Dominique M. Guillaume's Books

Intradaily Exchange Rate Movements

By: Dominique M. Guillaume

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Intradaily Exchange Rate Movements

By: Dominique M. Guillaume

In the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen & Associates in Zurich, started to collect intra-daily exchange rate data. The resulting database provides new insight into the foreign exchange markets and thereby opens up previously unexplored avenues of research. Intra-Daily Exchange Rate Movements presents an extensive study of the Olsen & Associates database and is one of the first monographs in this exciting new area. This book aims to provide a systematic study of the characteristics of intra-daily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macroeconomic fundamentals and institutional characteristics. This leads to a survey of the main stylized facts. Using the O&A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis. The book shows how these approaches can be used to model intra-daily exchange rate movements and highlights some of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling.

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173

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Springer Science & Business Media

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ISBN 10

1461546214

ISBN 13

9781461546214

Systemic Risk, Aggregate Demand, and Commodity Prices

By: Javier Gómez-Pineda,Mr.Dominique M. Guillaume,Kadir Tanyeri

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Systemic Risk, Aggregate Demand, and Commodity Prices

By: Javier Gómez-Pineda,Mr.Dominique M. Guillaume,Kadir Tanyeri

The paper presents a global model with systemic and country risks, as well as commodity prices.We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output gap corresponding to unobserved systemic risk associated with major financial events. In addition, systemic risk shocks are shown to be important drivers of output gaps while country risk premium shocks can have important effects on the trade balance. Commodity prices, in particular the price of oil, are shown to be demand driven. The model performs well at one- and four-quarter horizons compared to a survey of analysts' forecasts. In addition, systemic risk shocks explain a large share of the forecast variance for the world output gap, country output gaps, the price of oil, and country risk premiums. The importance of systemic risk shocks lends support for financial surveillance with a systemic focus.

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International Monetary Fund

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ISBN 10

1513589679

ISBN 13

9781513589671

The Dynamic Effect of Social and Political Instability on Output

The Role of Reforms

By: Mr.Lorenzo E. Bernal-Verdugo,Davide Furceri,Mr.Dominique M. Guillaume

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The Dynamic Effect of Social and Political Instability on Output

The Role of Reforms

By: Mr.Lorenzo E. Bernal-Verdugo,Davide Furceri,Mr.Dominique M. Guillaume

The aim of this paper is to analyze the dynamic effect of social and political instability on output. Using a panel of up to 183 countries from 1980 to 2010, the results of the paper suggest that social conflicts have a significant and negative impact on output in the short-term with the magnitude of the effect being a function of the intensity of political instability. The results also show that the recovery of output over the medium-term depends on the ability of the country to implement, in the aftermath of a social instability episode, reforms aimed at improving the level of governance. The results are robust to different checks and estimation strategies.

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International Monetary Fund

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ISBN 10

1484339266

ISBN 13

9781484339268

Crises, Labor Market Policy, and Unemployment

By: Mr.Lorenzo E. Bernal-Verdugo,Davide Furceri,Mr.Dominique M. Guillaume

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Crises, Labor Market Policy, and Unemployment

By: Mr.Lorenzo E. Bernal-Verdugo,Davide Furceri,Mr.Dominique M. Guillaume

Using a sample of 97 countries spanning the period 1980?2008, we estimate that financial crises have a large negative impact on unemployment in the short term, but that this effect rapidly disappears in the medium term in countries with flexible labor market institutions, whereas the impact of financial crises is less pronounced but more persistent in countries with more rigid labor market institutions. These effects are even larger for youth unemployment in the short term and long-term unemployment in the medium term. Conversely, large upfront, or gradual but significant, comprehensive labor market policies have a positive impact on unemployment, albeit only in the medium term.

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International Monetary Fund

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ISBN 10

146394893X

ISBN 13

9781463948931

Labor Market Flexibility and Unemployment

New Empirical Evidence of Static and Dynamic Effects

By: Mr.Lorenzo E. Bernal-Verdugo,Davide Furceri,Mr.Dominique M. Guillaume

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Labor Market Flexibility and Unemployment

New Empirical Evidence of Static and Dynamic Effects

By: Mr.Lorenzo E. Bernal-Verdugo,Davide Furceri,Mr.Dominique M. Guillaume

The aim of this paper is to analyze the relationship between labor market flexibility and unemployment outcomes. Using a panel of 97 countries from 1985 to 2008, the results of the paper suggest that improvements in labor market flexibility have a statistically and significant negative impact on unemployment outcomes (over unemployment, youth unemployment and long-term unemployment). Among the different labor market flexibility indicators analyzed, hiring and firing regulations and hiring costs are found to have the strongest effect.

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International Monetary Fund

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1463948905

ISBN 13

9781463948900

Intradaily Exchange Rate Movements

By: Dominique M. Guillaume

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Intradaily Exchange Rate Movements

By: Dominique M. Guillaume

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Solve jigsaw puzzle

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Page Count

173

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461546214

ISBN 13

9781461546214

Book's by Dominique M. Guillaume

Intradaily Exchange Rate Movements

Intradaily Exchange Rate Movements

Systemic Risk, Aggregate Demand, and Commodity Prices

Systemic Risk, Aggregate Demand, and Commodity Prices

The Dynamic Effect of Social and Political Instability on Output

The Dynamic Effect of Social and Political Instability on Output

Crises, Labor Market Policy, and Unemployment

Crises, Labor Market Policy, and Unemployment

Labor Market Flexibility and Unemployment

Labor Market Flexibility and Unemployment

Intradaily Exchange Rate Movements

Intradaily Exchange Rate Movements

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