Extracting shadow exchange rates and foreign exchange premia during currency crises: an example from Egypt
Author's Department
Management Department
Second Author's Department
Management Department
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http://www.tandfonline.com/doi/full/10.1080/13504851.2018.1433291
Document Type
Research Article
Publication Title
Applied Economics Letters
Publication Date
1-29-2018
doi
10.1080/13504851.2018.1433291
Abstract
We utilize high-frequency data and a novel synchronous trade-matching algorithm to show that shadow exchange rates could be estimated from price spreads between depositary receipts and their underlying local stocks using an example of the recent Egyptian currency crisis. These shadow rates reflect the local black market foreign exchange rates in addition to a foreign exchange premium, which we attribute to the cost of expatriating capital during currency and capital control periods.
First Page
32
Last Page
36
Recommended Citation
APA Citation
Bassiouny Mohamed,, A.
&
Tooma, E. A.
(2018). Extracting shadow exchange rates and foreign exchange premia during currency crises: an example from Egypt. Applied Economics Letters, 26(1), 32–36.
10.1080/13504851.2018.1433291
https://fount.aucegypt.edu/faculty_journal_articles/213
MLA Citation
Bassiouny Mohamed,, Aliaa, et al.
"Extracting shadow exchange rates and foreign exchange premia during currency crises: an example from Egypt." Applied Economics Letters, vol. 26,no. 1, 2018, pp. 32–36.
https://fount.aucegypt.edu/faculty_journal_articles/213