scholarly journals Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach

2011 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Thouraya Hadj Amor ◽  
Christophe Rault
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Financial Integration ◽  
Exchange Rate Volatility ◽  
International Financial Integration ◽  
Real Exchange Rate Volatility

scholarly journals Real Exchange Rate Volatility and Financial Integration: Evidence from Latin American Countries

2020 ◽  
Vol 3 (3) ◽  
pp. 445-458
Author(s):  
Asma Awan ◽  
Imran Sharif Chaudhry ◽  
Furrukh Bashir ◽  
Rashid Ahmad
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Money Supply ◽  
Latin American ◽  
Financial Integration ◽  
Generalized Method Of Moments ◽  
Exchange Rate Volatility ◽  
Monetary Shocks ◽  
Latin American Countries ◽  
Real Exchange Rate Volatility

This research is an endeavor to reveal the dynamic association of real exchange rate volatility with real and monetary shocks and particularly with international financial integration in selected eight Latin American countries during 1992-2018. The estimation strategy employed in this research is the Generalized Method of Moments (GMM) to empirically obtain consistent estimates. Empirical results strongly supported the significant negative impact of financial integration on real exchange rate volatility when financial integration is approximated by the Chinn-Ito index. Furthermore, output volatility and money supply volatility both significantly contributed to increasing real exchange rate instability. An important policy implication is that process of financial integration needs to be more strengthened and shocks to output and money supply needs to be reduced to achieve lesser fluctuations of the real exchange rate in Latin American countries.

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