Monetary Policy Analysis in Emerging Markets: The Modelling of Conditional Volatility in Mexico and other Developing Countries

 
9783639122763: Monetary Policy Analysis in Emerging Markets: The Modelling of Conditional Volatility in Mexico and other Developing Countries
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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.

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About the Author:

Dr. Mendoza has worked on emerging markets volatility and international finance, including monetary policy, financial crisis contagion and sovereign debt. His current research includes credit risk of local goverments. He has taught finance for different Universities including York and the University of Liverpool in the UK.

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Book Description Condition: New. Publisher/Verlag: VDM Verlag Dr. Müller | The Modelling of Conditional Volatility in Mexico and other Developing Countries | 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. | Format: Paperback | Language/Sprache: english | 310 gr | 228 pp. Seller Inventory # K9783639122763

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Book Description VDM Verlag, Germany, 2009. Paperback. Condition: New. Language: English . Brand New Book. 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. Seller Inventory # KNV9783639122763

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