Extracting shadow exchange rates and foreign exchange premia during currency crises: an example from Egypt
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DOI: 10.1080/13504851.2018.1433291
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… read more here.
Keywords: foreign exchange; currency; shadow exchange; example ... See more keywords