Asymmetric and Time-Varying Behavior of Exchange Rate and Interest Rate Differential in Emerging Markets

Salisu, Afees A.; Adeleke, Ibrahim; Akanni, Lateef O.

doi:10.1080/1540496x.2020.1766444

Cited by 3 publications

(1 citation statement)

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“…Exchange rates tend to react differently to policy changes either through conventional policies such as interest rates (Salisu et al 2021 ) or unconventional policies such as foreign exchange interventions (Lahura and Vega 2013 ). Thus, asymmetric behaviour of exchange rates, becomes important for the model that will be assessed in this study.…”

Section: Measuring Event-induced Volatility: the Exponential Garch Modelmentioning

confidence: 99%

Monetary policy responses to COVID-19 in emerging European economies: measuring the QE announcement effects on foreign exchange markets

Akdogan

2023

Empirica

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This paper examines the effects of quantitative easing (QE) announcements by emerging market central banks in Europe during the COVID-19 pandemic, particularly on exchange rates with a higher frequency setting. Two different methodologies are used for analysing the policy announcement effects. The first methodology is the event study method that measures the sample exchange rates’ mean and cumulative mean abnormal return around the time of event. The second one is the time series approach that measures asymmetric behaviour of the exchange rate volatility to monetary policy shocks by employing exponential GARCH model. The results show that the foreign exchange markets respond to QE announcements in all selected countries. The response of exchange rates varies across countries and event windows. QE announcements cause appreciation of domestic currency in Hungary and Poland, and depreciation in Turkey. Additionally, the QE announcements increase exchange rate volatility in Hungary and Poland while they reduce volatility in Turkey. The asymmetric behaviour of domestic currencies prevails in all selected countries, but this asymmetry is sensitive to the exchange rate and the length of the window.

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Section: Measuring Event-induced Volatility: the Exponential Garch Modelmentioning

confidence: 99%

Monetary policy responses to COVID-19 in emerging European economies: measuring the QE announcement effects on foreign exchange markets

Akdogan

2023

Empirica

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Cross-border transmission effect of China's monetary policy on the exchange rate of Asia-Pacific economies

Pei-Fen,

Mei-Ping,

Min-Syu

et al. 2025

International Review of Financial Analysis

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An Analyzing the Impact of Oil Price Volatility, Unpredictability, and Geopolitical Uncertainty on the Persistency of BRICS Economies

Cui

Yang²

2023

Preprint

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It is timely and crucial to research the effects of oil price volatility, unpredictability, and geopolitical instability on the persistence of BRICS economies. Given the continually shifting global oil markets and rising geopolitical tensions, it is critical to comprehend how these factors impact the economies of the BRICS countries. We can support these economies in remaining resilient and ensuring their future growth and success by learning how to handle and overcome these issues. This study examines how oil price volatility, predictability, and geopolitical unpredictability affect the BRICS economies' ability to endure and their economic success. The study explores the dynamic relationship between these factors during the period from 2004 to 2022 by using advanced econometric approaches, such as panel data analysis and PSRT autoregression. The results show that, with various degrees of sensitivity across the five economies, changes in the price of oil have a major impact on the economic growth of the BRICS nations. Furthermore, it has been found that geopolitical unpredictability tends to make the negative effects of oil price volatility worse, particularly in the energy-dependent economies of Russia and Brazil. The 2012 reform's impact on the oil price volatility index (OPVI) stock association is also investigated in this study. The study recommends that the BRICS nations adopt policies to lessen the negative effects of oil price shocks and geopolitical risks, including increasing their energy diversification and implementing efficient risk management plans to promote long-term economic growth.

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Asymmetric and Time-Varying Behavior of Exchange Rate and Interest Rate Differential in Emerging Markets

Cited by 3 publications

References 39 publications

Monetary policy responses to COVID-19 in emerging European economies: measuring the QE announcement effects on foreign exchange markets

Monetary policy responses to COVID-19 in emerging European economies: measuring the QE announcement effects on foreign exchange markets

Cross-border transmission effect of China's monetary policy on the exchange rate of Asia-Pacific economies

An Analyzing the Impact of Oil Price Volatility, Unpredictability, and Geopolitical Uncertainty on the Persistency of BRICS Economies

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