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Exchange rate risk and uncertainty and trade flows: asymmetric evidence from Asia
Bahmani-Oskooee, Mohsen; Akhtar, Parveen; Ullah, Sana; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/128, pp. 1-16
Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which … rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was …
Persistent link: https://www.econbiz.de/10012309080
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The impact of exchange rate volatility on exports in Vietnam : a bounds testing approach
Nguyen Thi Thuy Vinh; Trinh Thi Thuy Duong - In: Journal of risk and financial management : JRFM 12 (2019) 1/6, pp. 1-14
This paper investigates the impact of exchange rate volatility on exports in Vietnam using quarterly data from the … testing approach to the analysis of level relationships between effective exchange rate volatility and exports. Using the … results show that exchange rate volatility negatively affects the export volume in the long run, as expected. A depreciation …
Persistent link: https://www.econbiz.de/10011961686
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External stocks and volatility overflow among the exchange rate of the Yen, Nikkei, TOPIX and sectoral stock indices
Sultonov, Mirzosaid - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …
Persistent link: https://www.econbiz.de/10012797403
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Does the exchange rate and its volatility matter for international trade in Ethiopia?
Nguse, Tiblets; Oshora, Betgilu; Fekete-Farkas, Maria; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-18
This study was carried out to investigate the impact of the Ethiopian exchange rate and its volatility on international … investigate how international trade responds to exchange rate levels and volatility. The study relied solely on secondary time … the long-term relationship between exchange rate level, volatility, and international trade performance. An error …
Persistent link: https://www.econbiz.de/10012799155
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GARCH modelling of cryptocurrencies
Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...
Persistent link: https://www.econbiz.de/10011854856
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The effect of exchange rate volatility on economic growth : case of the CEE countries
Morina, Fatbardha; Hysa, Eglantina; Ergün, Uğur; … - In: Journal of risk and financial management : JRFM 13 (2020) 8/177, pp. 1-13
. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of … this paper is to examine the effect of real effective exchange rate volatility on economic growth in the Central and … measurement of exchange rate volatility, is examined. The study uses annual data for fourteen CEE countries for the period 2002 …
Persistent link: https://www.econbiz.de/10012322007
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Asymmetrical linkages between foreign exchange and stock markets : empirical evidence through linear and non-linear ARDL
Luqman, Rabia; Kouser, Rehana - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13
The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...
Persistent link: https://www.econbiz.de/10011895619
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …
Persistent link: https://www.econbiz.de/10012388066
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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus
Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16
In this paper, we examine the impact of destination risk and currency valuation on the U.S. tourism-growth nexus using the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by tourist arrivals, while growth is measured by real...
Persistent link: https://www.econbiz.de/10013161866