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Dynamic effect of exchange rate gap shocks on stock market deepening : evidence from Nigeria

Arikewuyo, Kareem Abidemi - In: CBN journal of applied statistics 14 (2023) 1, pp. 93-119

The study examines the exchange rate gap shock-stock market deepening nexus in Nigeria using the structural VAR-X (SVAR … significant effect on stock market deepening in Nigeria. It was also found that exchange rate passed-through interest rate from … implies that exchange rate gap is significantly and negatively related to interest rate and financial openness in Nigeria. It …

Persistent link: https://www.econbiz.de/10015393740

Reserve options mechanism : a new macroprudential tool to limit the adverse effects of capital flow volatility on exchange rates

Oduncu, Arif; Akçelik, Yasin; Ermişoǧlu, Ergun - In: Central Bank review / The Central Bank of the Republic … 13 (2013) 3, pp. 45-60

Persistent link: https://www.econbiz.de/10010340422

Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional Investors

Shah, Anand - 2017

In this study we model the monthly and the daily US, Euro Zone, UK and Australian exchange rates in India using the symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed student t error distributions. We also investigate the...

Persistent link: https://www.econbiz.de/10012962908

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is intended to be a resource for researchers seeking a...

Persistent link: https://www.econbiz.de/10003861767

The Crisis in the Foreign Exchange Market

Melvin, Michael - 2013

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is intended to be a resource for researchers seeking...

Persistent link: https://www.econbiz.de/10013095774

Drivers of exchange rate dynamics in selected CIS countries : evidence from a FAVAR analysis

Dreger, Christian; Fidrmuc, Jarko - 2011

We investigate the likely sources of exchange rate dynamics in selected member countries of the Commonwealth of Independent States (CIS; Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2010). Evidence is based on country VARs augmented by a regional...

Persistent link: https://www.econbiz.de/10011518862

Drivers of exchange rate dynamics in selected CIS countries : evidence from a FAVAR analysis

Dreger, Christian; Fidrmuc, Jarko - 2009

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....

Persistent link: https://www.econbiz.de/10011387304

Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the asian crisis vs. the global crisis

Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes,...

Persistent link: https://www.econbiz.de/10011568197

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin - 2010

Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well...

Persistent link: https://www.econbiz.de/10013147805

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chang, Chia-Lin - 2009

Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...

Persistent link: https://www.econbiz.de/10013154681