scholarly journals The International Integration of Foreign Exchange Markets in the Central and East European Accession Countries: Speculative Efficiency, Transaction Costs and Exchange Rate Premiums

2003 ◽  
Author(s):  
Sabine Herrmann ◽  
Axel Jochem
Keyword(s):  
Exchange Rate ◽  
Transaction Costs ◽  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
International Integration ◽  
East European ◽  
Accession Countries ◽  
Exchange Markets

The long-run effects of geopolitical risk on foreign exchange markets: evidence from some ASEAN countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hon Chung Hui
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Risk Index ◽  
Foreign Exchange Markets ◽  
Content Type ◽  
Long Run ◽  
Exchange Markets ◽  
Exchange Rate Models ◽  
Asean Countries

PurposeThe purpose of this paper is to analyse the long-run relationship between geopolitical risk and exchange rates in four ASEAN countries.Design/methodology/approachWe augment theoretical nominal exchange rate models available in the literature with the geopolitical risk index developed by Caldara and Iacoviello (2019), and then estimate these models using the ARDL approach to Cointegration.FindingsOur analysis uncovers evidence of Cointegration in the exchange rate models when the MYR-USD, IDR-USD, THB-USD and PHP-USD exchange rates are used as dependent variable. Next, geopolitical risk is a significant long-run driver for these exchange rates. Third, in all countries higher geopolitical risk leads to a depreciation of domestic currency.Research limitations/implicationsThere are implications for entrepreneurs, central banks, portfolio managers and arbitrageurs who actively trade in financial markets. Financial market players can benefit from a better understanding of how geopolitical events affect the portfolio of financial assets across various countries, while entrepreneurs can work out hedging strategies.Originality/valueThis is a contribution to the study of interlinkages between political risk and foreign exchange markets. It is the first study to adopt the geopolitical risk index of Caldara and Iacoviello (2019) to the study the foreign exchange markets of ASEAN countries.

Exchange Rate Theory: Chaotic of Foreign Exchange Markets

1994 ◽  
Vol 104 (425) ◽  
pp. 966
Author(s):  
Ronald MacDonald ◽  
Paul De Grauwe ◽  
Hans Dewachter ◽  
Mark Embrechts
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Rate Theory ◽  
Exchange Markets
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