We study the implied volatilities of three foreign exchange (FX) option markets: EUD/USD, GBP/USD, and AUD/USD. We find that they are distinct from each other. The implied volatilities of the EUD/USD market tend to be more U﹕haped than those of other markets. Local volatility models ...
(2010). `Foreign exchange intervention and exchange rate volatility in Peru'. Applied Economics Letters, volume 17(15), 1485-1491.Humala, A and G Rodriguez (2009): "Foreign exchange intervention and exchange rate volatility in Peru", Central Reserve Bank of Peru Working Paper Series, April....
This paper explores the hypothesis that the unresponsiveness of export pricing to exchange rate fluctuations may be partially the result of hedging activities by trading agents due to foreign exchange volatility (EV) to eliminate exchange risk. In essence, hedging against foreign exchange uncertainty ...
to limit exposure to combined underlying foreign exchange rate / volatility shifts, or if the alter...
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Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability: the nominal Uganda shilling per United States dollar (UGX/USD) exchange rate. Volatility spillover is examined using...
The inability to reconcile observed levels of foreign exchange rate volatility with predictions derived from rational expectations models represents one of the most persistent challenges in international nance. This paper shows that such excess volatility puzzles arise from informational assumptions by contrast...
In this paper, macroeconomic fundamentals, as well as foreign exchange risk and volatility, and credit default are analyzed for both emerging and developing countries. Using a dynamic open economy growth model, excess debt is calculated including the effect of the changes in the value of the ...
JPMorgan's global exchange rate volatility index will hit its biggest monthly decline since February, and traders expect the FED to not raise interest rates until the end of the year. Europe, Japan, Australia And Sweden and other countries and regions. ...
Arifovic J. (2002) Exchange Rate Volatility in the Artificial Foreign Exchange Mar- ket. In: Chen S.-H. (Ed.), Evolutionary Computation in Economics and Fi- nance, Physica-Verlag. 125-136.Arifovic, Jasmina. "Exchange Rate Volatility in the Artificial Foreign Exchange Market." In: Chen, ...