Exchange Rate Volatility and its Impact on the Transaction Costs of Covered Interest Rate Parity

Exchange rate volatility and its effect on stock market volatility

This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...

Tests of Covered Interest Rate Parity

ECEN’FLY there has been considerable interest in and investigations of whether the covered interest parity (CIP) holds. At the inicroeconomic level, CIP is important because is it a direct consequence of covered interest arbitrage. Its failure to hold would suggest 1) that markets are inefficient in the sense that traders do not take advantage of known profit opportunities, 2) that legal restri...

The Impact of Monetary Regime on the Exchange Rate Pass-Through under Exchange Rate Volatility (Dynamic Panel Data Approach)

The Impact of the Real Exchange Rate Volatility on Non-oil Exports: The Case of Iran

 Up to now, the impact of real exchange rate on the non-oil exports of Iran has been mainly on focus. However, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. Hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exchange rate volatility for Iran...

Impact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility

Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with rest...