On the Exchange Rates Volatility and Economic Policy Uncertainty Nexus: A Panel VAR Approach for Emerging Markets

Economic Policy Uncertainty & Asset Price Volatility∗

We document that fear about misspecified economic and central bank policies explain 45% of variations in bond option implied volatilities and interest rate volatilities. We endogenize this empirical pattern with a parsimonious equilibrium asset pricing model. In equilibrium, volatility is endogenously driven by fear of not knowing the data generating process that drives future economic and futu...

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

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

FDI and Local Financial Market Development in Oil Exporting and Importing Emerging Economies: VAR Panel Approach

The literature on Foreign Direct Investment (FDI) has advanced several explanations of the links between financial market developments and FDI inflows across developing as well as developed countries. Empirical literature show that financial market development reduces informational frictions and improves resource allocation more efficiently. Also, financial systems are important for both produc...

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...