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Volatility spillover in the foreign exchange market : the Indian experience
Ghosh, Saurabh - In: Macroeconomics and finance in emerging market economies 7 (2014) 1, pp. 175-194
Persistent link: https://www.econbiz.de/10010339176
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Does the exchange rate respond to monetary policy in Mexico? : solving an exchange rate puzzle in emerging markets
Solís, Pavel - In: Journal of money, credit and banking : JMCB 55 (2023) 8, pp. 2093-2113
Persistent link: https://www.econbiz.de/10014436137
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The forecast ability of option-implied densities from emerging markets currencies
Ornelas, José Renato Haas - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 133-153
Persistent link: https://www.econbiz.de/10011538981
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Performance of Islamic and conventional stock indices : empirical evidence from an emerging economy
Rana, Md. Ejaz; Akhter, Waheed - In: Financial innovation : FIN 1 (2015) 15, pp. 1-17
constancy assumption of classical linear regression (CLRM) model and allows exchange rate and interest rate volatility to evolve … conventional stock indices. Results: The findings show positive and statistically significant effect of interest rate volatility on … KSE-100, whereas KMI-30 remains unaffected by the same. Exchange rate volatility is found to be significant for both …
Persistent link: https://www.econbiz.de/10011541805
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The volatility of Romanian exchange rate : a GARCH approach
Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99
Persistent link: https://www.econbiz.de/10011411168
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Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - In: The North American journal of economics and finance : a … 44 (2018), pp. 109-128
Persistent link: https://www.econbiz.de/10012036515
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Exchange rate dynamics and United States dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-fai; Chau, Po-hon - 2017
The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...
Persistent link: https://www.econbiz.de/10011756971
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International portfolio flows and exchange rate volatility for emerging markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015
This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …
Persistent link: https://www.econbiz.de/10011387464
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Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test
Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250
Persistent link: https://www.econbiz.de/10011591762
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Spillovers in exchange rates and the effects of global shocks on emerging market currencies
Kavli, Haakon; Kotzé, Kevin - In: The South African journal of economics 82 (2014) 2, pp. 209-238
Persistent link: https://www.econbiz.de/10010501387