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The rapid spread of COVID-19 in 2020 has brought a profound impact on the global economy and forced countries around the world to adopt different intervention measures. Has COVID-19 and these government interventions affected exchange rate volatility? To answer the question, this research explores the impact of COVID-19 and the relevant government response policies on exchange rate volatility in 20 countries during the period of January 13, 2020 to July 21, 2020 by using system GMM estimation. The empirical results indicate that an increase in confirmed cases does significantly raise exchange rate volatility. The various policies adopted by governments in response to the pandemic, such as closing schools, restrictions on internal movements, and public information campaigns also inhibit exchange rate volatility. Furthermore, the economic response policies implemented by governments during the pandemic, including income support, fiscal measures, and international aid, have a restraining effect on exchange rate volatility. Our findings herein provide valuable information and implications for policymakers and financial investors around the world. [ABSTRACT FROM AUTHOR]

In this paper, we assess the impact of exchange rate volatility on India's exports to and imports from each of its 14 largest trading partners. We find evidence of short-run asymmetric effects in almost all cases that translate into long-run asymmetric effects in almost half of the sample. The findings are partner specific. For the largest trading partner, China with 11.17% of trade share, we found that increase in real rupee–yuan volatility has significantly positive effects on India's exports to China but decrease in volatility has no effects. In the case of the second largest partner, the US, with 10.48% share of trade, increase in real rupee–dollar volatility has positive long-run effects on both India's export to and imports from the US but decrease in volatility has no impact on either. [ABSTRACT FROM AUTHOR]

Copyright of Gazi Journal of Economics & Business is the property of Gazi Journal of Economics & Business and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Carry trade is a speculative financial transaction and a leveraged exchange rate position. Thus, a sudden unwinding in carry trade position leads to a sharp depreciates in the high-interest currency and to increase exchange rate volatility. It can cause global imbalances and financial crises and therefore it can ensue as a source of financial fragility and instability. In this study, we examined effects of unwinding of carry trade on financial variables in regimes when interest rate differential and TL/USD exchange rate volatility are high and low, over the period of January 2005-September 2017 in Turkey. From the results of this study, we concluded that a sudden unwinding of carry trade position led to decrease of interest rate and BİST 100 return and increase of inflation rate in regimes when interest rate differential is high and low. So-called unwinding led to depreciate Turkish Lira and decrease of BİST 100 return in regimes when exchange rate volatility is high and low. [ABSTRACT FROM AUTHOR]

This paper examines the effect of interest rates on exchange rate volatilities in Ghana. It utilizes the Quarterly Time Series dataset spanning 2000 Quarter 1 to 2017 Quarter 2 and the Autoregressive Distributed Lag model as well as the Vector Error Correction Model to investigate the long-run and short-run relationships between the variables. The results showed that in the long-run model, exchange rate volatility was seen to be influenced by money supply, inflation, Central Bank's policy rate, and the Ghana Stock Exchange composite index. However, in the short-run model, exchange rate volatility was found to be significantly influenced by its past values and the Central Bank's policy rate. [ABSTRACT FROM AUTHOR]

This study aims to determine the symmetric and asymmetric effects of exchange rate volatility and other explanatory variables (real exchange rate, industrial production index, and COVID-19) on sixteen (16) food products traded between Indonesia and the United States, Indonesia and China. The study used the ARCH/GARCH approach and estimate the volatility of the exchange rate. Linear and nonlinear autoregressive distributed lag (ARDL) were applied to estimate the short- and long-run effect for the period 2009:M1-2020:M12. Findings from the ARDL method indicate that, in the short-term exchange rate volatility has a significant positive/negative effect on many products exported and imported throughout the study period. Different results were found in the Nonlinear ARDL method where a significant effect occurred especially on the food products import. The result further indicates that exchange rate volatility has a more negative effect symmetrically or asymmetrically. These results imply that most Indonesian traders to the United States and China tend to behave as risk-averse in the long run when responding to the phenomenon of exchange rate volatility. As a measure of robustness, a quantile regression further confirms that exchange rate volatility consistently affects food product trade. With this, therefore, stable exchange rate policies are needed to lessen the harmful effect of volatility on trade flows and balance the risk-taking behaviour among importers and exporters., Competing Interests: The authors declare that they have no known competing financial interests or personal relationships that could have appeared to influence the work reported in this paper., (© 2024 The Authors.)

