The Premium in Black Foreign Exchange Markets: Evidence from Developing Economies

In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 21, Heft 1, S. 1-39

Abstract

Examines the determinants of the premia between the black & official exchange rates using monthly data for 17 developing countries (Bangladesh, Brazil, Fiji, Gambia, Ghana, Guyana, Hungary, Ireland, Jamaica, Kenya, Nepal, Nigeria, Philippines, Somalia, South Africa, Uganda, & the former Yugoslavia). The premium is hypothesized to be positively influenced by the official depreciation-adjusted interest rates differential & dollar value of domestic assets, & negatively influenced by the official real exchange rate, exports, & a seasonal factor associated with tourism. In general, the results are very supportive of the model. It is found that the interest rate differential & assets positively influence the premium, while the official real exchange rate negatively influences the premium. 3 Tables, 20 Figures, 3 Appendixes, 28 References. Adapted from the source document.