scholarly journals U.S. Dollar Asymmetry And Exchange Rate Volatility

2011 ◽  
Vol 13 (2) ◽  
pp. 1 ◽  
Author(s):  
Nikiforos T. Laopodis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Volatility ◽  
French Franc ◽  
Stochastic Behavior ◽  
High Volatility ◽  
The U.S ◽  
German Mark

<span>he paper explores the stochastic behavior of six exchange rates three EMS and three non-EMS during the U.S. dollar appreciation (before 1985) and depreciation (after 1985) using Exponential GARCH-M model. The results showed that high volatility in all rates was present before 1985, increased dramatically thereafter, and decreased later for the non-EMS rates. In general, U.S. dollar depreciations increased the volatility more than appreciations did for the French franc, the Italian lira, and the German mark.</span>

scholarly journals Determining Pak Rupee Exchange Rates vis-à-vis Six Currencies of the Industrial World: Some Evidence Based on the Traditional Flow Model

2001 ◽  
Vol 40 (4II) ◽  
pp. 885-897
Author(s):  
Razzaque H. Bhatti
Keyword(s):  
Exchange Rates ◽  
Coefficient Of Variation ◽  
Flow Model ◽  
French Franc ◽  
Swiss Franc ◽  
Test Statistics ◽  
Industrial Countries ◽  
Japanese Yen ◽  
The U.S ◽  
German Mark

Pak-rupee exchange rates vis-à-vis many currencies of the industrial world have weakened continuously and persistently since Pakistan abandoned fixed exchange rates in April 1982. This proposition is strongly supported by descriptive test statistics, as shown in Table 1, such as mean, standard deviation and coefficient of variation of six Pak rupee exchange rates—against the U.S. dollar, British pound, German mark, Japanese yen, Swiss franc and French franc—over the period 1982q1-2000q4. Based on these descriptive statistics, it is evident that Pak rupee has depreciated persistently against all currencies of the industrial countries in question over the period under investigation; for example, it has depreciated by 324.05 percent against the British pound, 406.360 percent against the U.S. dollar, 344.53 percent against the French franc, 498.48 percent against the Swiss franc, 477.78 percent against the German mark and 986.25 percent against the Japanese yen since April 1982. As evidenced by coefficient of variation, Pak rupee has weakened enormously against all currencies of the industrial world, while it has weakened relatively more alarmingly against the Japanese yen, Swiss franc and German mark.

Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates

2010 ◽  
Vol 45 (5) ◽  
pp. 1341-1365 ◽  
Author(s):  
Bing Anderson ◽  
Peter J. Hammond ◽  
Cyrus A. Ramezani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Term Structure ◽  
Exchange Rate Volatility ◽  
Factor Models ◽  
Joint Dynamics ◽  
High Volatility ◽  
Market Approach ◽  
Pricing Kernels

AbstractThis paper extends the affine class of term structure models to describe the joint dynamics of exchange rates and interest rates. In particular, the issue of how to reconcile the low volatility of interest rates with the high volatility of exchange rates is addressed. The incomplete market approach of introducing exchange rate volatility that is orthogonal to both interest rates and the pricing kernels is shown to be infeasible in the affine setting. Models in which excess exchange rate volatility is orthogonal to interest rates but not orthogonal to the pricing kernels are proposed and validated via Kalman filter estimation of maximal 5-factor models for 6 country pairs.

scholarly journals Doubts About the McKinnon Standard

1988 ◽  
Vol 2 (1) ◽  
pp. 105-112 ◽  
Author(s):  
Rudiger Dornbusch
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Stability ◽  
Business Community ◽  
Empirical Basis ◽  
Monetary System ◽  
Fertile Soil ◽  
Japanese Yen ◽  
The U.S ◽  
German Mark

[This paper responds to “Monetary and Exchange Rate Policies for International Financial Stability: A Proposal,” by Ronald I. McKinnon, in this same issue.] For over ten years, Ronald McKinnon has advocated a new monetary system centered on fixed exchange rates between the Japanese yen, the German mark, and the U.S. dollar. His proposal has fallen on fertile soil because the dramatic volatility in exchange rates makes the financial press and the business community grasp for ready answers. McKinnon's scheme seems to solve the problem of currency instability and to judge from his presentation there are only merits and not one shortcoming. In fact, however, there is little theoretical or empirical basis for his standard. To support this criticism, I will first summarize several of McKinnon's key propositions and prescriptions and then review these in a critical spirit.

