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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies 7 (2019) 1, pp. 1-17
Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …
Persistent link: https://www.econbiz.de/10013199514
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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17
Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …
Persistent link: https://www.econbiz.de/10012021528
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Dynamic currency linkages between select emerging market economies : an empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31
In this article, we examine the dynamic currency linkages for BRIS (Brazil, Russia, India and South Africa) and 15 other emerging market economies (EMEs) using weekly data from 2001 to 2018. Using the asymmetric dynamic conditional correlation (ADCC)-EGRARCH framework, we find that the average...
Persistent link: https://www.econbiz.de/10014232595
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10011605019
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947
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Price Discovery in Emerging Financial Markets during the Global Mortgage Crisis
Aktug, Erdem - 2011
Focusing on five major emerging markets (EM), I investigate the interactions between credit default swap (CDS) premiums, foreign exchange (FX) parities, local currency government bond (LCB) spreads, and national stock market indices over the period 4/2/2007 to 8/27/2009. Empirical analysis...
Persistent link: https://www.econbiz.de/10013128666
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Intraday Effect of News on Emerging European Forex Markets : An Event Study Analysis
Kočenda, Evžen - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...
Persistent link: https://www.econbiz.de/10012908658
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Financial Spillovers to Emerging Economies : the Role of Exchange Rates and Domestic Fundamentals
Ciarlone, Alessio - 2020
Financial integration of emerging economies is on the rise and so are financial and monetary spillovers, especially those originating from US economic policy decisions and the (related) evolution of the US dollar. We revisit the “trilemma” vs. “dilemma” hypothesis and assess whether, and...
Persistent link: https://www.econbiz.de/10012824769
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Testing Security Spanning, with Application to the Emerging Offshore Yuan Market
Bowden, Roger J. - 2014
Security market integration and spanning failures can arise from differential informational access or from administrative barriers to different types of investor, e.g. onshore versus offshore. However, where sufficient motivation exists, a parallel market could arise, where offshore investors...
Persistent link: https://www.econbiz.de/10013059975
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Do China and Oil Exporters Influence Major Currency Configurations?
Fratzscher, Marcel - 2015
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10012749953