The current economic crisis has witnessed a strong deceleration in the growth of international trade. This has been even greater in the cases of the European Unionand the eurozone, where the rates of export growth have even reached negative figures. In this paper, the authors examine to which extent exchange rate volatility might account for the drop in the rate of growth of exports in the eurozone since the start of the crisis. To that end, they estimate export functions, augmented to include several measures of exchange rate volatility, for the four largest economies of the eurozone, i.e., France, Germany, Italy and Spain, for the period 1994:1–2014:4. In the empirical application, the authors make use of two alternative measures for exchange rate volatility, i.e., (i) the Standard deviation and (ii) the conditional variance from the GARCH methodology, of the change in the logarithm of the exchange rate, for both nominal and real exchange rates, and in the latter case computed using as deflators both Export prices and unit labour costs. The empirical results show no clear-cut evidence on the impact of exchange rate volatility on the exports of the countries analysed, suggesting that financial markets were developed enough so that exchange rate volatility does not hinder the evolution of exports.

This paper examined the effect of exchange rate volatility on Nigerian crude oil export to its trading partners (UK, USA, Italy, France, Spain, Canada and Brazil) using monthly data from the first month in 2006 (M01) to the last month in 2019 (M12). The volatility of the exchange rate was estimated using GARCH and the effect of exchange rate volatility on crude oil export was estimated using ARDL. The GARCH result shows that the exchange rates of the trading partners are volatile. The ARDL result shows that the volatility of the exchange rate of Nigeria's trading partners is statistically significant for all the trading partners but with different magnitudes which means the volatility of exchange rate between Nigeria and its trading partners is very imperative in determining the volume of crude oil exportation made by Nigeria to its trading partner. The real exchange rate of the trading partners is statistically significant for all the trading partners while the income of Nigeria's trading partners is statistically significant for 4 out of the 7 countries. The result suggests that the volatility of the exchange rate significantly influence the exportation of crude oil in Nigeria.

The new trend of global economic growth for now appears unstable. A certain threat to stability is represented by continuous growth of the world financial markets without significant correction, which leads to overheating of certain indicators. Besides, the growth of interest rates in the developed markets threatens the stability of currency in countries with developing markets, especially where floating exchange rate has been introduced. The risky situation is not helped by the tensions in geopolitics. External shocks will inevitably transfer on the internal economics of Russia due to free floating of the ruble. Currency is a significant channel of such transfer: any deterioration of situation in Russia would contribute to volatility of currency market and depreciation of ruble. The article analyzes the specifics of currency sphere in Russia today, studies negative and positive sides to ruble depreciation. The quality improvement and formation of comparative conditions in the currency market of Russia is necessary for stability and increasing rates of economy growth. Most branches of Russian economy benefit from stable ruble exchange rate. Adding to that, the expansion of economic sanctions announced by the USA to come into effect at the end of summer 2018 can contribute to volatility and further depreciation of the ruble. The Bank of Russia should take active measures towards ruble stability, prevention of depreciation and minimization of negative consequences for Russian economy. The article suggests several such measures to provide stability and prevent the growth of currency speculation: low currency position, lower leverage, Tobin tax, etc.

