Exchange rate uncertainty and cereals exports: A panel VAR approach

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

The Analysis of Real Exchange Rate Volatility and Stock Exchange Return with PANEL-GARCH Approach (Case Study: D8 Countries)

S tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Vo...

VaR: Exchange Rate Risk and Jump Risk

Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital ...

Comparative Advantage, Exchange Rate and Exports in China

Based on revealed comparative advantage indices, the patterns of China's exports are studied empirically at not only national level but also provincial level. The statistic results have demonstrated that China has changed its export strategy to coincide with the law of comparative advantage. However, there is a distinct difference in export patterns between the coastal region and the interior r...

The Impact of Exchange Rate and Investor Confidence Uncertainty on Monetary and Economic Uncertainty in Iran

Failure to timely identify the occurrence of various shocks in the foreign exchange market due to the close relationship with the monetary, macroeconomic, and financial uncertainty can lead to crises and imbalances. In this paper, the effect of exchange rate and investor confidence on monetary and economic uncertainty in Iran is investigated, specifying a Multivariate GARCH model and the Grange...