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Exchange-rate volatility and Malaysian-Thai bilateral industry trade flows
Journal of Economic Studies, 2017Muhammad Aftab +2 more
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Volatility, Intermediaries and Exchange Rates
SSRN Electronic Journal, 2016This paper studies how financial market volatility drives exchange rates through the risk management practice of financial intermediaries. We build a model in which the major participants in the international financial market are levered intermediaries subject to Value-at-Risk constraints.
Xiang Fang, Yang Liu
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Modeling Exchange Rate Volatility
Review of International Economics, 2010This paper investigates the impact of the volatility of the underlying macroeconomic fundamentals on exchange rate volatility utilizing the bounds testing approach to cointegration. The results show that, in the long run the volatility of the money supply is the sole determinant, whereas in the short run overshooting is found.
Balg B, Metcalf H
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2003
In chapter 2 we have considered a monetary model with completely flexible prices and in chapter 3 contrasted this model type with a fixed price model where quantities rather than prices adjusted in order to clear the markets for the domestically produced and the foreign good.
Toichiro Asada +3 more
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In chapter 2 we have considered a monetary model with completely flexible prices and in chapter 3 contrasted this model type with a fixed price model where quantities rather than prices adjusted in order to clear the markets for the domestically produced and the foreign good.
Toichiro Asada +3 more
openaire +1 more source
Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach
, 2020We utilize a fundamentals-based component volatility model to forecast the short-run volatility of exchange rate changes using monetary fundamentals quoted at different frequencies.
Yu You, Xiaochun Liu
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Forecasting exchange rate volatility
Economics Letters, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Causes of Exchange Rate Volatility
Asian Journal of Economics, Business and Accounting, 2023This study examined the determinants of exchange rate volatility basing evidence on 7 African countries; Niger, Sudan, Cameron, Equatorial Guinea, Tunisia, Congo, and Cote D’Ivoire from 1990-2023. The study conducted the Autoregressive Distributive Lag (ARDL) bounds testing for co-integration and also estimated the error correction model.
Umoru, David +2 more
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Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries
Journal of economic and administrative sciences, 2020PurposeThe purpose of this study is to examine the effect of asymmetric structure inherent in exchange rate volatility on trade in sub-Saharan African countries from 2005 to 2017.Design/methodology/approach17 countries in sub-Saharan African Countries ...
J. Dada
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The Impact of COVID-19 on Exchange Rate Volatility: Evidence Through GARCH Model
Social Science Research Network, 2020This paper employs a GARCH (1,1) model to investigate the impact of COVID-19 cases and related deaths in the US exchange rate volatility. Results show that an increase of the number of cases and the deaths (both in logs) in the US has a positive impact ...
Lamia Benzid, K. Chebbi
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Nominal exchange rate volatility, relative price volatility, and the real exchange rate
Journal of International Money and Finance, 2010Abstract We model real exchange rate, nominal exchange rate, and relative price volatility using real and nominal factors. We analyze these volatility measures across developing and industrialized countries. We find that the inclusion of nominal factors achieves a sizable reduction in the real exchange rate volatility spread between developing and ...
Srideep Ganguly, Janice Boucher Breuer
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