In order to get rid of single-product economy, trade of agricultural products is emphasized by the government. As Iran is the biggest producer and exporter of this strategic product in the world, the analysis of factors affecting export of Iran's saffron, can result in better policy making. Accordingly, this study is aim to investigate the short-term and long-term effects of exchange rate volatility beside the other factors affecting the export of this product using panel data for Iran's major trading partners during 1992-2014. For this purpose and to avoid the limitation of symmetric approaches to calculate instability indices, the exchange rate volatility index was firstly calculated by using asymmetric method of Exponential Generalized Auto-Regressive Conditional Heteroskedasticity (EGHARCH). Then, this index was used along with other variables to estimate of proposed model using the Fully Modified Ordinary Least Squares (FMOLS) method. The results showed that although countries income and real exchange rate have positive and significant effects on saffron export, exchange rate volatility has a negative and significant effect on export of this product. Therefore, if the government’s goal is to support the export of this product, it is vital to achieve stability in exchange rate market. Moreover, the results of estimating error correction model indicate that the speed of disequilibrium adjustment towards long-run equilibrium relationships is substantial. Therefore, policy-making would be hopeful in the short-term.

This study examines the influence of exchange rate volatility on foreign direct investment flows to the Nigeria economy. The study employs the ARCH, GARCH and EC models to analyze time series data for the period 1970 to 2016. The study established the stationarity of the data series and carried out the cointegration tests. The result of the study reveals that exchange rate volatility tends to persist throughout the study period. The findings of the study established empirical evidence to support the views that exchange rate volatility has a negative and significant influence on foreign direct investment inflows to Nigeria. The study demonstrates that increase in inflation exerts a negative effect on foreign direct investment inflows to Nigeria. The results of the analysis revealed that trade openness and interest rate have a positive influence on FDI in Nigeria. Thus, it is important for the government to muster the political will with efforts to create a stable environment to boost domestic production of export commodities and investment inflows. In addition, it is imperative for the government through its regulatory agencies to pursue a sound exchange rate regime with good policies and programs that would encourage investments in the economy.

Bu çalışmada Türkiye’de koşullu değişen varyans modelleriyle ölçülen döviz kuru volatilitesinin ihracat üzerine etkisi, 1995:01 ile 2017:01 dönemi arasında aylık veriler kullanılarak ARDL (Otoregresif Dağıtılmış Gecikme Modeli) sınır testi ve hata düzeltme modeli (ECM) yöntemleriyle incelenmiştir. Öncelikle Pesaran, Shin ve Smith (2001) tarafından geliştirilen sınır testi yaklaşımıyla değişkenler arasında eşbütünleşme (koentegrasyon) ilişkisi araştırılmıştır. Eşbütünleşme ilişkisi olduğunun belirlenmesinin ardından ARDL ve hata düzeltme modeli kullanılarak döviz kuru volatilitesi ile ihracat arasında uzun ve kısa dönemli ilişkiler analiz edilmiştir. Elde edilen bulgular, hem uzun hem de kısa dönem katsayılarının işaretleri beklentilerle uyumlu ve istatistiksel olarak anlamlı olduğu şeklindedir. Diğer bir ifadeyle, dış geliri temsil eden sanayi üretim endeksi ve ithalat, hem uzun hem de kısa dönemde ihracatı pozitif etkiler iken reel efektif döviz kuru endeksi ve döviz kuru volatilitesi ise hem uzun hem de kısa dönemde negatif etkilemektedir.

Nowadays, bank as the most important element of the financial market plays a significant role in the countries' economy especially Iran, which relies on the banking system. So the study of banking system and factors affecting its performance are very important. One of these factors is the exchange rate, a key variable in every economy. In recent years, the exchange rate in the Iranian economy has encountered many fluctuations. Exchange rate fluctuations in developing countries like Iran, due to the lack of developed financial markets, expose these countries to financial crises. The exchange rate fluctuations and the volatility of financial markets can have an unfavorable impression on the stability of banks. This is due to the lack of the ability in eliminating the impact of exchange rate fluctuations even by using the risk management techniques; and on the other hand, developing countries do not have the essential tools to deal with these fluctuations. Thus, these countries are more vulnerable, and more likely exposed to financial crisis. Therefore, this study investigates the impact of exchange rate fluctuations on the performance of Iranian banking system using Generalized Method of Moments (GMM) in dynamic panel data context during 2009-2014. To evaluate the banking performance, two criteria of revenue and asset quality have been considered and for evaluating these criteria accordingly, the ratio of return on assets as well as the ratio of outstanding claims to total paid facilities has been applied. The results of this study show that the exchange rate volatility has negative significant impact on the return on assets of banks. The exchange rate fluctuations impose different types of risks on banking system such as transaction risk, conversion risk, credit risk, interest rate risk and due to these risks, the profitability of banks decrease. Similarity, exchange rate fluctuations are an effective and positive factor in clarifying the ratio of outstanding claims to the total payable facilities of banks because they lead to create credit risk, and as a result increase outstanding claims of banks.

