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Bank of Japan Interventions and the Volatility of the Dollar/Yen Exchange Rate

Chortareas, Georgios; Jiang, Ying - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 1, pp. 25-36

We analyse the impact of Bank of Japan"s (BoJ) intervention on the volatility of the USD/JPY exchange rates under a regime switching framework. We find that the Yen intervention decreases the volatility, and the impact is only significant when market volatility is low.

Persistent link: https://www.econbiz.de/10014523091

Does central bank transparency deter the exchange rate volatility? New evidence from Asian emerging markets

Shamsi, Muhammad Aftab; Mehmood, Ahsan - In: Journal of Central Banking Theory and Practice 12 (2023) 2, pp. 133-163

Exchange rate volatility has emerged as a significant chal-lenge for Asian emerging markets since the adoption of the liberalization process. This study examines the influence of central banktransparency on exchange rate volatility using a sample of ten important Asian emerging markets. The...

Persistent link: https://www.econbiz.de/10014558506

Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period

Demirbas, Erkan; Can, Nurettin - In: Journal of Central Banking Theory and Practice 11 (2022) 3, pp. 155-178

This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of USD/TL exchange rate for the period 2013-2014. We construct four Models where four different variables are separately used that represent the...

Persistent link: https://www.econbiz.de/10014558527

To Segment or Not to Segment Markets? A Note on the Profitability of Market Segmentation for an International Oligopoly

Gallo, Fredrik - 2010

Recent research on endogenous market segmentation finds that a monopoly's expected profit under perfectly segmented markets increases (relative to its profits under perfectly integrated markets) with exchange rate volatility. The firm thus has an incentive to make consumer resale increasingly...

Persistent link: https://www.econbiz.de/10013208553

Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan

Jabeen, Munazza; Khan, Saud Ahmad - In: International Econometric Review (IER) 6 (2014) 2, pp. 58-76

What drives volatility in foreign exchange market in Pakistan? This paper undertakes an analysis of modelling exchange rate volatility in Pakistan by potential macroeconomic fundamentals well-known in the economic literature. For this, monthly data on Pak Rupee exchange rates in the terms of...

Persistent link: https://www.econbiz.de/10012610952

Exchange rate volatility and disaggregated manufacturing exports: Evidence from an emerging country

Zhang, Zhaoyong - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-25

The link between export performance and exchange rate policy has been attracting attention from policymakers, academics … policy that devalues the currency in Vietnam is an important factor for enhancing its export performance. However, it is also … between exchange rate devaluation, volatility, and export performance. The analysis focuses on the manufacturing sector and 10 …

Persistent link: https://www.econbiz.de/10012611082

Exchange rate risk and uncertainty and trade flows: Asymmetric evidence from Asia

Bahmani-Oskooee, Mohsen; Akhtar, Parveen; Ullah, Sana; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-16

Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which researchers assess the possibility of asymmetric response of trade flows to a measure of exchange rate uncertainty. We add to this literature by estimating a linear and a nonlinear...

Persistent link: https://www.econbiz.de/10012611357

Uncertainty and exchange rate volatility: The case of Mexico

López Noria, Gabriela; Bush, Georgia - 2019

This paper investigates the effect of uncertainty on the volatility of the Mexican peso U.S. dollar exchange rate for the period 1999 - 2018. The empirical analysis consists on estimating a model by OLS and System GMM that includes measures of economic, political, and financial uncertainty, both...

Persistent link: https://www.econbiz.de/10012616384

The impacts of public expenditure innovations on real exchange rate volatility in South Africa

Nuru, Naser Yenus; Gereziher, Hayelom Yrgaw - 2021

This study investigates the impacts of public expenditure innovations on exchange rate volatility in South Africa using quarterly data for the period 1970-2019. To achieve this objective, a version of the vector autoregressive impulse response model proposed by Jordà is employed and the...

Persistent link: https://www.econbiz.de/10012651143

Currency Depreciations in Emerging Economies: A Blessing or a Curse for External Debt Management?

Fisera, Boris; Tiruneh, Menbere Workie; Hojdan, David - 2021

We investigate the long-term effect of domestic currency depreciation on the external debt for a panel of 41 emerging economies over the years 1999-2019. Using heterogenous panel cointegration methods, we find that domestic currency depreciation leads to an increase in external debt to GDP ratio...

Persistent link: https://www.econbiz.de/10012695524