In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared....

This study is based on examining the relationship between stock exchange market volatility and macroeconomic variables volatility with respect to Pakistan. To measure this time series relationship for Pakistan Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) and...

This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South African government bond yield, US real GDP, the...

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there...

While the trade channel indicates that an exchange rate depreciation will stimulate domestic economic activity, the financial channel can have the opposite effect. When banks and non-banks have foreign currency liabilities, an exchange rate depreciation has valuation effects that can lead to a...

We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of...