Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors [PDF]
Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in ...
Albert K. Tsui, Prabhath Jayasinghe
core
Robustness and Exchange Rate Volatility
, 2012 This paper studies exchange rate volatility within the context of the monetary model of exchange rates. We assume agents regard this model as merely a benchmark, or reference model, and attempt to construct forecasts that are robust to model misspecification.
Kasa, Ken, Djeutem, Edouard
openaire +1 more source
Exchange rate dynamics in a target zone: a heterogeneous expectations approach [PDF]
We present a simple behavioral model with chartists and fundamentalists and analyze their trading behavior in a floating regime and in a target zone regime.
Bauer, Christian +2 more
core
Non-fundamental exchange rate volatility and welfare [PDF]
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the ...
Straub, Roland, Tchakarov, Ivan
core
Does inflation targeting lead to excessive exchange rate volatility? [PDF]
This paper analysis whether the adoption of inflation targeting affects excessive exchange rate volatility, i.e. the share of exchange rate fluctuations not related to economic fundamentals.
Thórarinn G. Pétursson
core +1 more source
Managing Exchange Rate Volatility: A Comparative Counterfactual Analysis of Singapore 1994 to 2003 [PDF]
The objective of this paper is see how well Singapore’s exchange rate regime has coped with exchange rate volatility before and after the Asian financial crisis by comparing the performance of Singapore’s actual regime in minimising the volatility of the
Henry Ng Shang Ren, Peter Wilson
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Exchange Rate Volatility and Export Trade in Nigeria: An Empirical Investigation [PDF]
The paper seeks to quantitatively assess the impact of exchange rate volatility on non oil export flows in Nigeria. Theoretically, volatility-trade link is ambiguous, although a strand of studies reported inverse link between export flow and volatility ...
Aliyu, Shehu Usman Rano
core +1 more source
Markov Switching Garch Models of Currency Crises in Southeast Asia [PDF]
This paper develops a model which is able to forecast exchange rate turmoil. Our starting point relies on the empirical evidence that exchange rate volatility is not constant.
Augustine H. H. Tan +3 more
core
How do price spillovers between natural gas and copper-aluminum markets differ in international vs. Chinese contexts? [PDF]
PLoS OneWang L, Lu Q, Chen T, Xiao B.
europepmc +1 more source
Crofton Risk and Relative Transactional Entropy. [PDF]
Entropy (Basel)Makowski M, Piotrowski EW.
europepmc +1 more source