Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING

ISBN

978-80-7248-753-0

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

379-385

Název nakladatele

Slezská univerzita v Opavě, Obchodně podnikatelská fakulta v Karviné

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

1. 1. 2011

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000309369700038