scholarly journals Crash Risk in Currency Returns

2018 ◽  
Vol 53 (1) ◽  
pp. 137-170 ◽  
Author(s):  
Mikhail Chernov ◽  
Jeremy Graveline ◽  
Irina Zviadadze
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Empirical Model ◽  
Crash Risk ◽  
Currency Risk ◽  
Jump Risk ◽  
Bilateral Exchange ◽  
The U.S

We develop an empirical model of bilateral exchange rates. It includes normal shocks with stochastic variance and jumps in an exchange rate and in its variance. The probability of a jump in an exchange rate corresponding to depreciation (appreciation) of the U.S. dollar is increasing in the domestic (foreign) interest rate. The probability of a jump in variance is increasing in the variance only. Jumps in exchange rates are associated with announcements; jumps in variance are not. On average, jumps account for 25% of currency risk. The dollar carry index retains these features. Options suggest that jump risk is priced.

Real Exchange Rate Behavior under Peg: Evidence from the Chinese RMB and Malaysian MYR

2009 ◽  
Vol 12 (01) ◽  
pp. 141-158 ◽  
Author(s):  
Yongjian E ◽  
Anthony Yanxiang Gu ◽  
Chau-Chen Yang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
The Us ◽  
Rate Behavior ◽  
Japanese Yen ◽  
Chinese Yuan ◽  
Real Exchange Rate Volatility

The exchange-rate behavior of the Chinese yuan (RMB) and the Malaysian ringgit (MYR) indicates that the real exchange rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non-anchor currencies (Japanese yen and British pound) are lower under the pegged regime. The dynamic behavior of the pegged currencies' real exchange rates is consistent with the anchor currency as the speed of convergence of the Big Mac real exchange rates of the RMB, MYR, and the dollar against the floating currencies are almost identical during the pegged period. This may be due to similar inflation rate movements in the related economies. These results do not support the opinion that China has manipulated the value of its currency.

The Stabilization of an Open Economy with Capital Controls: An Analysis Using Malaysian Data

2003 ◽  
Vol 2 (3) ◽  
pp. 63-83 ◽  
Author(s):  
Naoyuki Yoshino ◽  
Sahoko Kaji ◽  
Yoko Ibuka
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Open Economy ◽  
Exchange Rate Volatility ◽  
Capital Controls ◽  
Loss Functions ◽  
Economic Welfare ◽  
Real Gdp ◽  
Net Exports ◽  
Fixed Exchange Rates

The purpose of this paper is to analyze the effectiveness of capital controls and fixed exchange rates in improving economic welfare. We apply Malaysian data to our theoretical model and derive the following results for the period of our estimation. High exchange rate volatility negatively affects Malaysian net exports and real GDP. By stabilizing the exchange rate and recovering monetary policy autonomy, capital controls and fixed exchange rates can lead to lower values of loss functions. This beneficial effect is stronger, the more open the Malaysian economy.

A hybrid approach to exchange rates

2016 ◽  
Vol 33 (1) ◽  
pp. 50-68 ◽  
Author(s):  
Guangfeng Zhang ◽  
Ian Marsh ◽  
Ronald MacDonald
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Time ◽  
Private Information ◽  
Hybrid Approach ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Macro News ◽  
The Impact ◽  
Exchange Rates Volatility

Purpose – This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework. Design/methodology/approach – The authors apply real-time data of macro announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH models and examine various model specifications. Findings – Data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process. Originality/value – This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study.

Antidumping Investigations and the Pass-Through of Antidumping Duties and Exchange Rates: Reply

2010 ◽  
Vol 100 (3) ◽  
pp. 1283-1284 ◽  
Author(s):  
Bruce A Blonigen ◽  
Stephen E Haynes
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Structural Breaks ◽  
Theoretical Explanation ◽  
Antidumping Duties ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The U.S

This reply responds to a comment that correctly identifies an invalid assumption in our original article that antidumping (AD) duties are subtracted from the U.S. price when calculating AD duties in administrative reviews. While this point invalidates our theoretical explanation and empirical evidence on the magnitude of AD duty pass-through, it does not affect our original article's theory or empirical evidence on the magnitude of exchange rate pass-through, or the presence of structural breaks in both the AD duty and exchange-rate pass-through coefficients stemming from AD investigations and orders.

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