Title

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

All Authors

Aliaa Elbassiouny; Eskandar Adel Tooma

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

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