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Modeling the exchange rate using price levels and country risk

Regõs, Gábor - In: Cogent economics & finance 3 (2015) 1, pp. 1-10

This paper builds two factor discrete time models in order to investigate the effect of sovereign risk on the nominal exchange rates in a Markov switching framework. The empirical section of the paper uses seven currencies from Chile, the Czech Republic, Hungary, Iceland, Japan, Korea, and...

Persistent link: https://www.econbiz.de/10011449716

Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk?

Kustina, Lisa; Sudarsono, Rachmat; Effendi, Nury - In: Cogent economics & finance 12 (2024) 1, pp. 1-16

This study evaluates the relationship investor sentiment, exchange rate volatility, net foreign portfolio investment … Volatility on the country index crash risk. …

Persistent link: https://www.econbiz.de/10015394264

Volatility spillovers between the European and South African foreign exchange markets

Niyitegeka, Olivier; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro … datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from … the euro to the rand during crisis and post-crisis periods. Further, increased volatility spillovers and time …

Persistent link: https://www.econbiz.de/10012215203

The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe

Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...

Persistent link: https://www.econbiz.de/10014500215

Dynamic currency linkages between select emerging market economies : an empirical study

Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31

In this article, we examine the dynamic currency linkages for BRIS (Brazil, Russia, India and South Africa) and 15 other emerging market economies (EMEs) using weekly data from 2001 to 2018. Using the asymmetric dynamic conditional correlation (ADCC)-EGRARCH framework, we find that the average...

Persistent link: https://www.econbiz.de/10014232595

On the relationship between oil price, exchange rate and stock market performance in South Africa : further evidence from time-varying and regime switching approaches

Sanusi, Kazeem Abimbola; Mingiri, Kapingura Forget - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

volatility on other economic fundamentals. …

Persistent link: https://www.econbiz.de/10013415387

The MPC meetings, macroeconomic announcements and exchange rate behaviour in Nigeria

Gbadebo, A. Daniel; Adekunle, A. Oluwatobi; Akande, O. … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

Literature recognise that announcement impinge shocks which could shift the mean behaviour of the exchange rate. This study apply event driven models to analyse how the expectation of daily log-exchange rate and its daily log-return respond to all the 88 MPC meetings and selected CBN's...

Persistent link: https://www.econbiz.de/10013184181

Determinants of the ZAR/USD exchange rate and policy implications : a simultaneous-equation model

Hsing, Yu - In: Cogent economics & finance 4 (2016) 1, pp. 1-7

This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South African government bond yield, US real GDP, the...

Persistent link: https://www.econbiz.de/10011450559

Revisiting ECOWAS-Eurozone exports in the light of asymmetry

Mati, Sagiru; Ismael, Goran Yousif; Masoud, Serag; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-17

This article evaluates the asymmetric impact of exchange rate volatility on the exports of nine ECOWAS countries to the … effect of volatility on ECOWAS-Eurozone exports (EEE) is asymmetric. The study also investigates the impact of foreign income … coefficients. The results show that exchange rate volatility has an asymmetric effect on the EEE, which comprise both substitute …

Persistent link: https://www.econbiz.de/10015394230

Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements

Ishfaq, Muhammad; Muhammad Usman Arshad; Durrani, … - In: Cogent economics & finance 10 (2022) 1, pp. 1-28

The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were … exchange rates. The forex returns, bid-ask spread, and volatility indices demonstrated less vulnerability towards Chinese …

Persistent link: https://www.econbiz.de/10013431442