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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubák, Vít; Kocenda, Evžen; Zikes, Filip - CESifo - 2010
-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no … spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty. …This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign …
Persistent link: https://www.econbiz.de/10008572532
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The Impact of Exchange Rate Volatility on Trade: A Panel Study on Pakistan’s Trading Partners
Khan, Abdul Jalil; Azim, Parvez; Syed, Shabib Haider - In: Lahore Journal of Economics 19 (2014) 1, pp. 31-66
This study investigates the impact of domestic and foreign currency-valued exchange rate volatility on the export and … least-squares dummy variable technique with fixed-effects estimation to measure the volatility impact on both demand … functions. The study evaluates a series of exchange rates from 1970:01 to 2009:12 to compare the long-run impact of volatility …
Persistent link: https://www.econbiz.de/10010861908
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How does trading volume affect financial return distributions?
Do, Hung Xuan; Brooks, Robert; Treepongkaruna, Sirimon; … - In: International Review of Financial Analysis 35 (2014) C, pp. 190-206
trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility … volatility. We also find that the direct impact of volume on the level of negative skewness is less significant for more …
Persistent link: https://www.econbiz.de/10011077782
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Joint dynamics of foreign exchange and stock markets in emerging Europe
Ülkü, Numan; Demirci, Ebru - In: Journal of International Financial Markets, … 22 (2012) 1, pp. 55-86
This paper proposes an ideal specification for studying joint dynamics of emerging stock and foreign exchange markets, and applies it on European emerging markets where this interaction is of particular significance due to large external deficits. Results show that global developed and emerging...
Persistent link: https://www.econbiz.de/10011041487
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Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan
Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2008
We investigate the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. No previous study has considered the intraday JPY/USD exchange rate responses to a broad...
Persistent link: https://www.econbiz.de/10005749956
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Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data
Fatum, Rasmus; King, Michael R. - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2005
volatility. Interestingly, there is no indication that discretionary intervention is more effective than rules-based intervention. …
Persistent link: https://www.econbiz.de/10005749963
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Variance Risk Premiums in Foreign Exchange Markets
Ammann, Manuel; Buesser, Ralf - School of Finance, Universität St. Gallen - 2013
general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …
Persistent link: https://www.econbiz.de/10010686709
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Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?
Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - Økonomisk Institut, Københavns Universitet - 2010
This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to...
Persistent link: https://www.econbiz.de/10008611102
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The intraday effects of central bank intervention on exchange rate spreads
Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - In: Journal of International Money and Finance 33 (2013) C, pp. 103-117
We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention...
Persistent link: https://www.econbiz.de/10011048538
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Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates
Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - In: Journal of the Japanese and International Economies 26 (2012) 4, pp. 542-560
This paper investigates the possible asymmetric response of 5-min intraday JPY/USD exchange rates to macroeconomic news announcements during 1999–2006 when the Japanese money market interest rate was effectively zero. This period provides a unique institutional setting when interest rates may...
Persistent link: https://www.econbiz.de/10011049607