우리나라 외환시장 오퍼레이션의 행태 및 환율변동성 완화 효과 (The Effects of Foreign Exchange Operation on Stabilization of Exchange Rate Volatility in Korea)

2020 ◽  
Author(s):  
Kyongwook Choi ◽  
Junseo Park
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Exchange Operation

Currency Centrality and Exchange Rate Volatility in Global Foreign Exchange Network

2020 ◽  
Vol 11 (2) ◽  
pp. 511-520
Author(s):  
Myoungshik Choi ◽  
Iljung Seo
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Exchange Network

scholarly journals Are the Responses of Sectoral Energy Imports Asymmetric to Exchange Rate Volatilities in Pakistan? Evidence From Recent Foreign Exchange Regime

2021 ◽  
Vol 9 ◽  
Author(s):  
Abdul Saqib ◽  
Tze-Haw Chan ◽  
Alexey Mikhaylov ◽  
Hooi Hooi Lean
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Asymmetric Effects ◽  
Unit Root Testing ◽  
Long Run ◽  
Short Run ◽  
Bound Test

Growing energy demand but stagnant production followed by volatile exchange rate leads Pakistan to energy imbalances and potential economic contraction. Yet, studies on sectoral energy imports are limited and inconclusive without accessing the asymmetric effect of currency fluctuations. We examine the impacts of Pakistani rupee volatility on monthly energy imports based on the nonlinear autoregressive distributed lag (NARDL) estimations. Augmented Dickey–Fuller and Phillips–Perron tests were used to conduct unit root testing, and the bound testing approach was used to examine the long-term cointegration. The long-run asymmetry was tested with the Wald test, and using the NARDL model, we examined both short-run and long-run asymmetric effects of exchange rate volatility on energy imports. The bound test was established and supported through ECMt−1 (t-test), cointegrating the relationship between exchange rate volatility and energy imports in a long term. Among others, both short-run and long-run asymmetric effects were found for crude oil, coal, electricity, and petroleum products. Rupee depreciation increased crude oil and electricity imports, while the appreciation effects were insignificant. Overall, the empirical assessment reveals that the foreign exchange volatility effect is sectoral specific and asymmetric in Pakistan. It offers new insights into re-strategizing the energy policy and refining the import substitution plan.

Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
James Temitope Dada
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Rate Volatility ◽  
Asymmetric Structure ◽  
Asymmetric Effect ◽  
Exchange Market ◽  
African Countries ◽  
Content Type ◽  
Sub Saharan

PurposeThe purpose of this study is to examine the effect of asymmetric structure inherent in exchange rate volatility on trade in sub-Saharan African countries from 2005 to 2017.Design/methodology/approach17 countries in sub-Saharan African Countries are used for the study. Exchange rate volatility is generated using generalised autoregressive conditional heteroscedacity (1,1), while the asymmetric components of exchange rate volatility are generated using a refined approach of cumulative partial sum developed by Granger and Yoon (2002). Two-step generalised method of moments is used as the estimation technique in order to address the problem of endogeneity, commonly found in panel data.FindingsThe result from the study shows the evidence of exchange rate volatility clustering which is strictly persistent in sub-Saharan African countries. The asymmetric components (positive and negative shocks) of exchange rate volatility have negative and significant effect on trade in the region. Meanwhile, the effect of negative exchange rate volatility is higher on trade when compared with the positive exchange rate volatility. Furthermore, real exchange rate has negative and significant effect on trade in sub-Saharan African countries.Research limitations/implicationsThe outcomes of this study are important for participants in foreign exchange market. As investors in foreign exchange market react more to the negative news than positive news, investors need to diversify their risk. Also, regulators in the market need to formulate appropriate macroeconomic policies that will stabilize exchange rate in the region.Originality/valueThis study deviates from extant studies in the literature by incorporating asymmetric structure into the exchange rate trade nexus using a refined approach.

Black and official exchange rate volatility and foreign exchange controls

1997 ◽  
Vol 7 (1) ◽  
pp. 15-24 ◽  
Author(s):  
Kate Phylaktis ◽  
Yiannis Kassimatis
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Official Exchange Rate

Foreign Exchange Intervention and Exchange Rate Volatility in Zambia

2014 ◽  
Vol 15 (2) ◽  
pp. 114-121 ◽  
Author(s):  
Jonathan Mpundu Chipili
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Intervention
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