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Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation
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In this paper, the authors investigate the intensity and effectiveness of capital controls in China from 2003 to 2010, with special attention to the period of financial turbulence that erupted in the summer of 2007.Abstract:
This paper aims to investigate the intensity and the effectiveness of the capital controls in China from 2003 to 2010, with special attention to the period of financial turbulence that erupted in the summer of 2007. We employ a two-regime threshold autoregressive model to study the Renminbi yield differential between the onshore interest rate and its non-deliverable forward (NDF)-implied offshore interest rate. We find that the de facto intensity of capital controls measured by the threshold increases over time, even during the period of financial turbulence. Moreover, a slightly lower speed of adjustment to the threshold implies that the capital controls are effective in this context.read more
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Currency unions and trade: A post-EMU reassessment
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Real Exchange Rates and Sectoral Productivity in the Eurozone
Martin Berka,Michael B. Devereux,Michael B. Devereux,Charles Engel,Charles Engel,Charles Engel +5 more
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Risk and Return in High-Frequency Trading
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Measures of global uncertainty and carry-trade excess returns
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Repository
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References
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.
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Estimating and testing linear models with multiple structural changes
Jushan Bai,Pierre Perron +1 more
TL;DR: In this article, the authors developed the statistical theory for testing and estimating multiple change points in regression models, and several test statistics were proposed to determine the existence as well as the number of change points.
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Lag length selection and the construction of unit root tests with good size and power
Serena Ng,Pierre Perron +1 more
TL;DR: In this paper, a modified information criterion (MIC) with a penalty factor that is sample dependent was proposed to select appropriate truncation lag values for unit root tests with a moving-average root close to -1.
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A test for independence based on the correlation dimension
TL;DR: In this paper, the authors present a test of independence that can be applied to the estimated residuals of any time series model, which can be transformed into a model driven by independent and identically distributed errors.
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Inference when a nuisance parameter is not identified under the null hypothesis
TL;DR: In this paper, the asymptotic distribution of standard test statistics is described as functionals of chi-square processes, and a transformation based upon a conditional probability measure yields an asymptic distribution free of nuisance parameters, which can be easily approximated via simulation.
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