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Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors
Jayawickrama, Ananda; Abeysinghe, Tilak - East Asian Bureau of Economic Research (EABER) - 2007
Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely : sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the...
Persistent link: https://www.econbiz.de/10009363774
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Time-Varying Currency Betas : Evidence from Developed and Emerging Markets
Jayasinghe, Prabhath; Tsui, Albert K. - East Asian Bureau of Economic Research (EABER) - 2009
This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...
Persistent link: https://www.econbiz.de/10009363801
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Indian Capital Control Liberalization : Evidence from NDF Markets
Hutchison, Michael; Kendall, Jake; Pasricha, Gurnain; … - East Asian Bureau of Economic Research (EABER) - 2009
no-arbitrage bandwidth whose boundaries are determined by transactions costs and capital controls. Inside of the bands …, small deviations from CIP follow a random walk process. Outside the bands, profitable arbitrage opportunities exist and we … adjustment (above and below the band thresholds), which may vary depending on how arbitrage activity is constrained by capital …
Persistent link: https://www.econbiz.de/10009363806
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Stock Market Co-Movement and Exchange Rate Flexibility : Experience of the Republic of Korea
Park, Yung Chul; Park, Hail - East Asian Bureau of Economic Research (EABER) - 2014
This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...
Persistent link: https://www.econbiz.de/10010901623
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Stock Market Co-Movement and Exchange Rate Flexibility : Experience of the Republic of Korea
Park, Yung Chul; Park, Hail - East Asian Bureau of Economic Research (EABER) - 2014
This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...
Persistent link: https://www.econbiz.de/10010901626
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The Yuan’s Exchange Rates and Pass-through Effects on the Prices of Japanese and US Imports
Xing, Yuqing - East Asian Bureau of Economic Research (EABER) - 2010
This paper estimated the pass-through effects of yuans exchange rates on prices of the US and Japanese imports from the Peoples Republic of China (PRC). Empirical results show that, a 1% nominal appreciation of the yuan would result in a 0.23% increase in prices of the US imports in the short...
Persistent link: https://www.econbiz.de/10009363397
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PROSPECTS FOR ENHANCED EXCHANGE RATE COOPERATION IN EAST ASIA : SOME PRELIMINARY FINDINGS FROM GENERALIZED PPP THEORY
Wilson, Peter; Choy, Keen Meng - East Asian Bureau of Economic Research (EABER) - 2006
theory of Generalized Purchasing Power Parity (G-PPP), which looks at the behavior of long-run real exchange rates, to assess …
Persistent link: https://www.econbiz.de/10009363934
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MANAGING EXCHANGE RATE VOLATILITY : A COMPARATIVE COUNTERFACTUAL ANALYSIS OF SINGAPORE 1994 TO 2003
Wilson, Peter; Ren, Henry Ng Shang - East Asian Bureau of Economic Research (EABER) - 2006
The objective of this paper is see how well Singapores exchange rate regime has coped with exchange rate volatility before and after the Asian financial crisis by comparing the performance of Singapores actual regime in minimising the volatility of the nominal effective exchange rate (NEER) and...
Persistent link: https://www.econbiz.de/10009363991
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A Short-Run Analysis of Exchange Rates and International Trade with an Application to Australia, New Zealand, and Japan
Anson, José; Boffa, Mauro; Helble, Matthias - East Asian Bureau of Economic Research (EABER) - 2014
sellers. For an increasing number of tradable goods, they can take advantage of arbitrage opportunities between online and … offline transactions. One of the key exogenous elements behind this arbitrage is exchange rate movements. The existing …-term international arbitrage. However, empirical evidence of international short-term arbitrage has so far been lacking due to data …
Persistent link: https://www.econbiz.de/10010857580
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A Short-Run Analysis of Exchange Rates and International Trade with an Application to Australia, New Zealand, and Japan
Anson, José; Boffa, Mauro; Helble, Matthias - East Asian Bureau of Economic Research (EABER) - 2014
sellers. For an increasing number of tradable goods, they can take advantage of arbitrage opportunities between online and … offline transactions. One of the key exogenous elements behind this arbitrage is exchange rate movements. The existing …-term international arbitrage. However, empirical evidence of international short-term arbitrage has so far been lacking due to data …
Persistent link: https://www.econbiz.de/10010857584