows that International Financial Integration increases the national price level under managed exchange rate regimes and lowers the price level under floating exchange rates. An open economy sticky-price model reproduces these findings by relating them to the possibility of insurance against consumption losses in Internationally integrated Financial markets. The utilization of insurance is reflected by relative price adjustments which manifest themselves in changes of the national price level. The direction of relative price adjustments, however, depends on the extent to which insurance is used under different exchange rate regimes: under a peg, Financial Integration raises the national price level; under a float, however, Financial Integration lowers the national price level.

  • International Financial Integration and national price levels the role of the exchange rate regime
    MAGKS Papers on Economics, 2011
    Co-Authors: Mathias Hoffmann, Peter Tillmann
    Abstract:

    How does International .Financial Integration affect national price levels? Panel evidence for 54 industrialized and emerging countries shows that a larger ratio of foreign assets and liabilities to GDP, our measure of International .Financial Integration, increases the national price level under .fixed and intermediate exchange rate regimes and lowers the price level under .floating exchange rates. This paper formulates a two-country open economy sticky-price model under either segmented or complete asset markets that is able to replicate these stylized facts. It is shown that the effect of Financial Integration, i.e. moving from segmented to complete asset markets, is regime-dependent. Under managed exchange rates Financial Integration raises the national price level. Under .floating exchange rates, however Financial Integration lowers national price levels. Thus, the paper proposes a novel argument to rationalize systematic deviations from PPP.

Sami Hammami - One of the best experts on this subject based on the ideXlab platform.

  • The Effects of International Financial Integration on Economic Growth Case of Tunisia
    Journal of the Knowledge Economy, 2019
    Co-Authors: Selma Ezzeddine, Sami Hammami
    Abstract:

    Recent research shows that countries differ according to their experience of capital flows and do not always generate the liberalization of the capital account. This article contributes to the empirical literature by examining the circumstances of International Financial Integration (IFI) and promoting growth. This article studies the impact of International Financial Integration on economic growth in Tunisia. Over 1970–2012, we use the error correction model (ECM) to address this issue. The result is consistent with the reality because, in the short run, the Integration policy of Tunisia in the global Financial market has not been beneficial for growth, which is not the case in the long term. In the long term, we see that growth is elastic compared to foreign direct investment (FDI) which justifies the conclusion that Financial Integration in the case of Tunisia, in the long run, is real but not in the short run.