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.
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.