Thesis on exchange rate volatility and international trade

Further broadening financial instruments and derivatives available for investors to hedge against exchange rate volatility and a meticulous management of portfolio flows is imperative to ensure prevention of its destabilizing effect on the exchange rate.

This thesis then considers the implications of exchange rate regimes on the monetary policy.

Cointegration analysis is used for trade-exchange rate volatility analysis while SVAR and GMM are employed with variations to the conventional specification of monetary and foreign exchange intervention rules in the literature in determining the relevance of exchange rate volatility in monetary and foreign exchange policies.


Thesis Exchange Rate Volatility - 234608 - Akademik İstatistik

In addition, principal components analysis (PCA) is used to capture the common underlying pattern in the estimated conditional volatility series through which a new GARCH series (GARCH-PCA) is constructed and used in trade and monetary and foreign exchange intervention rule analysis as an alternative measure of exchange rate risk.


Essays in the study and modelling of exchange rate volatility

This research focuses on exchange rate volatility, external shock, and capital inflows. The study uses secondary data for the period of 1986 to 2014 for its analysis. The three specific objectives of the study are to investigate whether current exchange rate volatility has any relationship with its conditional volatility in periods ahead usingExponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) technique; to examine the impact of external shocks on exchange rate volatility; and to evaluate the relationship between capital inflows and exchange rate volatility using Autoregressive Distributed Lags (ARDL) and Johansen co-integration methods, respectively. The results show that current exchange rate volatility is related to its conditional volatility in periods ahead, external shock significantly impacted on exchange rate volatility and that exchange rate volatility significantly explains capital inflows. Based on these findings, the research recommends thatminimizing effects of exchange rate volatility on its conditional volatility in periods ahead. So, the government needs proactive monetary and fiscal policies like prudent allocation of foreign currencies through Central Bank of Nigeria, direct swap of Naira to other currency aside United States Dollar (USD), and diversifying the economy to increase non-oil exports. The study suggested that political instability can be addressed through jobs creation for the youth like investment in small andmedium enterprises, provision of affordable basic necessities of life, proper remuneration and equipping the security agencies. On oil price, the government should diversify the economy for the solid minerals and agricultural sectors to leadas Nigeria exports. The recommendations on financial crisis are that government should have a database for prompt response and forecasting. Financial leakage should address and reckless corrupt practices should legally deal with. This study equally recommends conducive legal, stable infrastructure, and reliable security framework for achieving sustainable capital inflows.

of DEM/USD exchange rate volatility can be ..

Finally, this thesis provides further evidence on the relationship between stock prices and exchange rates, from the typical case of Hong Kong, to realise what kind of causality prevailed over the period 1995-2001.

Free Essay: Factors Affecting Exchange Rate Volatility

Consequently, the aim of the study is to examine whether the volatility in the exchange rate is a significant determinant of foreign investor capital into South African markets as well as to empirically establish the dynamic relationship that can be observed between capital flows and exchange rate volatility.