Exchange Rate Volatility

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Andrew J Patton - One of the best experts on this subject based on the ideXlab platform.

  • multivariate garch modeling of Exchange Rate Volatility transmission in the european monetary system
    The Financial Review, 2000
    Co-Authors: Colm Kearney, Andrew J Patton
    Abstract:

    We construct a series of 3-, 4- and 5-variable multivariate GARCH models of Exchange Rate Volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979-March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed Volatility transmission, and that the mark plays a dominant position in terms of Volatility transmission. Copyright 2000 by MIT Press.

  • multivariate garch modeling of Exchange Rate Volatility transmission in the european monetary system
    Social Science Research Network, 2000
    Co-Authors: Colm Kearney, Andrew J Patton
    Abstract:

    We construct a series of 3-, 4- and 5-variable multivariate GARCH models of Exchange Rate Volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979?March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed Volatility transmission, and that the mark plays a dominant position in terms of Volatility transmission.

Firat Demir - One of the best experts on this subject based on the ideXlab platform.

  • growth under Exchange Rate Volatility does access to foreign or domestic equity markets matter
    Journal of Development Economics, 2013
    Co-Authors: Firat Demir
    Abstract:

    Abstract Employing a firm-level dataset, this paper explores the effects of Exchange Rate Volatility on the growth performances of domestic versus foreign, and publicly traded versus non-traded private manufacturing firms in a major developing country, Turkey. The empirical results using dynamic panel data estimation techniques and comprehensive robustness tests suggest that Exchange Rate Volatility has a significant growth reducing effect on manufacturing firms. However, having access to foreign, and to a lesser degree, domestic equity markets is found to reduce these negative effects at significant levels. These findings continue to hold after controlling for firm heterogeneity due to differences in export orientation, external indebtedness, profitability, productivity, size, industrial characteristics, and time-variant institutional changes.

  • growth under Exchange Rate Volatility does access to foreign or domestic equity markets matter
    Research Papers in Economics, 2011
    Co-Authors: Firat Demir
    Abstract:

    Employing a matched employer-employee dataset, this paper explores the effects of Exchange Rate Volatility on the growth performances of domestic versus foreign, and publicly traded versus non-traded private manufacturing firms in a major developing country, Turkey. The empirical results using dynamic panel data estimation techniques and comprehensive robustness tests suggest that Exchange Rate Volatility has a significant growth reducing effect on manufacturing firms. However, having access to foreign, and to a lesser degree, domestic equity markets is found to reduce these negative effects at significant levels. These findings continue to hold after controlling for firm heterogeneity due to differences in export orientation, external indebtedness, profitability, productivity, size, industrial characteristics, and time-variant institutional changes.

  • Exchange Rate Volatility and Employment Growth in Developing Countries: Evidence from Turkey
    World Development, 2010
    Co-Authors: Firat Demir
    Abstract:

    Summary Employing a unique panel of 691 private firms that accounted for 26% of total value added in manufacturing in Turkey, the paper explores the impacts of Exchange Rate Volatility on employment growth during the period of 1983–2005. The empirical analysis using a variety of specifications, estimation techniques, and robustness tests suggests that Exchange Rate Volatility has a statistically and economically significant employment growth reducing effect on manufacturing firms. Using point estimates, the results suggest that for an average firm a one standard deviation increase in real Exchange Rate Volatility reduces employment growth in the range of 1.4–2.1 percentage points.

Carmen Broto - One of the best experts on this subject based on the ideXlab platform.

  • flexible inflation targets forex interventions and Exchange Rate Volatility in emerging countries
    Journal of International Money and Finance, 2012
    Co-Authors: Juan Carlos Berganza, Carmen Broto
    Abstract:

    Abstract Emerging economies with inflation targets (IT) face a dilemma between fulfilling the theoretical conditions of “strict IT”, which imply a fully flexible Exchange Rate, or applying a “flexible IT”, which entails a de facto managed-floating Exchange Rate with foreign Exchange (forex) interventions to modeRate Exchange Rate Volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective to lower Volatility than in non-IT countries, which may justify the use of “flexible IT” by policymakers.

  • flexible inflation targets forex interventions and Exchange Rate Volatility in emerging countries
    2011
    Co-Authors: Juan Carlos Berganza, Carmen Broto
    Abstract:

    Emerging economies with inflation targets (IT) face a dilemma between fulfilling the theoretical conditions of strict IT which implies a fully flexible Exchange Rate, or applying a flexible IT, which entails a de facto managed floating Exchange Rate with forex interventions to modeRate Exchange Rate Volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing Volatility than in non-IT countries, which may justify the use of flexible IT by policymakers.

  • flexible inflation targets forex interventions and Exchange Rate Volatility in emerging countries
    2011
    Co-Authors: Juan Carlos Berganza, Carmen Broto
    Abstract:

    Emerging economies with inflation targets (IT) face a dilemma between fulflling the theoretical conditions of "strict IT", which implies a fully flexible Exchange Rate, or applying a "flexible IT", which entails a de facto managed floating Exchange Rate with forex interventions to modeRate Exchange Rate Volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing Volatility than in non-IT countries, which may justify the use of "flexible IT" by policymakers. Keywords: Inflation targeting; Exchange Rate Volatility; Foreign Exchange interventions; Emerging economies. JEL codes: E31; E42; E52; E58; F31

Christian Thimann - One of the best experts on this subject based on the ideXlab platform.

  • home bias in global bond and equity markets the role of real Exchange Rate Volatility
    Journal of International Money and Finance, 2007
    Co-Authors: Michael Fidora, Marcel Fratzscher, Christian Thimann
    Abstract:

    Abstract This paper focuses on the role of real Exchange Rate Volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real Exchange Rate Volatility induces a bias towards domestic financial assets as well as a stronger home bias for assets with low local currency return Volatility. We find empirical support in favour of this hypothesis for a broad set of industrialized and emerging market countries. Not only is real Exchange Rate Volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real Exchange Rate Volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points.

  • home bias in global bond and equity markets the role of real Exchange Rate Volatility
    Journal of International Money and Finance, 2007
    Co-Authors: Michael Fidora, Marcel Fratzscher, Christian Thimann
    Abstract:

    This paper focuses on the role of real Exchange Rate Volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real Exchange Rate Volatility induces a bias towards domestic financial assets as well as a stronger home bias for assets with low local currency return Volatility. We find empirical support in favour of this hypothesis for a broad set of industrialised and emerging market countries. Not only is real Exchange Rate Volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real Exchange Rate Volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points. JEL Classification: F30, F31, G11, G15

Colm Kearney - One of the best experts on this subject based on the ideXlab platform.

  • multivariate garch modeling of Exchange Rate Volatility transmission in the european monetary system
    The Financial Review, 2000
    Co-Authors: Colm Kearney, Andrew J Patton
    Abstract:

    We construct a series of 3-, 4- and 5-variable multivariate GARCH models of Exchange Rate Volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979-March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed Volatility transmission, and that the mark plays a dominant position in terms of Volatility transmission. Copyright 2000 by MIT Press.

  • multivariate garch modeling of Exchange Rate Volatility transmission in the european monetary system
    Social Science Research Network, 2000
    Co-Authors: Colm Kearney, Andrew J Patton
    Abstract:

    We construct a series of 3-, 4- and 5-variable multivariate GARCH models of Exchange Rate Volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979?March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed Volatility transmission, and that the mark plays a dominant position in terms of Volatility transmission.

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