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Price Dynamics in the Belarusian Black Market for Foreign Exchange

Huett, Hannes and Krapf, Matthias and Uysal, Selver Derya. (2014) Price Dynamics in the Belarusian Black Market for Foreign Exchange. Journal of international economics, 94 (1). pp. 169-176.

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Official URL: http://edoc.unibas.ch/55486/

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Abstract

Using unique data from an internet-based foreign-exchange trading platform, we show that the black market efficiently incorporated public information on the state of the Belarusian economy during the Balance of Payments crisis of 2011. Between May and October 2011, the government repeatedly devalued the Belarusian ruble and eventually abandoned its fixed exchange rate regime. Measures derived from black market transaction data have significant predictive power for these devaluations. The significance of these black market measures survives even when we include standard macroeconomic indicators in our forecasting model. In line with standard economic theory, activity in the black market has dried up subsequently.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Angewandte ├ľkonometrie (Schmidheiny)
UniBasel Contributors:Krapf, Matthias
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Elsevier
ISSN:0022-1996
e-ISSN:0976-0792
Note:Publication type according to Uni Basel Research Database: Journal article
Identification Number:
Last Modified:25 Jul 2018 14:37
Deposited On:25 Jul 2018 14:37

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