Trading Volumes Volatility And Spreads In Foreign Exchange Markets Evidence From Emerging Market Countries PDF Download
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Author | : Gabriele Galati |
Publisher | : |
Total Pages | : 44 |
Release | : 2000 |
Genre | : Capital market |
ISBN | : |
Download Trading Volumes, Volatility and Spreads in Foreign Exchange Markets Book in PDF, ePub and Kindle
This paper provides empirical evidence on the relationship between trading volumes, volatility and bid-ask spreads in foreign exchange markets. It uses a new data set that includes daily data on trading volumes for the dollar exchange rates of seven currencies from emerging market countries. The sample period is 1 January 1998 to 30 June 1999. The results are broadly consistent with the findings of the literature that used futures volumes as proxies for total foreign exchange trading. I find that in most cases unexpected trading volumes and volatility are positively correlated, suggesting that both are driven by the arrival of public information, as predicted by the mixture of distributions hypothesis. I also find that the correlation between trading volumes and volatility is positive during "normal" periods but turns negative when volatility increases sharply. Finally, the results suggest that volatility and spreads are positively correlated, as suggested by inventory cost models. However, contrary to the prediction of these models, I do not find evidence of a significant impact of unexpected trading volumes on spreads.
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Total Pages | : 0 |
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Download Trading Volumes, Volatility and Spreads in Foreign Exchange Markets: Evidence from Emerging Market Countries Book in PDF, ePub and Kindle
The Bank for International Settlements (BIS) offers the full text of the October 2000 working paper entitled "Trading Volumes, Volatility and Spreads in Foreign Exchange Markets: Evidence from Emerging Market Countries," written by Gabriele Galati. The text is available in PDF format. This paper provides evidence on the relationship between trading volumes, volatility and bid-ask spreads in foreign exchange markets. Galati finds that in most cases unexpected trading volumes and volatility are positively correlated.
Author | : G. Galati |
Publisher | : |
Total Pages | : |
Release | : 2000 |
Genre | : |
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Download Trading Volumes, Volatility and Spreads Exchange Markets Book in PDF, ePub and Kindle
Author | : Gabriele Galati |
Publisher | : |
Total Pages | : 33 |
Release | : 2000 |
Genre | : Foreign exchange |
ISBN | : |
Download Trading Volumes, Volatility and Spreads in Foreing Exchange Markets Book in PDF, ePub and Kindle
Author | : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : Banks and banking, Central |
ISBN | : 9789291319626 |
Download Market Volatility and Foreign Exchange Intervention in EMEs Book in PDF, ePub and Kindle
Author | : Roberto Pereira Guimarães |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 2004-07-01 |
Genre | : Business & Economics |
ISBN | : 1451854641 |
Download The Empirics of Foreign Exchange Intervention in Emerging Markets Book in PDF, ePub and Kindle
This paper analyzes the effects of intervention on the level and volatility of the exchange rate in Mexico and Turkey, two emerging countries that have floating exchange rate regimes. The paper finds mixed evidence on the effectiveness of intervention. In Mexico, foreign exchange sales have a small impact on the exchange rate level and raise short-term volatility, while in Turkey, intervention does not appear to affect the exchange rate level but reduces its shortterm volatility. In both cases, the findings are consistent with officially stated policy objectives, which aim to minimize the effect of intervention on the exchange rate, but cast doubt on claims that intervention is a useful tool for smoothing volatility. Although these findings cannot be generalized to other emerging markets, intervention's apparently limited effectiveness highlights the need for central banks to use their scarce foreign reserves selectively and parsimoniously.
Author | : Mr.Faisal Ahmed |
Publisher | : International Monetary Fund |
Total Pages | : 26 |
Release | : 2011-10-19 |
Genre | : Business & Economics |
ISBN | : 1463926529 |
Download Internationalization of Emerging Market Currencies Book in PDF, ePub and Kindle
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Author | : Abdulkader M. ALJANDALI |
Publisher | : Transnational Press London |
Total Pages | : 224 |
Release | : 2018-04-13 |
Genre | : Business & Economics |
ISBN | : 1910781800 |
Download Exchange Rate Volatility in Emerging Economies Book in PDF, ePub and Kindle
This book is a contribution to the knowledge concerning the volatility and forecasting of exchange rates in the emerging markets. It focuses on the exchange rates of the leading trading blocs in that part of the world and examines exchange rates of selected emerging countries across continents in order to explain local and regional variations in exchange rates and the determinants of fluctuations in selected countries in Africa, Asia, Central and Latin America. Exchange rates of countries from the four different regions are investigated separately, followed by analysis within and across regions to identify common patterns of exchange rates fluctuations. Monthly forecasts are generated for a period of 24 months to test the performance of the times series, cointegration and combination techniques used in this book. The results show that exchange rates of countries in the same region behave similarly following a shock to the system. Additionally, exchange rates of countries at the same stage of development albeit in different geographical location (Central America, Southern Africa, Latin America and Southeast Asia) share some similarities. In this book, I argue that all exchange rates examined have been volatile. Contents PrefaceChapter I. IntroductionChapter II. Foreign Exchange Forecasting using Macroeconomic VariablesChapter III. Empirical Methods and ApplicationsChapter IV. Times Series ForecastingChapter V. ARDL Cointegration ForecastingChapter VI Combination Forecasting of Exchange RatesChapter VII Conclusions, Summary and Recommendations for Policy MakersAppendix 1 Exchange rate plots over time
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 132 |
Release | : 2004-05-19 |
Genre | : Business & Economics |
ISBN | : 1498330282 |
Download Exchange Rate Volatility and Trade Flows--Some New Evidence Book in PDF, ePub and Kindle
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Author | : Sujit Kanti Das |
Publisher | : |
Total Pages | : 204 |
Release | : 2004 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Volatility of Exchange Rates and International Trade Book in PDF, ePub and Kindle