Foreign exchange rate volatility smiles and smirks

2021 ◽  
Author(s):  
Sun‐Yong Choi ◽  
Jeong‐Hoon Kim ◽  
Ji‐Hun Yoon
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate

Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?

2010 ◽  
Vol 230 (4) ◽  
Author(s):  
Christian Pierdzioch ◽  
Georg Stadtmann
Keyword(s):  
Exchange Rate ◽  
Standard Model ◽  
Exchange Rates ◽  
Survey Data ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate ◽  
Herd Behavior ◽  
Macroeconomic Fundamentals

SummaryExchange rates have been found to be more volatile than underlying macroeconomic fundamentals. Researchers have argued that the empirically observed high exchange-rate volatility may result from herd behavior of foreign-exchange traders and forecasters. We sketch a standard model that illustrates that herd behavior of foreign-exchange-rate forecasters may be rational. We then use survey data to test for herd behavior of forecasters. Our results suggest that exchange-rate-forecasters anti-herd and “lean against the wind” when forecasting exchange rates.

Volatility Spillover Structure of Stock and Foreign Exchange Market between Korea, Japan, and Hong Kong

2006 ◽  
pp. 162-182
Author(s):  
Masayuki Susai
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Portfolio Risk ◽  
International Portfolio

Highly developed IT technology can be the source of volatility spillover between markets located in other countries. In this chapter, we investigate the interrelationship between stock returns in North East Asian countries and the effect of foreign exchange rate volatility on the interrelationship between stock returns. We bring out clear simultaneous interrelationship between stock return and foreign exchange volatility. Focusing on covariance of each asset returns, if we do not take foreign exchange rate volatility into account when we evaluate our international portfolio, the portfolio risk might be underevaluated. The analysis shows that foreign exchange market turbulence might be accompanied by increase in covariance between stock returns. Just after the Asian currency crisis, the relationship between stock returns and foreign exchange turbulence might have changed. For managing international portfolio risk, we should be aware of foreign exchange risk and structural change in covariance between stock returns.

Foreign exchange rate volatility and firm value: evidence from Ghana

2016 ◽  
Vol 9 (2) ◽  
pp. 192 ◽  
Author(s):  
Seth Baffoe Kodom ◽  
Kingsley Opoku Appiah ◽  
Lawrence Adu Asamoah
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Firm Value ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate
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