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Parity And Non-Parity Determinants Of Exchange Rates In Latin American Economies, Catherine S.F. Ho, Mohamed Ariff
Parity And Non-Parity Determinants Of Exchange Rates In Latin American Economies, Catherine S.F. Ho, Mohamed Ariff
Mohamed Ariff
This paper reports how non-parity fundamental factors together with parity factors are correlated with exchange rate movements. Seven Latin American countries were included in this study using a selection criterion that for a pair of countries to be included, the pair must have more than 50 per cent of trade with the group chosen. The econometric methods applied are appropriate to this topic and include pooled time series regression and seemingly unrelated regression. The findings show that there is support for short and long-run effects on exchange rates from inflation and interest rates. We entered non-parity factors suggested in recent …
Earnings Response Coefficients Of Oecd Banks: Tests Extended To Include Bank Risk Factors, Mohamed Ariff, Cheng Fan Fah, Soh Wei Ni
Earnings Response Coefficients Of Oecd Banks: Tests Extended To Include Bank Risk Factors, Mohamed Ariff, Cheng Fan Fah, Soh Wei Ni
Mohamed Ariff
We investigate two issues: Do share prices of banks in European markets respond to unexpected accounting earnings disclosures? Are share prices as well as unexpected earnings changes correlated with bank-relevant risk factors? Results reveal that bank share prices respond to unexpected earnings changes at the time of accounting reports in the same manner as the shares of the more widely-researched non-bank firms. Apart from finding significant earnings response coefficients in eight countries, we find that credit risk, price risk, exchange rate risk, and solvency risk are significantly correlated with share price changes. Third, three bank risk factors are significantly correlated …