Results 301 to 310 of about 691,501 (336)

The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices

, 2020
Using daily data from March 16, 2011, to September 9, 2019, we explore the dynamic impact of the oil implied volatility index (OVX) changes on the Chinese stock implied volatility index (VXFXI) changes and on the USD/RMB exchange rate implied volatility ...
Meiyu Tian, Wanyang Li, Fenghua Wen
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

Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico

Resources policy, 2019
This study investigates the dynamic relationship among international oil prices, international gold prices, exchange rate and stock market index in Mexico.
Shelly Singhal, Sangita Choudhary, P. Biswal   +2 more
semanticscholar   +1 more source

Asymmetric effect of extreme changes in the exchange rate volatility on the US imports

, 2020
Recent literature has shifted to examining whether exchange rate volatility symmetrically or asymmetrically affects the trade flows. This study aims to extend the existing literature by examining the effects of extremely large to extremely small changes ...
B. Chang, S. Rajput, N. Bhutto, Z. Abro
semanticscholar   +1 more source

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

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

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

Exchange rate comovements, hedging and volatility spillovers on new EU forex markets

Journal of international financial markets, institutions, and money, 2019
We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty, the Hungarian forint and the dollar/euro from 1999 to 2016. We apply the dynamic conditional correlations (DCC) model and the Diebold
E. Kočenda, Michala Moravcová
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