Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2021-06-01 DOI:10.1016/j.mulfin.2021.100680

David Gabauer

引用次数: 53

Abstract

This study introduces two novel metrics that calculate the degree of shock asymmetry which can be utilized to examine whether countries in a currency area face symmetric shocks. In an attempt to answer whether the symmetric shock assumption is fulfilled in the European case, the exchange rate transmission mechanism of all 14 countries that have joined the ERM and Sweden is explored. The findings point to the existence of two potential OCAs whereas the first and most stable one would be between Austria, Germany, and the Netherlands, and the extended second OCA would further include Belgium, Denmark, France, and Luxembourg.

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最优货币区内不对称和成对连通性的动态度量:来自ERM I系统的证据

本研究引入了两个计算冲击不对称程度的新指标，可用于检查货币区国家是否面临对称冲击。为了回答在欧洲情况下是否满足对称冲击假设，本文探讨了所有加入ERM的14个国家和瑞典的汇率传导机制。研究结果表明，存在两个潜在的亚奥理事会，而第一个也是最稳定的亚奥理事会将在奥地利、德国和荷兰之间，而扩展后的第二个亚奥理事会将进一步包括比利时、丹麦、法国和卢森堡。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.

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