International asset markets and real exchange rate volatility
نویسندگان
چکیده
منابع مشابه
International Asset Markets And Real Exchange Rate Volatility
The real exchange rate is very volatile relative to major macroeconomic aggregates and its correlation with the ratio of domestic over foreign consumption is negative (Backus-Smith puzzle). These two observations constitute a puzzle to standard international macroeconomic theory. This paper develops a two country model with complete asset markets and limited enforcement for international financ...
متن کاملBoard of Governors of the Federal Reserve System International Asset Markets and Real Exchange Rate Volatility International Asset Markets and Real Exchange Rate Volatility *
The real exchange rate is very volatile relative to major macroeconomic aggregates and its correlation with the ratio of domestic over foreign consumption is negative (BackusSmith puzzle). These two observations constitute a puzzle to standard international macroeconomic theory. This paper develops a two country model with complete asset markets and limited enforcement for international financi...
متن کاملExchange 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 ...
متن کاملInternational portfolio flows and exchange rate volatility in emerging Asian markets
http://dx.doi.org/10.1016/j.jimonfin.2017.03.002 0261-5606/ 2017 The Author(s). Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). q We would like to thank the editor (K.G. Koedijk), an anonymous referee and O. Cassero for very useful comments and suggestions. ⇑ Corresponding author at: Department of Economics and Fin...
متن کاملThe volatility of international trade flows and exchange rate uncertainty∗
Empirical evidence obtained from data covering Eurozone countries, other industrialized countries, and newly industrialized countries (NICs) over 1980– 2006 shows that exchange rate uncertainty has a consistent positive and significant effect on the volatility of bilateral trade flows. A one standard deviation increase in exchange rate uncertainty leads to an eight per cent increase in trade vo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2008
ISSN: 1094-2025
DOI: 10.1016/j.red.2007.12.003