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Official Intervention, Reserve Accumulation and Exchange Rate Volatility
The Reserve Bank of India often claims that the official intervention in the foreign exchange market primarily aims at minimizing undue fluctuations...
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Exchange Rate Volatility and Firms’ Export Decisions: Evidence from Exporter Dynamics Database
In this paper, we study the effects of bilateral exchange rate volatility on the extensive margin of export. More specifically, we explore the effect...
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Do the export reactions to exchange rate and exchange rate volatility differ depending on technology intensity? New evidences from the panel SVAR analysis
This paper investigates the impact of exchange rate and exchange rate volatility on export performance by considering technological classification in...
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Openness and Real Exchange Rate Volatility: Evidence from China
In recent years, China has introduced a series of trade and financial liberalization policies and taken a crucial step towards the...
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Exploring unbalanced impacts of exchange rate volatility on the shadow economy: new evidence from BRICS nations
This study investigates the influence of exchange rate fluctuations on the informal economy within the BRICS countries from 2010 to 2019. Employing...
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Exchange rate volatility and India–US commodity trade: evidence of the third country effect
The relationship between trade flows and exchange rate uncertainty is still being debated in academic circles while examining the effects of exchange...
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Currency concentration in sovereign debt, exchange rate cyclicality, and volatility in consumption
For emerging economies, borrowing abroad is a double-edged sword: it can buffer against adverse economic shocks and smooth their domestic...
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Asymmetric effects of exchange rate volatility on trade flows: evidence from G7
Current trend in applied research points at application of Shin et al.’s (2014) nonlinear ARDL approach to asymmetric error-correction modeling and...
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Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange
Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded...
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Cross-border investment and the decline of exchange rate volatility: implications for Euro area bilateral investments
Exchange rate volatility has undergone a secular decline since the collapse of the Bretton Woods system. We conjecture that this phenomenon may have...
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India’s Bilateral Export Growth and Exchange Rate Volatility: A Panel GMM Approach
This paper empirically examines the effect of real exchange rate volatility on India’s bilateral export growth. Additionally, we examine the impact... -
On the asymmetric effects of exchange rate volatility on the U.S. Bilateral Trade with its 12 South American partners
The new direction on the link between a measure of exchange rate volatility on trade flows is to estimate nonlinear models to determine if trade...
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Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis
Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be...
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Long memory in volatility in foreign exchange markets: evidence from selected countries in Africa
This study examines the long memory properties in the volatility of the foreign exchange markets of Egypt, Ghana, Kenya, Nigeria and South Africa....
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Exchange Rate Forecasting Based on Integration of Gated Recurrent Unit (GRU) and CBOE Volatility Index (VIX)
The foreign exchange market is the most liquid financial market globally, attracting investors looking for lucrative investment opportunities....
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Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model
We propose a simple agent-based version of Paul de Grauwe’s chaotic exchange rate model. In particular, we assume that each speculator follows his...
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The factor structure of exchange rates volatility: global and intermittent factors
In this paper, we consider a fractionally integrated multi-level dynamic factor model (FI-ML-DFM) to represent commonalities in the hourly evolution...
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The dynamic response of Russian exchange rate to precious metals and minerals prices
The macroeconomic performance of a resource-dependent economy is highly associated with the market values of its natural processions including...
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Exchange Rate Volatility and Tax Revenue Performance in Sub-Saharan Africa
Efforts to spur growth in sub-Sahara Africa have been intensified amid structural and institutional constraints. Tax revenue, the chief source of... -
Interest Rate Volatility and Economic Growth in Nigeria: New Insight from the Quantile Autoregressive Distributed Lag (QARDL) Model
This is a study on interest rate volatility, a crucial form of volatility which affects local and foreign investments in the real and financial...