scholarly journals Modeling the Conditional Volatility Asymmetry of business cycles in four OECD countries: A multivariate GARCH approach

2011 ◽  
Keyword(s):  
Business Cycles ◽  
Oecd Countries ◽  
Multivariate Garch ◽  
Conditional Volatility ◽  
Volatility Asymmetry

Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies

2019 ◽  
Vol 11 (2) ◽  
pp. 174-192 ◽  
Author(s):  
Ajaya Kumar Panda ◽  
Swagatika Nanda ◽  
Vipul Kumar Singh ◽  
Satish Kumar
Keyword(s):  
Exchange Rates ◽  
Asset Management ◽  
Spillover Effects ◽  
International Investment ◽  
Multivariate Garch ◽  
Conditional Volatility ◽  
Substantial Impact ◽  
Content Type ◽  
Volatility Spillovers ◽  
Strongly Connected

Purpose The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the studied exchange rates. Findings The study finds substantial impact of asymmetric innovations (news) on the conditional volatility of exchange rates, where Russian Ruble is showing significant leverage effect followed by Indian Rupee. The exchange rates depict significant mean spillover effects, where Rupee, Peso and Ruble are strongly connected; Real, Rupiah and Lira are moderately connected; and Yuan is the least connected exchange rate within the sample. The study also finds the assimilation of information in foreign exchanges and increased spillover effects in the post 2008 periods. Practical implications The results probably have the implications for international investment and asset management. Portfolio managers could use this research to optimize their international portfolio. Policymakers such as central banks may find the study useful to monitor and design interventions strategies in foreign exchange markets keeping an eye on the nature of movements among these exchange rates. Originality/value This is one of the few empirical research studies that aim to explore the leverage effects on exchange rates and their volatility spillovers among seven emerging and growth-leading economies using advanced econometric methodologies.

scholarly journals The Application of the Multivariate GARCH Models on the BRICS Exchange Rates

2020 ◽  
Vol 9 (4) ◽  
pp. 23
Author(s):  
Lebotsa Daniel Metsileng ◽  
Ntebogang Dinah Moroke ◽  
Johannes Tshepiso Tsoku
Keyword(s):  
South Africa ◽  
Exchange Rates ◽  
Time Series Data ◽  
Garch Model ◽  
Multivariate Garch ◽  
Series Data ◽  
Garch Models ◽  
Conditional Volatility ◽  
Volatility Persistence ◽  
Multivariate Garch Models

The study investigated the BRICS exchange rate volatility using the Multivariate GARCH models. The study used the monthly time series data for the period January 2008 to January 2018. The BEKK-GARCH model revealed that all the variables were found to be statistically significant. The diagonal parameters estimates showed that only Russia and South Africa were statistically significant. This implied that the conditional variance of Russia and South Africa’s exchange rates are affected by their own past conditional volatility and other BRICS exchange rates past conditional volatility. The BEKK-GARCH model also revealed that there is a bidirectional volatility transmission between Russia and South Africa. The results from the DCC-GARCH model revealed that Brazil, China, Russia and South Africa had the highest volatility persistence and India has the least volatility persistence. All the BRICS exchange rates show that the fitted residuals are not normally distributed except for Russia. The recommendations for future studies were articulated.

scholarly journals Determinants of food price volatility in Nigeria

2018 ◽  
Vol 51 (4) ◽  
pp. 165-174 ◽  
Author(s):  
Ismail Olaleke Fasanya ◽  
Feyikunayo Olawepo
Keyword(s):  
Direct Effect ◽  
Price Volatility ◽  
Food Prices ◽  
Food Price ◽  
Multivariate Garch ◽  
Conditional Volatility ◽  
Lending Rate ◽  
The Government ◽  
Alternative Sources ◽  
Data Frequency

Abstract In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. In particular, the Baba-Engle-Kraft-Kroner (BEKK) model and the Dynamic Conditional Correlation (DCC) model were used for estimation. The findings showed that information shocks originating in Consumer Price Indices (CPI), lending rate, exchange rate and oil market have a direct effect on the current conditional volatility in food market while the information shocks originating in food have a direct effect on the current conditional volatility in all the markets considered except for oil. These results were insensitive to changes in data frequency and different oil price specification. Hence, the government should encourage the use of alternative sources of energy to reduce the effect of high oil prices on food prices and provide soft agricultural credit scheme to farmers with a low lending rate through specialized banks.

Electoral Business Cycles in OECD Countries

2012 ◽  
Vol 106 (1) ◽  
pp. 103-122 ◽  
Author(s):  
BRANDICE CANES-WRONE ◽  
JEE-KWANG PARK
Keyword(s):  
Business Cycles ◽  
Oecd Countries ◽  
Policy Uncertainty ◽  
Substantial Portion ◽  
Fixed Investment ◽  
Political Business Cycles ◽  
Quarterly Data ◽  
Partisan Polarization ◽  
Private Actors ◽  
Electoral Competitiveness

Studies of Organisation for Economic Co-operation and Development (OECD) countries have generally failed to detect real economic expansions in preelection periods, casting doubt on the existence of opportunistic political business cycles. We develop a theory that predicts that a substantial portion of the economy experiences a real decline in the preelection period if the election is associated with sufficient policy uncertainty. In particular, policy uncertainty induces private actors to postpone investments with high costs of reversal. The resulting declines, which are called reverse electoral business cycles, require sufficient levels of polarization between major parties and electoral competitiveness. To test these predictions, we examine quarterly data on private fixed investment in ten OECD countries between 1975 and 2006. The results show that reverse electoral business cycles exist and as expected, depend on electoral competitiveness and partisan polarization. Moreover, simply by removing private fixed investment from gross domestic product, we uncover evidence of opportunistic cycles.

scholarly journals Analyzing Stock-Bond Correlation in Emerging Markets

2019 ◽  
Vol 11 (3) ◽  
pp. 83
Author(s):  
Qurat Ul Ain Ehtesham ◽  
Danish Ahmed Siddiqui
Keyword(s):  
Emerging Markets ◽  
White Noise ◽  
Asset Allocation ◽  
Multivariate Garch ◽  
Portfolio Construction ◽  
Conditional Volatility ◽  
Price Data ◽  
Lm Test ◽  
Noise Error ◽  
Diversification Benefit

This study investigates stock-bond correlation in 17 countries of emerging markets during 2011 to 2018 using monthly price data. Data was analyzed using ARCH-LM test, GJR GARCH and Multivariate GARCH type Asymmetric DCC model. Findings of this paper revealed that sequence of return series are stationary containing white noise error, past return volatilities do not have the ability to predict future volatilities and conditional volatility is higher and negative momentum of the market increase the correlation of stock and bond in a country or vice versa and hence increase the diversification benefit for asset allocation in a portfolio construction and provide hedging assets characteristics among countries and it is found that there is a co-movement between stock and bond in a country of emerging markets.

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