Results 301 to 310 of about 404,142 (356)

The determinants of real exchange rate volatility in South Africa

, 2020
This paper investigates the determinants of exchange rate volatility in South Africa for the period 1986-–2013 using the New Open Economy Macroeconomics model by Obstfeld & Rogoff (1996) and Hau (2002).
Trust R. Mpofu
semanticscholar   +1 more source

Forecasting Exchange Rate Volatility

SSRN Electronic Journal, 2004
The relative out-of-sample forecasting quality of symmetric and asymmetric conditional volatility models of an exchange rate differs according to the symmetric and asymmetric evaluation criteria. Both symmetric and asymmetric forecast competitors of currency volatility are biased and systematically overpredict volatility.
openaire   +1 more source

Exchange rate and volatility: A bibliometric review

International Journal of Finance and Economics, 2020
The exchange rate is one of the most important prices in open economies. Exchange rate volatility (ERV) has been studied in terms of its measurement, forecast and impact and relationship with other variables. This article proposes a bibliometric analysis
Martha Flores-Sosa, Ezequiel Avilés-Ochoa, J. Merigó   +2 more
semanticscholar   +1 more source

MODEL UNCERTAINTY AND EXCHANGE RATE VOLATILITY*

International Economic Review, 2012
This article proposes an explanation for shifts in the volatility of exchange‐rate returns. Agents are uncertain about the true data generating model and deal with this uncertainty by making inference on the models and their parameters' approach, I call model learning.
openaire   +2 more sources

Comment on: Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect

Journal of Monetary Economics, 2002
The Devereux–Engel paper addresses two long-standing puzzles in international economics: exchange rate volatility and its disconnect. Solutions to these puzzles have eluded standard macroeconomic models, which typically underpredict the magnitude of exchange rate volatility and predict strong counterfactual relationships between exchange rates and ...
Margarida Duarte, Alan C Stockman
openaire   +1 more source

Impact of Exchange Rate Volatility on the US Exports: A New Evidence From Multiple Threshold Nonlinear ARDL Model

Journal of International Commerce Economics and Policy, 2019
This study extends previous literature by examining the effect of extremely large to extremely small changes in the exchange rate volatility on the US exports to developing countries such as Brazil, India, Mexico, and South Africa.
B. Chang, S. Rajput, N. Bhutto
semanticscholar   +1 more source

Exchange-rate volatility, exchange-rate disconnect, and the failure of volatility conservation [PDF]

, 2006
Empirical analysis of exchange rates has produced puzzles that conventional models of exchange rates cannot explain. Here we deal with four puzzles regarding both real and nominal exchange rates, which are robust and inconsistent with standard theory. These puzzles are that both real and nominal exchange rates: i) are disconnected from fundamentals, ii)
Alexei Deviatov, Igor Dodonov
openaire  

Exchange rate volatility and international trade

Journal of business research, 2023
M. Lal, S Kumar, Dharen Kumar Pandey, V. Rai, Weng Marc Lim   +4 more
semanticscholar   +1 more source

Economic Policy Uncertainty and Dollar-Pound Exchange Rate Return Volatility

Journal of International Money and Finance, 2018
The extent to which economic policy uncertainty (EPU) amplifies exchange rate volatility has been an important research question for at least a decade. Previous research has investigated this relationship using monthly data, concluding that EPU imparts ...
Zachary Bartsch
semanticscholar   +1 more source

Are exchange rates ‘excessively’ volatile?

Journal of International Economics, 1987
This paper applies standard variance bounds tests to assess whether the Dornbusch overshooting model can explain the volatility of exchange rates. The violation of some of the inequalities is consistent with the hypothesis that exchange rates are ‘excessively’ volatile.
openaire   +1 more source