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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

argued that such a policy could result in the harmful consequence of exchange rate volatility. This study analyzes the link … between exchange rate devaluation, volatility, and export performance. The analysis focuses on the manufacturing sector and 10 … short run, whereas the resulting exchange rate volatility has clear negative effects in the long run. The impact of exchange …

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 … rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was …

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

Bonds, currencies and expectational errors

Granziera, Eleonora; Sihvonen, Markus - 2020

We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it largely explains why short rates and yield spreads predict...

Persistent link: https://www.econbiz.de/10012614201

Corporate investment and the exchange rate: The financial channel

Banerjee, Ryan; Hofmann, Boris; Mehrotra, Aaron N. - 2020

Using firm-level data for 18 major global economies, we find that the exchange rate affects corpo-rate investment through a financial channel: exchange rate depreciation dampens corporate invest-ment through firm leverage and FX debt. These findings are consistent with the predictions of a...

Persistent link: https://www.econbiz.de/10012614228

Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020

We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … volatility spillovers. The VIRF results show that the CNH exchange rate promptly reflects the global market demand and supply … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to …

Persistent link: https://www.econbiz.de/10012614244

Exports and invoicing: Evidence from the 2015 Swiss Franc appreciation

Auer, Raphael A.; Burstein, Ariel T.; Erhardt, Katharina; … - 2020

The Swiss National Bank's (SNB) elimination of the lower bound on the EUR/CHF exchange rate on January 15 2015 provides a unique setting to study how prices and quantities respond to changes in nominal exchange rates. In this paper, we complement the study of imports in Auer et al. (2020) by...

Persistent link: https://www.econbiz.de/10012614657

Evolución y características del traspaso del tipo de cambio a precios en México

Angeles Galvan, Daniel; Cortés Espada, Josué Fernando; … - 2019

This paper analyzes the exchange rate pass through to consumer prices in Mexico using different methodologies. First, we estimate Vector Autoregressive Models (VAR). Subsequently, we estimate Autoregressive Distributed Lags Models (ARDL) in order to make a long run analysis. In particular, we...

Persistent link: https://www.econbiz.de/10012616382

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 … results show that greater uncertainty leads to higher exchange rate volatility; measures of international uncertainty are … exchange rate volatility; and there is evidence of an amplifying effect of domestic economic uncertainty on exchange rate …

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

Nonlinear exchange rate pass-through in Mexico

Jaramillo Rodríguez, Jorge; Pech Moreno, Luis Alberto; … - 2019

This paper aims to investigate if the exchange rate pass-through (ERPT) to consumer prices follows a nonlinear behavior in Mexico. To look for nonlinearities, we employ a Threshold VAR approach (TVAR). The threshold allows us to differentiate regimes of "high" or "low" depreciation and the...

Persistent link: https://www.econbiz.de/10012616388

Covered interest parity: A stochastic volatility approach to estimate the neutral band

Hernández, Juan Ramón - 2020

proposes an estimate of the neutral band based on the one-step-ahead density forecast obtained from a stochastic volatility … stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …

Persistent link: https://www.econbiz.de/10012616395