The article devotes to such issues as the Russian current exchange rate police, the affected to exchange rate regime option factors, currency interventions, and aiming to smoothing extreme exchange rate volatility measures. The author supposes that the Russian exchange rate police needs to be radically changed.

Copyright of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar is the property of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekomomik Yorumlar and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Exchange rate volatility is a stated concern for policymakers in many emerging market economies. This paper investigates whether exchange rate volatility impacts the commitment to inflation targeting monetary policy by analyzing thirteen emerging market economies and nine advanced economies from 2000 to 2016. Using a dynamic panel threshold regression model, the response of the domestic target interest rate to the inflation gap, output gap, and exchange rate condition is tested in scenarios of above‐threshold and below‐threshold exchange rate volatility. Both emerging and advanced economies adhere to their inflation targeting commitments when exchange rate volatility is below 1%, but are unable or unwilling to respond to deviations in the inflation gap when volatility is beyond this threshold value. [ABSTRACT FROM AUTHOR]

Research on the impact of exchange rate volatility on the trade flows has now entered into a new direction of asymmetry analysis. It has been argued by previous researchers, that the rate at which trade flows respond to an increase in volatility could be different than the rate at which they respond to a decrease in volatility, hence asymmetric effects. We consider trade flows of 65 industries that trade between India and the U.S. to show that indeed short-run effects of exchange rate volatility are asymmetric in 58 U.S. exporting industries to India and 55 U.S. importing industries from India. However, short-run effects last into the long run in 45 exporting and 33 importing industries. [ABSTRACT FROM AUTHOR]

This study explores the asymmetric effect of exchange rate volatility on tourism demand in India from January 2006 to April 2018. Tourism demand is captured from a twin perspective—quantity and value. While quantity is represented by foreign tourist arrival in India, earnings from foreign tourists are used to represent value. The study is unique from a methodological point of view as it makes the first ever application of the nonlinear autoregressive distributed lag model of Shin, Yu, and Greenwood-Nimmo (2014), in the tourism demand literature to capture nonlinearity simultaneously in the short- as well as long-run. Results of our analysis show that tourism demand in India responds asymmetrically to both nominal and real exchange rate volatility. Also, the long-run effects of exchange rate uncertainty are shown to be more damaging than the short-run effects. Our findings are fairly robust to alternative specifications. [ABSTRACT FROM AUTHOR]

The purpose of this study is to observe the effects of stock markets and exchange rate volatility on environmental pollution in Pakistan during the period 1985–2018. A nonlinear autoregressive distributed lag (ARDL) model is applied to get this objective. In general, the short-term results revealed that the positive and negative shocks in stock markets reducing the carbon emissions. In adverse, positive shocks in exchange rate volatility reduces the carbon emissions while negative shocks in exchange rate volatility have a positive significant effect on carbon emissions in Pakistan. Moreover, the positive and negative shocks in the stock market have a positive significant effect on Pakistan's carbon emissions but positive and negative shocks in exchange rate volatility negative influence on carbon emissions in the long run. The findings further show that positive and negative shocks of the stock markets and exchange rate volatility have the same effects in sign but different in magnitude in the long run. Based on these findings, some policy recommendations proposed in the context of Pakistan as well as for other developing countries. [ABSTRACT FROM AUTHOR]

