Dumitriu, Ramona and Stefanescu, Razvan (2011): Shocks on the Romanian foreign exchange market before and after the global crisis. Published in: New challenges in economics and administration : proceedings of the 3rd international conference in economics and administration : Bucharest, 2011 (3. June 2011): pp. 194-199.
Download (77kB) | Preview
This paper explores some changes induced on the Romanian foreign exchange market by the global crisis. We study these changes from the perspective of number and intensity of the shocks occurred before and after the global crisis. We found some significant differences, explainable not only by the direct effects of the crisis, but also by the intervention of the National Bank of Romania.
|Item Type:||MPRA Paper|
|Original Title:||Shocks on the Romanian foreign exchange market before and after the global crisis|
|English Title:||Shocks on the Romanian foreign exchange market before and after the global crisis|
|Keywords:||Romanian Foreign Exchange Market, Shocks, Global Crisis, Monetary Policy, National Bank of Romania|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Ramona Dumitriu|
|Date Deposited:||09. Feb 2012 23:10|
|Last Modified:||07. Oct 2015 23:52|
Atkins, Allen B., and Edward, Dyl (1990) Price Reversals, Bid-Ask Spreads, and Market Efficiency, Journal of Financial and Quantitative Analysis 25, 535 - 547.
Benczur, P., Konya, I. (2004) Real effects of nominal exchange rate shocks, ESEM Working Papers, Budapest.
Bremer, Marc A. and Sweeney, Richard J. (1991) The Reversal of Large Stock- Price Decreases, Journal of Finance 46, 747-754.
Brenner, M., Sokoler, M. (2009) Inflation Targeting and Exchange Rate Regimes: Evidence from the Financial Markets, Review of Finance, 1–17.
Chang, R., Valesco, A. (2000) Exchange Rate Policy for Developing Countries, American Economic Review 90(2), Papers and Proceedings of the 112th Annual Meeting of the American Economic Association, May, 71-75.
Clarida, R., Gali, J. (1994) Sources of Real Exchange Rate Fluctuations: How Important Are Nominal Shocks?, Carnegie-Rochester Conference Series on Public Policy 41, 1-56.
DeBondt, Werner F. M., and Richard H. Thaler (1985) Does the Stock Market Overreact?, Journal of Finance 40, 793-805.
Eichenbaum, M., Evans, C. L. (1995) Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates, The Quarterly Journal of Economics 110, 975-1009.
Eichengreen, B., Gullapalli, R. and Panizza, U. (2009) Capital account liberalization, financial development and industry growth: a synthetic view, Department of Public Policy and Public Choice – POLIS, Working paper n. 144.
Fane, G. (2005) Post-Crisis Monetary and Exchange Rate Policies in Indonesia, Malaysia and Thailand, Bulletin of Indonesian Economic Studies 41(2), 175-195.
Griffin, J.M. and Stulz, R.M. (2001) International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns, Review of Financial Studies 14, 215 – 241.
Howe, John S (1986) Evidence on Stock Market Overreaction, Financial Analysts Journal 42, 74-77.
Krueger, A.O. (1983) Exchange Rate Determination, Cambridge University Press, Cambridge.
Lasfer, M. A., Melnik, A., Thomas, D. (2003) Stock Price Reaction in Stressful Circumstances: An International Comparison, Journal of Financial Economics 40.
Woo, W.T. (2000) The Asian Financial Crisis: Hindsight, Insight, Foresight, ASEAN Economic Bulletin 17, 113-119.