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The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
argued that such a policy could result in the harmful consequence of exchange rate volatility. This study analyzes the link … between exchange rate devaluation, volatility, and export performance. The analysis focuses on the manufacturing sector and 10 … short run, whereas the resulting exchange rate volatility has clear negative effects in the long run. The impact of exchange …
Persistent link: https://www.econbiz.de/10011961540
In this paper, we investigate the "static and dynamic" return and volatility spillovers’ transmission across developed …-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers …-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and …
Persistent link: https://www.econbiz.de/10012605811
This paper analyzes the effects of real exchange rate volatility on the United States’ exports to BRICS. It focuses on … exchange rate volatility on exports, it also uses the method of the Autoregressive Distributed Lag (ARDL) approach to … cointegration analysis and error-correction models. Two measures of exchange rate volatility are used in this study. According to …
Persistent link: https://www.econbiz.de/10012821337
This paper aims to examine the symmetric and asymmetric effects of third country exchange rate volatility on the trade … and import industries are the sample frame. We find that separating increased volatility from declines and introducing a … nonlinear adjustment to the volatility shows a more significant outcome than symmetric analysis. Different industries carry …
Persistent link: https://www.econbiz.de/10013371137
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
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
This Special Issue publishes high quality papers on contemporary issues in business and economics in Vietnam and other Asian emerging markets. These papers were accepted and presented at the 2019 Vietnam's Business and Economics Research Conference (VBER2019) organized by Ho Chi Minh City Open...
Persistent link: https://www.econbiz.de/10012305078
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
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