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Exchange rate volatility across financial crises
16 references·15 citing·37 second hop
Exchange rate volatility across financial crises (2011)Exchange rate volatility across financial…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)The Modern History of Exchang…Classifying exchange rate regimes: Deeds vs. words (2004)Classifying exchange rate reg…An Essay on the Revived Bretton Woods System (2003)An Essay on the Revived Brett…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Fear of Floating (2002)Fear of FloatingContagion as a Wealth Effect (2001)Contagion as a Wealth EffectOn crises, contagion, and confusion (2000)On crises, contagion, and con…Fear of Floating (2000)Fear of FloatingWhat caused the Asian currency and financial crisis? (1999)What caused the Asian currenc…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Contagious Currency Crises (1996)Contagious Currency CrisesCharacterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war (2023)Volatility impacts on global …Pricing of Green Bonds: Drivers and Dynamics of the Greenium (2022)Pricing of Green Bonds: Drive…Comparing COVID-19 with the GFC: A shockwave analysis of currency markets (2020)Comparing COVID-19 with the G…Exchange rate volatility and industrial output growth in Nigeria (2019)Exchange rate volatility and …Modelling stock price–exchange rate nexus in OECD countries: A new perspective (2018)Modelling stock price–exchang…Exchange rate volatility in West African countries: is there a shred of Spillover? (2018)Exchange rate volatility in W…Modelling time varying volatility spillovers and conditional correlations across commodity metal futures (2017)Modelling time varying volati…Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises (2016)Volatility spillovers and det…The global financial crisis: An analysis of the spillover effects on African stock markets (2014)The global financial crisis: …The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets (2013)The Impact of Macro News and …The impact of external shocks in East Asia: Lessons from a structural VAR model with block exogeneity (2013)The impact of external shocks…The impact of external shocks in East Asia: Lessons from a structural VAR model with block exogeneity (2012)The impact of external shocks…The “forward premium puzzle” and the sovereign default risk (2012)The “forward premium puzzle” …IMF programs, financial and real sector performance, and the Asian crisis (2011)IMF programs, financial and r…Assessing Equilibrium Exchange Rates in CEE Acceding Countries: Can We Have Deer with Beer Without Feer? (2004)Assessing Equilibrium Exchang…A Model of Balance-of-Payments Crises (1979)Bank Runs, Deposit Insurance, and Liquidity (1983)No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Contagion: Understanding How It Spreads (2000)Emerging markets finance (2003)Limited-dependent and qualitative variables in econometrics (1983)Financial Contagion (2000)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Measuring financial contagion: A Copula approach (2007)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)The monetary dynamics of hyperinflation (1956)Currency crashes in emerging markets: An empirical treatment (1996)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)When it Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies (2004)From Financial Crash to Debt Crisis (2011)The Quarterly Journal of Economics (2024)A Theory of Optimum Currency Areas (1961)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Staggered Prices in a Utility-Maximizing Framework (1996)Distinguished Lecture on Economics in Government—Exchange Rate Regimes: Is the Bipolar View Correct? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Stories of the Twentieth Century for the Twenty-First (2012)Rules, discretion and reputation in a model of monetary policy (1983)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)Analysis of Financial Time Series (2006)A Rational Expectations Model of Financial Contagion (2002)Introduction: The International Diffusion of Liberalism (2006)Extreme Correlation of International Equity Markets (2001)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2000Fear of Floating2,063 cited
  • 2004The Modern History of Exchange Rate Arrangements: A Reinterpretation1,906 cited
  • 2002Fear of Floating1,675 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1996Contagious Currency Crises959 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 1999What caused the Asian currency and financial crisis?915 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 2004Classifying exchange rate regimes: Deeds vs. words812 cited
  • 2003

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An Essay on the Revived Bretton Woods System
734 cited

Cited by

  • 2014The global financial crisis: An analysis of the spillover effects on African stock markets124 cited
  • 2016Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises117 cited
  • 2020Comparing COVID-19 with the GFC: A shockwave analysis of currency markets100 cited
  • 2023Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war84 cited
  • 2012The “forward premium puzzle” and the sovereign default risk61 cited
  • 2018Modelling stock price–exchange rate nexus in OECD countries: A new perspective59 cited
  • 2013The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets58 cited
  • 2022Pricing of Green Bonds: Drivers and Dynamics of the Greenium52 cited
  • 2004Assessing Equilibrium Exchange Rates in CEE Acceding Countries: Can We Have Deer with Beer Without Feer?45 cited
  • 2013The impact of external shocks in East Asia: Lessons from a structural VAR model with block exogeneity39 cited
  • 2017Modelling time varying volatility spillovers and conditional correlations across commodity metal futures38 cited
  • 2011IMF programs, financial and real sector performance, and the Asian crisis34 cited
  • 2018Exchange rate volatility in West African countries: is there a shred of Spillover?31 cited
  • 2012The impact of external shocks in East Asia: Lessons from a structural VAR model with block exogeneity18 cited
  • 2019Exchange rate volatility and industrial output growth in Nigeria17 cited