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A large body of literature documents that returns from currency speculation are hightly volatile and possess a predictable component, which is itself highly volatile and serially correlated. Explaining the returns from currency speculation through the presence of a risk premium has proven...
Persistent link: https://www.econbiz.de/10014150335
This article empirically examines the consequences of political uncertainty on the nominal exchange rate returns and the volatility for over hundred countries around the world. We used the monthly political risk data from the International Country Risk Guide and formed three measures of...
Persistent link: https://www.econbiz.de/10013023799
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors. We find that both categories of risk factors are relevant to understanding and explaining carry return, with an outperformance for volatility ones especially the global FX...
Persistent link: https://www.econbiz.de/10012989965
In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared....
Persistent link: https://www.econbiz.de/10012966343
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...
Persistent link: https://www.econbiz.de/10003462987
The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there...
Persistent link: https://www.econbiz.de/10013003256
The topic of contagion has gained importance in the last few decades, earning its place amongst the most debated topics in international economics. Contagion is a phenomenon where market disturbances in crisis times are observed to spread from one country to the other in the form of comovements...
Persistent link: https://www.econbiz.de/10011964042
This study employs the ARDL cointegration approach in order to examine the impact of financial liberalization on the relationships between the exchange rate and share market performance in China. We discovered that cointegration has existed between the Shanghai A Share Index and the exchange...
Persistent link: https://www.econbiz.de/10013047647
This chapter complements exiting African liberalization literature by providing fresh patterns of two main areas. First, it assesses whether African banking institutions have benefited from liberalization policies in terms of bank returns. Second, it models bank return and return uncertainty in...
Persistent link: https://www.econbiz.de/10013032543
Persistent link: https://www.econbiz.de/10001448897