Monetary policy analysis in emerging markets : the modelling of conditional volatility in Mexico and other developing countries

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Title:

Author:

Mendoza-Velázquez, Alfonso.

ISBN:

9783639122763

Personal Author:

Mendoza-Velázquez, Alfonso.

Publication Information:

Saarbrücken, Germany : VDM Dr. Müller, c2009.

Physical Description:

225 p. ; 22 cm.

General Note:

Originally presented as the author's thesis, Univ. of York, 2003.

Abstract:

This book presents a collection of studies on the volatility of financial and economic assets in emerging markets (EM) under different monetary policy frameworks. The first part of the book examines some stylised features in EM such as the fear of floating, the lack of credibility and the monetary regimes including inflation targeting (IT). The second part of the book discusses the relationship between interest rates, investments, inflation and output in both levels and conditional volatility. A final study investigates sub-sovereign debt markets and financial contagion using a new model capturing fractional integration in volatility. Special focus is devoted to Mexico and other developing countries in Latin America.

Subject Term:

Monetary policy -- Developing countries.

Monetary policy -- Mexico.

Monetary policy -- Turkey.

Foreign exchange -- Developing countries.

Foreign exchange -- Mexico.

Foreign exchange -- Turkey.

Inflation targeting -- Developing countries.

Inflation targeting -- Mexico.

Inflation targeting -- Turkey.

Copies:

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Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	44544-1002	330 M539M 2009	2	Searching... Unknown

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Summary

This book presents a collection of studies on the volatility of financial and economic assets in Emerging Markets (EM) under different monetary policy frameworks. The first part of the book examines some stylised features in EM such as the fear of floating, the lack of credibility and the effect of central bank intervention on exchange rates under different monetary regimes including Inflation Targeting (IT). The second part of the book discusses the relationship between interest rates, investments, inflation and output in both levels and conditional volatility. A final study investigates sub-sovereign debt markets and financial contagion using a new model capturing fractional integration in volatility. Special focus is devoted to Mexico and other developing countries in Latin America.