In the light of recently revealed evidence that suggests a weaker impact of exchange rates on trade, this paper empirically studies the link between real exchange rate and exports in the context of a developing country, Armenia, using quarterly data from January 2001 to June 2019. In the course of this analysis, by performing a rolling regression, we confirm the evidence of a subdued impact of exchange rates on exports. We also investigate the effects of exchange rate volatility on exports for Armenia, where exchange rate risk is not generally hedged by exporting firms. Though dozens of studies have examined the effect of exchange rate fluctuations on international trade, the influence of exchange rate volatility is still ambiguous from empirical point of view. Our estimations indicate that short-term exchange rate volatility has no impact on exports. Finally, we study the dynamics of the prolonged overvaluation of exchange rates observed in the economy of Armenia since the early 2000s, which caused a continual deterioration in its external competitiveness. Using the instrumental variable–generalized method of moments (IV-GMM) framework, we estimate a two-stage model for the real effective exchange rate (REER) with endogenous remittances and find evidence of the Dutch disease in Armenia. [ABSTRACT FROM AUTHOR]

We present an application of the switching linear dynamical model (SLDM) to model the nominal Mexican peso-USD exchange rate time series from January 01, 1970 to January 09, 2019. Two main features exhibited by the time series are observed: dynamical behavior with upward and downward movements after moving to the floating exchange rate regime, and most recently a persistent increasing trend. The SLDM is a flexible method for learning about dynamic models for time series with complex and uncertain behavior patterns, such as those exhibited by the exchange rate. The SLDM allows us to account for four novel results not obtained before: (1) we are able to identify four regimes; (2) we cluster the observations into regimes; (3) we provide the estimated probability of a change point at each time instead of estimating a regime constant persistence; and (4) we find that the change points match with some internal and external events associated with crisis periods. [ABSTRACT FROM AUTHOR]

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Exchange rate uncertainty measured by its volatility is said to affect trade flows in either direction. A limited number of recent studies show that the response of trade flows to exchange rate volatility could be asymmetric, mostly due to change in traders' expectations. In this paper, we test the symmetric and asymmetric effects of exchange rate volatility on Tunisia's bilateral trade with each of its 16 partners. We find that Tunisia's trade flows to each partner are affected asymmetrically in the short run but not in the long run. In almost half of the sample, the long-run effects were symmetric. [ABSTRACT FROM AUTHOR]

With the gradual promotion of market‐oriented reform of the RMB exchange rate, the fluctuation range of the RMB exchange rate is increasing. How to deal with the impact of exchange rate volatility on Chinese exports is an important challenge faced by China. This paper finds that although exchange rate volatility, as a whole, has a negative impact on exports, high‐productivity exporters are less prone to exchange rate volatility shock in both intensive and extensive margins. As high‐productivity firms are less affected by exchange rate risk, they account for larger market shares. This paper, from a new perspective, provides evidence that increasing productivity helps mitigate the negative impact of exchange volatility on exports. [ABSTRACT FROM AUTHOR]

This paper investigates the effect of exchange rate volatility on bilateral trade between Taiwan and Indonesia via 19 export and import industries. Considering the existence of an asymmetric effect of exchange rate volatility on trade, we employ an asymmetric ARDL model and arrive at the following main results. First, the long-run asymmetric effect of exchange rate volatility shows far higher impacts on Taiwan's exports to Indonesia than on Taiwan's imports from Indonesia. Second, the short-run asymmetric effect of exchange rate volatility causes unstable changes on the trade amounts for most of Taiwan's export and import industries with Indonesia. [ABSTRACT FROM AUTHOR]

We analyze the influence of US and Chinese macro news surprises on the exchange rates volatilities of BRICS countries considering total, cyclical and trend components from 2000 to 2019. A comprehensive "actual-survey" surprises set is constructed by 31 US and 15 Chinese macro news. We further divide the sample period into three sub-samples according to the Quantitative Easing (QE) policy conducted by the US, i.e., pre-QE, QE and post-QE. Our findings suggest that the US plays a more important role on the volatilities of BRICS exchange rates in a number of macro news than China; while China has more influence power from the aspect of average magnitudes of macro news effects. In general, the impact of US macro news shows a downtrend from numbers, but China presents an opposite tendency. Meanwhile, a rising trend in magnitudes is detected in either country. The study also indicates that both US and Chinese macro news have the highest explanation power on the cyclical volatility but may hardly explain the trend volatilities. In addition, the explanation power has become more significant since the initiation of QE. Moreover, our results reveal the existence of asymmetric sign effects of macro news surprises. [ABSTRACT FROM AUTHOR]

