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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… Click to show full abstract
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.
Keywords:
foreign exchange;
currency;
shadow exchange;
example;
exchange rates;
exchange
Journal Title: Applied Economics Letters
Year Published: 2019
Link to full text (if available)
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Journal Title: Applied Economics Letters
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!