Author: Fuat SekmenPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Essays in exchange rate volatility and international trade, exchange rate volatility and stock returns for the United States and Turkey, and political corruption
Author: Fuat SekmenEssays on Exchange Rate Volatility and International Trade, Exchange Rate Volatility and Stock Returns for the U.S. and Turkey, and Political Corruption
Author: Fuat SekmanEssays in International Trade, Exchange Rate Volatility and Asset Market Structure
Author: Anne Marjaana MikkolaPublisher:
ISBN:
Category : International finance
Languages : en
Pages : 240
Book Description
Exchange Rate Volatility and Trade Flows--Some New Evidence
Author: International Monetary FundPublisher: International Monetary Fund
ISBN: 1498330282
Category : Business & Economics
Languages : en
Pages : 132
Book Description
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Essays on Real Exchange Rate Volatility and Openness in International Trade
Author: Abelardo Salazar NeavesPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This work comprises five chapters that explore in detail issues related to real exchange rate volatility and trade openness. In the case of real exchange rate volatility, we start with the decomposition of this measure to determine the relative contribution of traded and nontraded goods to the variance of the real exchange rate. We obtain evidence in favour of a relevant role for non-traded goods. Our estimation of the real exchange rate volatility is included in the second chapter. Our results, based on a cross-section regression, show that the existing link of openness to real exchange rate volatility is weaker when we control for imposed and natural trade barriers. At the same time we are able to obtain a relationship between inflation volatility and the variation of the real exchange rate. Chapters three and four are related to our real exchange rate volatility model. We decide to obtain a specication for openness that could help us explore in detail the idea of country characteristics aecting trade flows. Our rst approach considers a cross-section estimation to identify the factors that consistently aect trade openness. The second approach considers a more dynamic specication. We are able to establish a link between country characteristics and trade openness. At the same time our results capture interesting changes in the eects of the dependent variables on openness across time. The final chapter takes us back to the analysis of real exchange rate volatility. In this case, we explore which measure is the most appropriate amongst those calculated from series in levels and the ones in first dierences. We conclude that series that do not show less stationary behaviour require longer time series (more observations) in order to display results that close to the reference value.
A New Look at Exchange Rate Volatility and Trade Flows
Author: Peter Barton ClarkPublisher: Occasional Papers
ISBN: 9781589063587
Category : Business & Economics
Languages : en
Pages : 63
Book Description
The effect of exchange rate volatility on trade flows was examined by a 1984 IMF study on G-7 countries. Over the past two decades, many developments in the world economy, such as the currency crises in the 1990s and increasing cross-border capital flows, may have exacerbated exchange rate volatility, while others, such as a deepening of the market in foreign exchange hedging instruments, may have reduced the impact of volatility on trade flows. Using recent advances in the economic theories on trade and in statistical methodologies, this paper revisits this important issue by taking into account these new developments and examining their effects on developing and transition economies, as well as on developed countries.
Exchange Rate Volatility, Pricing to Market and Trade Smoothing
Author: Peter B. ClarkPublisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 46
Book Description
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities in the presence of market segmentation and pricing to market. Firms stabilize destination prices through systematic price discrimination, limiting the degree of exchange rate pass-through. Consequently, the variability of exchange rates is not fully translated into prices and quantities at the point of destination. Empirical estimates using aggregate price data for the G-7 industrial countries show incomplete pass-through in variances, with considerable variation among these countries. U.S. industry specific data also indicate incomplete pass-through in most cases, with considerable variation across industries.
Essays on Exchange Rate Volatility
Author: Nikolaos AntonakakisPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This thesis explores a number of aspects of time series modelling of exchange rate volatility. After having reviewed the main modelling approaches used in the existing literature, the first key chapter investigates the best models for forecasting the volatility of daily exchange rate returns for a number of countries, including new results for a selection of developing countries. The superior performance of the FIGARCH model, noted in the recent literature, is confirmed in the case of industrialised countries, but the MARCH model results in substantial gains in insample estimation and out-of-sample forecasting performance when dealing with developing countries. The next essay investigates exchange rate volatility co-movements and spillovers before and after the launch of the Euro. This study has the advantage of a longer sample period than the most comparable papers. Key results are that the dominance of the Deutschemark in volatility transmission was succeeded by the dominance of the Euro following its launch, in that both exert unidirectional and persistent spillovers on the sterling, the Swiss franc and the Japanese yen. Further, there is evidence of greater stability in financial markets after the launch of the Euro in that conditional variances, covariances and correlations in exchange rate returns declined significantly. Finally the thesis turns to assessing the impact of official central bank interventions (CB1s) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.
Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes
Author: Piet SercuPublisher: Cambridge University Press
ISBN: 9780521562942
Category : Business & Economics
Languages : en
Pages : 172
Book Description
Recent years have seen a substantial increase in the volatility of exchange rates. This trend has prompted economists and finance analysts to question if the observed behavior of exchange rates is consistent with a rational model. Does that volatility, further, hinder trade? Professors Sercu and Uppal examine these issues in the context of dynamic general equilibrium models, explicitly considering the role of financial markets while allowing for commodity markets to be segmented across countries. They show that the implications of the theoretical model for exchange rates in this context are quite different from those put forth by monetary theorists and proponents of purchasing power parity arguments.
Author: Oktay Öksüzler