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On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - 2003
as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of …
Persistent link: https://www.econbiz.de/10010296439
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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
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Short-Run and Long-Run Effects of Exchange Rate Volatility on the Volume of Exports: A Case Study for Pakistan
Aurangzeb, A.; Stengos, Thanasis; Mohammad, Asif U. - In: International Journal of Business and Economics 4 (2005) 3, pp. 209-222
This paper investigates empirically the impact of exchange rate volatility on Pakistan's exports to its major trading partners under the floating exchange rate regime for the period 1985 to 2001. Estimates of the co-integrating relations are obtained using Johansen's technique, and estimates of...
Persistent link: https://www.econbiz.de/10010599006
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One-Step-Ahead Forecastability of GARCH (1,1): A Comparative Analysis of USD- and PKR-Based Exchange Rate Volatilities
Khan, Abdul Jalil; Azim, Parvez - In: Lahore Journal of Economics 18 (2013) 1, pp. 1-38
-step-ahead forecastabilities by employing four major forecasting evaluation criteria, and compares two different currencies— the Pakistan rupee and …
Persistent link: https://www.econbiz.de/10010905735
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Analysis of Macroeconomic Determinants of Exchange Rate Volatility in India
Mirchandani, Anita - In: International Journal of Economics and Financial Issues 3 (2013) 1, pp. 172-179
The Foreign Exchange Market in India has undergone substantial changes over last decade. It is imperative by the excessive volatility of Indian Rupee causing its depreciation against major dominating currencies in international market. This research has been carried out in order to investigate...
Persistent link: https://www.econbiz.de/10010602025
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A Nonparametric Study of Real Exchange Rate Persistence over a Century
Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2013
This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short...
Persistent link: https://www.econbiz.de/10010862348
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A Nonparametric Study of Real Exchange Rate Persistence over a Century
Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2014
This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short...
Persistent link: https://www.econbiz.de/10011094585
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Forecasting The Exchange Rate Series With Ann: The Case Of Turkey
Kadilar, Cem; Simsek, Muammer; Aladag, Cagdas Hakan - In: Istanbul University Econometrics and Statistics e-Journal 9 (2009) 1, pp. 17-29
method has the best forecasting accuracy with respect to time series models, such as seasonal ARIMA and ARCH models. The …
Persistent link: https://www.econbiz.de/10008482038
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Terms-of-Trade Volatility and Inflation in Pakistan
Ijaz, Kiran; Zakaria, Muhammad; Fida, Bashir A. - In: Lahore Journal of Economics 19 (2014) 1, pp. 111-132
This empirical study examines the effects of terms-of-trade (TOT) volatility on inflation in Pakistan, using annual data for the period 1972 to 2012. The results show that TOT volatility has a significant negative effect on inflation in Pakistan. This result is robust to alternative equation...
Persistent link: https://www.econbiz.de/10010905749
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The Impact of Exchange Rate Volatility on Trade: A Panel Study on Pakistan’s Trading Partners
Khan, Abdul Jalil; Azim, Parvez; Syed, Shabib Haider - In: Lahore Journal of Economics 19 (2014) 1, pp. 31-66
This study investigates the impact of domestic and foreign currency-valued exchange rate volatility on the export and import demand functions with reference to Pakistan’s trading partners. We use GARCH-based exchange rate volatilities and the least-squares dummy variable technique with...
Persistent link: https://www.econbiz.de/10010861908