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%2F12%3A%230001716" target="_blank" >RIV/47813059:19520/12:#0001716 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
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
The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the US dollar and British pound against the euro during the financial crisis. We apply a modified TARCH model on daily data covering the period 1 March 2007 - 31March 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. We can conclude that 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 the exchange rate volatility. We did not find any significant differences in asymmetry across the phases of the financial crisis.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
—
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING
ISBN
978-80-7248-753-0
ISSN
—
e-ISSN
—
Number of pages
7
Pages from-to
379-385
Publisher name
Slezská univerzita v Opavě, Obchodně podnikatelská fakulta v Karviné
Place of publication
Karviná
Event location
Ostrava
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000309369700038