Exchange Rate Volatility, Uncertainty and the Stock Market PDF Download
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Author: Yoon Chul Kim
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 149
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Book Description
Author: Yoon Chul Kim
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 149
Get Book Here
Book Description
Author: Robert A. Schwartz
Publisher: Springer Science & Business Media
ISBN: 1441914749
Category : Business & Economics
Languages : en
Pages : 152
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Book Description
Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
Author: Kodjovi M. Eklou
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 45
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Book Description
This paper examines the impact of Dollar exchange rate volatility on firm productivity in Emerging Markets economies (EMs). Using firm level data covering 16 EMs over the period 1998 -2019, the paper shows that dollar exchange rate volatility reduces firm productivity growth. Exploring channels, its finds that the results are driven by countries with low level of financial development, high dollar invoicing, high bilateral trade with the US, high collective bargaining coverage and open capital account. Exploring the role of policy, it finds that Foreign Exchange Interventions (FXI) dampen this impact on firm productivty. Further, exploiting firm level data, the paper shows that dollar exchange rate volatility operates also through the financial friction channel, reducing contemporaneous investments, especially at firms with low liquidity buffers and weak balance sheet (high leverage). The role of financial frictions is confirmed through the finding that younger firms, more likely to face financial constraints, are also found to be more vulnerable to dollar exchange rate volatility. In addition, we also find evidence of a large and persistent effect on firms with highly irreversible investment, lending support for the real option channel of uncertainty on the dollar exchange rate. These findings are robust to a battery of tests, including controlling for uncertainty, financial crises and using an instrumental variable strategy exploiting US monetary policy shocks as an exogenous source of variation in dollar exchange rate volatility.
Author: Nasha Maveé
Publisher: International Monetary Fund
ISBN: 1475545592
Category : Business & Economics
Languages : en
Pages : 38
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Book Description
This paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate. Economic surprises—the difference between market expectations and data prints—are captured by Citi’s Economic Surprise Index which is available for South Africa and its main economic partners. The results suggest that rand volatility is mainly driven by commodity price volatility, and global market volatility, as well as domestic political uncertainty. In addition, economic surprises originating in the United States matter, but not those originating from South Africa, Europe, or China.
Author: Das Soma
Publisher: Soma Das
ISBN: 9785805664633
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
Analysis of stock market for the assessment of the risk has assumed greater significance in india, after liberalization. Usefulness of efficident stock market in mobilzing resources is well-known among policy makers and investors. Volatility In the prices of stock adversely affects individual earnings and health of the economy. Volatility in the price of stock market can arise because of several reasons. It creates atmosphere of uncertainty and thus it hampers productive investment. Volatility is inherent feature of stock markets. It should be known to those who are concerned directly and indirectly with stock markets. Volatility of stock prices refers to the frequency with which changes in stock prices over a given period of time. The volatility can also be understood as the frequency or relative rate at which the price of a security moves up and down. Volatility Is found by calculating the annualized standard deviation of daily change in price. Standard deviation of return is widely used as a measure of total risk of a financial asset. If a stock is highly volatile, there is risk of losing capital and thus investors tend to avoid Investing in these stocks.
Author: Luis Servén
Publisher: World Bank Publications
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 24
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Book Description
Serven examines empirically the link between real exchange rate uncertainty and private investment in developing countries using a large cross country-time series data set. He builds a GARCH-based measure of real exchange rate volatility and finds that it has a strong negative impact on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The impact of uncertainty is not uniform, however. There is some evidence of threshold effects, so that uncertainty only matters when it exceeds some critical level. In addition, the negative impact of real exchange rate uncertainty on investment is significantly larger in economies that are highly open and in those with less developed financial systems.
Author: William C. Gruben
Publisher: Springer Science & Business Media
ISBN: 9780792399087
Category : Business & Economics
Languages : en
Pages : 274
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Book Description
The dramatic growth of international capital flow has provided unprecedented opportunities and risks in emerging markets. This book is the result of a conference exploring this phenomenon, sponsored by the Federal Reserve Bank of Dallas. The issues explored include direct versus portfolio investment; exchange rates and economic growth; and optimal exchange rate policy for stabilizing inflation in developing countries. It concludes with a panel discussion on central bank coordination in the midst of exchange rate instability.
Author: Piet Sercu
Publisher: Cambridge University Press
ISBN: 0521562945
Category : Business & Economics
Languages : en
Pages : 176
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Book Description
Sercu and Uppal examine volatility of exchange rates in the context of dynamic general equilibrium models.
Author: Dani Rodrick
Publisher: Elsevier
ISBN: 0080931723
Category : Business & Economics
Languages : en
Pages : 1066
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Book Description
What guidance does academic research really provide to economic policy development? The critical and analytical surveys in this volume investigate links between policies and outcomes by surveying work from broad macroeconomic policies to interventions in microfinance. Asserting that there are no universal correspondences between policies and outcomes, contributors demonstrate instead that only an intense familiarity with the development context and the universe of applicable economic models can generate successful policies. Getting cause-and-effect right is essential for policy design and implementation. With the goal of drawing researchers and policy makers closer, this volume highlights our increasing understanding of ways to combine economic theorizing with careful, thoughtful empirical work. - Presents an accurate, self-contained survey of the current state of the field - Summarizes the most recent discussions, and elucidates new developments - Although original material is also included, the main aim is the provision of comprehensive and accessible surveys
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1498330282
Category : Business & Economics
Languages : en
Pages : 132
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Book Description
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