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dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …
Persistent link: https://www.econbiz.de/10011897569
, two main issues are investigated: the impact on international trade of exchange rate volatility and of currency … misalignments. On average, exchange rate volatility has a negative (even if not large) impact on trade flows. The extent of this … consistent across different studies. -- exchange rates ; volatility ; misalignments ; international trade flows …
Persistent link: https://www.econbiz.de/10009571263
This paper studies how firm-level export performance is affected by Real Exchange Rate (RER) volatility and … than 100,000 Chinese exporters over the 2000-2006 period. We confirm a trade-deterring effect of RER volatility. We find … volatility and that this effect is magnified for financially vulnerable firms. As expected, financial development seems to dampen …
Persistent link: https://www.econbiz.de/10009765054
This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … exhibit a higher volatility than other prices. The numerical analysis shows examples which confirm the typical empirically … observed high volatility of nominal exchange rates compared with that of real/domestic variables. …
Persistent link: https://www.econbiz.de/10011538984
Persistent link: https://www.econbiz.de/10011402689
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data...
Persistent link: https://www.econbiz.de/10002521681
rates ; causality-in-variance ; cointegration …
Persistent link: https://www.econbiz.de/10009727058
Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric effects. We use monthly time-series data over the...
Persistent link: https://www.econbiz.de/10013177135
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010249640