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Does only volume matter? : a stress test for the adequacy of international currency reserves for Russia

Achmetov, Renat; Pankova, Vera; Solncev, Oleg G.; … - In: Risk assessment and financial regulation in emerging …, (pp. 287-308). 2021

This paper seeks to determine the optimal volume of international currency reserves of the Bank of Russia to prevent adverse fluctuations of the Russian ruble exchange rate, causing a threat to financial stability. We create a system of models, taking into account the linkages between the...

Persistent link: https://www.econbiz.de/10012591778

Fickle Emerging Market Flows, Stable Euros, and the Dollar Risk Factor

Adriaan Boermans, Martijn; Burger, John D. - 2021

Policymakers fear the potentially destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight....

Persistent link: https://www.econbiz.de/10013240814

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

Chang, Chia-Lin - 2010

for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of … international tourist arrivals, daily data from 1 January 1990 to 31 December 2008 are used to model the world price and US$ - New … Taiwan $ and Yen - New Taiwan $ exchange rates, and tourist arrivals from the world, USA and Japan to Taiwan, as well as …

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

The Effect of Exchange Rate Risk on the Conditional Relationship between Beta Risk and Return in International Equity Markets

Sandoval, Eduardo - 2010

administrators and portfolio managers can defend themselves against exchange risk by using forward contracts, particularly in world …

Persistent link: https://www.econbiz.de/10013148458

Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies

Gochoco‐Bautista, Maria Socorro - 2013

This paper shows that both commodity price and carry trade have significant impact on the volatility and liquidity of …

Persistent link: https://www.econbiz.de/10013080047

Is gold a safe haven for the dynamic risk of foreign exchange?

Wang, Kuan Min; Thi, Thanh-binh Nguyen; Lee, Yuan-Ming - In: Future Business Journal 7 (2021), pp. 1-17

This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...

Persistent link: https://www.econbiz.de/10012668314

Currency intervention : a case study of an emerging market

Fry-McKibbin, Renée; Wanaguru, Sumila - In: Journal of international money and finance 37 (2013), pp. 25-47

Persistent link: https://www.econbiz.de/10010209172

Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms

Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37

- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …

Persistent link: https://www.econbiz.de/10009743539

The geometry of the world of currency volatilities

Konstantinov, Gueorgui; Fabozzi, Frank J. - In: Computational economics 60 (2022) 1, pp. 125-145

Persistent link: https://www.econbiz.de/10013262502

A synthesis of the effects of exchange rate volatility on international trade : a meta-regression analysis

Bouoiyour, Jamal; Selmi, Refk - In: The International trade journal 30 (2016) 1/5, pp. 263-294

Persistent link: https://www.econbiz.de/10011603760