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

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

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Описание
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.