Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis.
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F11%3A%230001568" target="_blank" >RIV/47813059:19520/11:#0001568 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis.
Original language description
We apply a modified TGARCH model on daily data covering the period 1 March 2007 - 31 March 2011 divided into four phases of the financial crisis. The results suggest that the presence of asymmetric attributes of the exchange rate volatility were relatively common particularly in the US dollar exchange rate. Appreciation changes of the exchange rate stimulate subsequent volatility to increase more than depreciation changes. Likewise, appreciation-side deviations from the target exchange rate increase theexchange rate volatility. We did not find any significant differences in asymmetry across the phases of the financial crisis.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procyclicality of financial markets, asset price bubbles and macroprudential regulation</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Lessons Learned from the Financial Crisis. Proceedings of 13th International Conference on Finance and Banking.
ISBN
978-80-7248-708-0
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
609-615
Publisher name
Slezská univerzita v Opavě, Obchodně podnikatelská fakulta v Karviné
Place of publication
Karviná
Event location
Ostrava
Event date
Oct 12, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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