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Nonlinear relationship between exchange rate volatility and economic growth

Phiri, Andrew - 2018

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

Persistent link: https://www.econbiz.de/10011870188

Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies : evidence from the COVID-19 outbreak period

Rai, Karan; Garg, Bhavesh - In: Applied economics letters 29 (2022) 8, pp. 738-745

Persistent link: https://www.econbiz.de/10013171046

Models of exchange rate expectations : heterogeneous evidence from panel data

Bénassy-Quéré, Agnès; Larribeau, Sophie; MacDonald, … - 1999

Persistent link: https://www.econbiz.de/10001365260

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1995

Persistent link: https://www.econbiz.de/10000929607

Models of exchange rate expectations : how much heterogeneity?

Bénassy-Quéré, Agnès; Larribeau, Sophie; MacDonald, … - In: Journal of international financial markets, … 13 (2003) 2, pp. 113-136

Persistent link: https://www.econbiz.de/10001950037

Smooth transition autoregressive-GARCH model in forecasting non-linear economic time series data

Oyewale, Akintunde Mutairu; Kehinde, Shangodoyin Dahud; … - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 11-19

The regime switching models are particularly popular in the comity of non-linear models; it is of interest to investigate regime switching models with GARCH specification. GARCH model was augmented with STAR model vis-a vis Exponential autoregressive GARCH (EAR-GARCH), Exponential smooth...

Persistent link: https://www.econbiz.de/10009769902