This paper uses high frequency exchange rate data for a group of twelve Latin American countries to analyze volatility comovements. Particular interest is posed on understanding the existence of a common volatility process during the 1994–2005 period. The analysis relies on bivariate common factor models. We test for second-order common features using the common ARCH-feature methodology develop...

This paper examines changes in foreign exchange rates with a focus on estimating the variance/covariance structure of the exchange rate time series. The use of a simulation based numerical integration algorithm frees the model speci-cation from restrictions imposed by technical considerations required to obtain analytical solutions. We estimate a vector ARCH (autoregressive conditional heterosk...

Increase in the exchange rate may not always promote export of non-oil production and exports of various goods; rather they might have different reactions to the exchange rate. Hence, in this study we tried to examine the effect of real effective exchange rate on Iranian pistachio export. The required data were collected from statistical yearbook of Iran's foreign trade, statistical yearbook of...

The United States and Brazil both have many local consumer markets which imported cement can access by waterway. Despite this similarity, the degree of import penetration is strikingly di¤erent. While imports from around the world account for as much as 30% of U.S. cement consumption, Brazil hardly imports cement. U.S. cement producers, facing lower inbound trade costs and higher marginal costs...

High frequency foreign exchange rate (HFFX) series are analyzed on an operational time scale using models of the ARCH class. Comparison of the estimated conditional variances focuses on the asymmetry and persistence issue. Estimation results for para-metric models connrm standard results for HFFX series, namely high persistence and no signiicance of the asymmetry coeecient in an EGARCH model. T...

This research examines the impact of import substitution policy on trade balance and exchange rate in Ghana by employing macroeconomic variables – inflation interest rate. For a robustness check, is analyzed using augmented magnitude approaches. The study utilizes quarterly data from 1990Q1 to 2021Q1 applies Johansen cointegration test vector error correction model estimate dynamics impac...

the main purpose of this paper is theoretically to design the optimal intervention in the foreign exchange market in iran, which has not been investigated by previous studies. the economic fundamentals are strongly affected by the optimal foreign exchange intervention, the consistency of foreign exchange intervention with other policies and political authorities' beliefs about the interven...