Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system
By David Gabauer. Journal of Multinational Financial Management, 2021
177 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f32cc6606e2e56a47a25c6038f23e960d511a889
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In Economics and Econometrics
- David Gabauer
- Ioannis Chatziantoniou
- Alexis Stenfors
- George Filis
- Nikolaos Antonakakis
- Stavros Degiannakis *
- Rangan Gupta
In Finance
Citations in the corpus
- Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach (2021, background): “Cgi (H) =C g i→j(H)− C g i←j(H) (5) The last connectedness metric is the adjusted total connectedness index (TCI) of Chatziantoniou and Gabauer (2021) which ranges between [0, 1]: TCI(H) = ∑k i,j=1,i6=j ψ̃ g ij(H) k − 1 .”