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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…mehr

Produktbeschreibung
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.
Autorenporträt
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.