We investigate the role of external exchange rate volatility in export in addition to the effect of bilateral exchange rate volatility using country-, sector-, and destination-specific detailed export data of the World Bank Exporter Dynamics Database. The results show that while the bilateral exchange rate volatility has a depressing effect on export, the external exchange rate volatility generates trade-promoting effect on export. However, the magnitude of the effect depends on trade intensity between countries. Furthermore, while the role of external exchange rate volatility diminished after the Global Financial Crisis, the effect of its volatility has become larger. Finally, external exchange rate volatility has a larger trade-promoting effect on export in the presence of high volatilities than the effect in the presence of low volatilities. [ABSTRACT FROM AUTHOR]

Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which researchers assess the possibility of asymmetric response of trade flows to a measure of exchange rate uncertainty. We add to this literature by estimating a linear and a nonlinear ARDL model to learn about the experiences of Asian countries, i.e., Pakistan, Japan, China, Korea, Singapore, Malaysia, the Philippines, and India. Like other studies in the literature, nonlinear models yielded relatively more significant results. In some cases, while the linear models showed no significant effects of exchange rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was true. [ABSTRACT FROM AUTHOR]

Central banks seek to guide the foreign exchange market through interventions. However, the success of the central bank in guiding the forex markets, much like the biblical Moses, depends on the differing perceptions and resulting bid–ask spreads of market participants following intervention. Using high-frequency data, we study the behaviour of exchange rate volatility (as reflected in change in bid–ask spreads) following intervention by Reserve Bank of India, India's central bank. We find that intervention increases the probability of volatility being in higher ranges. Event-wise analysis shows an increase in volatility in shorter time frames and a decrease in volatility over the longer time frame of the day, following intervention. [ABSTRACT FROM AUTHOR]

In many emerging market economies that have adopted inflation targeting, policymakers are concerned with the effects that strong appreciation/depreciation pressures and excessive volatility in exchange rates may have on economic stability and their ability to reach their inflation targets. The research in this paper addresses whether central banks have an asymmetric response to exchange rate conditions with respect to meeting their monetary policy objectives. Using a panel of 30 emerging market and developing economies, we employ a panel threshold regression analysis to determine whether policymakers respond differently during appreciation versus depreciation periods, during periods of high versus low exchange rate volatility, or when the country has a relatively high exchange rate pass-through effect. We find that policymakers react more strongly and significantly to depreciations with increases in domestic interest rates, while remaining inactive during periods of appreciation. Yet, during appreciationary periods, they react more strongly to deviations in output from its potential, suggesting a concern over competitiveness. Furthermore, volatility in exchange rates is a significant concern to policymakers, as they regularly claim, and when volatility is sufficiently high, policymakers react with higher interest rates to maintain stability and mitigate capital outflows. Lastly, with a stronger exchange rate pass-through effect, policymakers are more responsive to depreciationary pressure as it affects their ability to reach inflation targets. [ABSTRACT FROM AUTHOR]

Using generalised variance decompositions from vector autoregressions, we analyse cross-country, cross-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes indices of monetary, fiscal and trade policy uncertainty for each country, as well as three measures of option-implied stock market and exchange rate volatility, respectively. We find that the financial market volatility indices are usually substantial net spillover transmitters towards the total group of EPU measures. However, the Japanese equity and especially the FX volatility index are typically more affected by EPU spillovers than the US VXO. Our results also reveal that, compared to within-country spillovers, cross-country spillovers of EPU are relatively small and less volatile. Finally, we show that the direction of net EPU spillovers between the US and Japan is both time- and category-dependent with different EPU categories acting as strong sources of uncertainty spillovers throughout the sample period. [ABSTRACT FROM AUTHOR]

