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We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...
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/methodology/approach: We formulated the following hypothesis: Depreciation of the Euro versus American dollar exchange rate occurred in the … period of financial and fiscal crisis (2008-2014). The main reasons for that included: fiscal crisis in the euro area …, implementation of standard and non–standard (quantitative easing) ECB monetary policy measures and growth of money supply in the euro …
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Before the crisis of 1997-98, the East Asian economies except for Japan but including China pegged their currencies to the U.S. dollar. To avoid further turmoil, the IMF now argues that these currencies should float more freely. However, our econometric estimations show that the dollar's...
Persistent link: https://www.econbiz.de/10012729302
Before the crisis of 1997/98, the East Asian economies - except for Japan but including China - pegged their currencies to the US dollar. To avoid further turmoil, the IMF argues that these currencies should float more freely. However, the authors' econometric estimations show that the dollar's...
Persistent link: https://www.econbiz.de/10014070350
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
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