The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We estimated the effect of this ex...

The present study was conducted to examine the extent and direction of exchange rate volatility and its impact on macroeconomic performance of Pakistan. It is implied that exchange rate volatility has direct bearings on macroeconomic variables and thus on macroeconomic performance. This study also investigates the effect of exchange rate (independent variable) of Pak Rupee to US Dollar on selec...

This paper studies co-evolution of di erent decision rules in an arti cial foreign exchange market. The behavior of the exchange rate depends on the type of decision rules that agents use. Evolution of the moving average and least squares forecasting techniques results in a speculative attack on one of the currencies and that currency's eventual collapse. Addition of the rules that evolve the p...

The aim of this paper is to analyze the monetary transmission mechanism through the influence of exchange rate variability on export volume. To date it has been very common to use “historical volatility” as an approximation for exchange rate variability in empirical studies. However, many macroeconomic time series are characterized by heteroskedasticity, i.e. their variance is not constant over...

This paper uses the data of Japan’s and Korea’s exchange rates to discuss the model construction and their associations between Japan’s and Korea’s terms exchange rate markets. The empirical results show that the mutual affects of Japan’s and Korea’s exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that the terms exchange rate mark...

In the case of Indonesia and Malaysia, positive significant correlation between real effective exchange rate (REER) capital financial account explain that when inflows augment to domestic, then REER is more volatile. This result enhances IMF study (2006) show inflow on ASEAN countries dominated by short-term than long-term capital. addition, rates regime indicates becomes flexible, We can analy...

A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the high real exchange rate (RER) volatility relative to consumption volatility (RER volatility puzzle), the negative RER-consumption differentials corre...