A glance through the literature on the effects of exchange rate uncertainty on the trade flows reveals that African countries have received the least attention. We consider the response of exports and imports of 13 African nations to a Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-based measure of exchange rate uncertainty. Like previous research, when we used linear models in which the effects are assumed to be symmetric, we found significant long-run effects in almost one-third of the countries in our sample. However, when we shifted to nonlinear export and import demand models, we found significant long-run effects of exchange rate uncertainty on trade flows of almost all countries. These effects were asymmetric in nature. [ABSTRACT FROM AUTHOR]

Copyright of Research Papers of the Wroclaw University of Economics / Prace Naukowe Uniwersytetu Ekonomicznego we Wroclawiu is the property of Uniwersytet Ekonomiczny we Wroclawiu and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

In recent years, exchange rates of the BRICS countries have all experienced periods of high volatility. Thus far, no study has simultaneously compared the volatility of the BRICS currencies and analyzed the dependence and causal structure of relative volatility of these peer currencies. We addressed this issue by using monthly data from January 1995 to January 2017. We find that:(i) Brazil, India and China are more competitive than South Africa, on average, while South Africa, in turn, is only more competitive than Russia;(ii) the rand has been more volatile than the Brazilian real and the Russian ruble, but less volatile than the Chinese renminbi and the Indian rupee; (iii) there are inter-currency volatility correlations among the real, renminbi, ruble, and rand;(iv) the renminbi return volatility causes return volatility in the real, ruble, and rand. [ABSTRACT FROM AUTHOR]

The effects of central bank interventions on the exchange rate have been widely studied. There are a number of studies dealing with the effects of these interventions on the level and volatility of the exchange rate in developed countries. In this paper, we decompose the total variability of the daily return of the BRL-USD exchange rate into continuous and jumping components, and then analyze the effects of the interventions of the Central Bank of Brazil (BCB) for these components. For this, we use data referring to the BRL-USD exchange rate quoted every 30 minutes for the period between May 7, 2008 and June 12, 2017. The results shows that BCB interventions reduce exchange rate volatility two periods before their occurrence. In relation to the jumps, they contribute to the reduction of the jumps in the volatility of the real dollar exchange rate in the period. [ABSTRACT FROM AUTHOR]

This study addresses the relative paucity of research on the effect of exchange rate volatility on export performance in Southeast Asia by examining this relationship for the ASEAN-5 group, which includes Thailand, Malaysia, Singapore, Indonesia and the Philippines. In doing so, our study develops an export function model with domestic output, world output, terms of trade and exchange rate volatility as explanatory variables, and export volume as the dependent variable. To capture exchange rate volatility, we use of the real effective exchange rate, as opposed to the traditional bilateral exchange rate, as it accounts for price levels in the countries under study. From a statistical perspective, export volatility is derived from the real effective exchange rate using a GARCH model. Estimates for each of the ASEAN-5 countries are produced from panel data. Unit root tests indicate that all of the variables' series are integrated of order one, and hence they are stationary only in first-difference form. A Johansen-Fisher panel cointegration test rejects the null hypothesis of no cointegration. As such, the main model includes an error correction term, and, in order to ensure that the unobserved country-specific variables are not correlated with the right-hand side variables, a fixed effects estimator is used. The results suggest that changes in both domestic and world output have a positive effect on export volume, while a deterioration in the terms trade has a negative effect on export volume, at least for countries in this region. Lastly, exchange rate volatility has a negative impact on the export performance of the ASEAN-5. Our results suggest that, even though it is not possible to completely eliminate exchange rate volatility, governments can adopt appropriate macroeconomic policies to minimize the volatility of their respective currencies. In particular, given that the ASEAN-5 countries have adopted floating exchange rate systems, their corresponding central banks can intervene in the market in order to minimize exchange rate volatility. Additionally, these central banks might work to reduce volatility in their respective price levels as well. [ABSTRACT FROM AUTHOR]

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