دانلود مقاله ISI انگلیسی شماره 44726
عنوان فارسی مقاله

پویایی نوسانات نرخ ارز: روش پانل VAR

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
44726 2014 27 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The dynamics of exchange rate volatility: A panel VAR approach
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Financial Markets, Institutions and Money, Volume 33, November 2014, Pages 1–27

کلمات کلیدی
نوسانات نرخ ارز - تجزیه و تحلیل طیفی - اجزای فرکانس بالای نوسانات - متغیرهای مالی - برآورد پنل VAR و شبیه سازی
پیش نمایش مقاله
پیش نمایش مقاله پویایی نوسانات نرخ ارز: روش پانل VAR

چکیده انگلیسی

This paper employs a panel vector autoregressive model (PVAR) to study the dynamics of the overall exchange rate volatility. PVAR estimation results, based on panel data for 29 economies, are used in simulating impulse response functions. Since economic shocks may affect high-frequency and low-frequency components of volatility differently, using a conventional time-domain approach to study volatility may lead to spurious results. Accordingly, the paper also studies the dynamics of the most destabilizing (high-frequency) components of exchange rate volatility, which are isolated using spectral methodology. While our investigation reveals interesting dynamic interrelationships between macroeconomic as well as financial variables and exchange rate volatility, we find little evidence of significant difference in the responses of macroeconomic and financial variables to the overall volatility vis-à-vis the high-frequency components thereof. The feedback effects from exchange rate volatility to macroeconomic and financial variables are found to be much stronger for developing countries relative to developed economies. These findings are confirmed by variance decompositions and are largely immune to several robustness checks.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.