Informacja

Drogi użytkowniku, aplikacja do prawidłowego działania wymaga obsługi JavaScript. Proszę włącz obsługę JavaScript w Twojej przeglądarce.

English (EN)·Polski (PL)·Yкраїнський (UK)
Przejdź do strony domowej biblioteki Centralna Biblioteka Wojskowa Link otwiera się w nowym oknie Logo biblioteki Prolib Integro - strona głównaCentralna Biblioteka Wojskowa

Wyszukujesz frazę "exchange rate volatility" wg kryterium: Temat

  Lista filtrów
Wyrównaj
    Wyświetlanie 1-13 z 13
    Tytuł:
    Post-Brexit exchange rate volatility and its impact on UK exports to eurozone countries: A bounds testing approach
    Autorzy:
    Naimy, Viviane
    Khoury, Rim El
    Montero, José-María
    Souk, Jana
    Powiązania:
    https://bibliotekanauki.pl/articles/19322756.pdf
    Data publikacji:
    2023
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    exchange rate volatility
    exports
    Brexit
    ARDL
    GARCH
    Opis:
    Research background: The Brexit referendum had a profound effect on the economic relations between the United Kingdom (UK) and continental Europe. Major economic and financial determinants were affected, including the impact of the GBP/EUR exchange rate volatility on the dynamics of UK exports to the Eurozone. Purpose of the article: This paper seeks to assess the extent to which these dynamics have changed since Brexit and to estimate the magnitude of their impact. Methods: To this end, the volatility behavior of the GBP/EUR exchange rate before and after Brexit is captured using EWMA, GARCH(p,q), and EGARCH(p,q) models for the period of January 1, 2010 to August 31, 2020. The post-Brexit change in the volatility structure of GBP/EUR exchange rates is then tested by including a dummy in the optimal volatility model. Finally, the Autoregressive Distributed Lag (ARDL) Bounds Testing approach is employed to analyze the relationships between exchange rate volatility and exports. Findings & value added: GARCH(1,1) was selected as the winning model and used to examine the volatility structure of the post-Brexit exchange rate, which revealed no significant change. By incorporating a well-grounded proxy for exchange rate volatility into the demand function of exports, and controlling for the industrial production index, terms of trade, and real exchange rate, the analysis showed that exchange rate volatility had a negative impact on export volume to the Eurozone in both the long and short run. Additionally, the industrial production index had a positive effect on export volume in both the long and short run, while an appreciation in the value of the pound relative to the euro adversely affected the competitiveness of UK exports in the Eurozone market in the long run, with no impact in the short run. This paper serves as a benchmark for future studies, as it follows a three-step modeling approach and provides valuable insights into the potential economic and financial consequences a European Union (EU) member state may face should it choose to exit the EU.
    Źródło:
    Oeconomia Copernicana; 2023, 14, 1; 135-168
    2083-1277
    Pojawia się w:
    Oeconomia Copernicana
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Fluctuations in exchange rate and aggregate exports in Ukraine
    Wahania kursów walut i ich wpływ na zagregowany eksport na Ukrainie
    Autorzy:
    Agiomirgianakis, George
    Serenis, Dimitrios
    Tsounis, Nicholas
    Powiązania:
    https://bibliotekanauki.pl/articles/425225.pdf
    Data publikacji:
    2015
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    exchange rate volatility
    exports
    Ukraine
    ARDL method
    Opis:
    This paper examines the effect of Exchange Rate Volatility (ERV) on the aggregate exports of Ukraine during the period of 1990 to 2013 using quarterly data. In the literature, it is found that exchange rate volatility causes a reduction in the overall level of trade. The paper tests this finding for Ukrainian foreign trade in the aforementioned period using the Autoregressive Distributed Lags (ARDL) method to co-integration. Overall, our findings suggest that there is a negative effect of ERV on Ukrainian exports. From a policy prospective, this result is important because it suggests that policy makers should consider the negative effect of ERV on exports when exercising exchange rate policy for balance of payment purposes.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2015, 4 (50); 11-23
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Theoretical Aspects of Using Markov Models in Research of Exchange Rate Volatility
    Teoretyczne aspekty wykorzystania modeli Markowa do badania zmienności kursu walutowego
    Autorzy:
    Włodarczyk, Aneta
    Szmigiel, Tomasz
    Powiązania:
    https://bibliotekanauki.pl/articles/904704.pdf
    Data publikacji:
    2005
    Wydawca:
    Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
    Tematy:
    Markov models
    time series
    exchange rate volatility
    calendar anomalies
    Opis:
    During modeling of short-run exchange rate fluctuations, there is usually a need for taking into consideration some random-type conditions, i.e. it is necessary to abandon the fundamental exchange rate theories in favor of probabilistic modeling. Among stochastic models, of special interest are Markov models. The main advantages of Markov models include a relative simplicity of construction, easy inferences, well-known estimation methods and especially consistence of properties of these models with the observed properties of many real phenomena. Application of switching models is based on a general assumption that the examined time series can be presented as sequences of random variables of a known type of conditional distribution in all regimes. Known from literature propositions concerning the modeling of exchange rate with the use of switching models did not provide sufficiently good forecasts of the future exchange rate levels because of, among others, low frequency of data used for the construction of the model (quarterly or monthly data). The authors are going to continue the examination of the PLN exchange rate fluctuation with the use of Markov models that was started in this paper. The next stage of their work will be connected with conducting empirical research concerning the occurrence of calendar anomalies in the Polish currency market. For this purpose, a new method based on the Markov chains theory will be applied, which offers a new perspective to this problem. Testing o f the calendar time hypothesis has been considered so far mostly in the aspect of comparison of daily expected values and variances of exchange rate return rates. Then, on the basis of the da ta concerning exchange rates for high measurement frequency, a Ma rkov switching model will be constructed and used for description of the PLN depreciation and appreciation period.
    Prawidłowe oszacowanie kierunku zmian kursu wymiany może zmniejszyć ryzyko inwestycji w walutę lub może pozwolić na osiągnięcie większych dochodów z tej inwestycji. W opracowaniu tym autorzy przedstawiają propozycję zastosowania modeli Markowa do wykrycia i opisania prawidłowości rządzących procesem zmienności kursu walutowego. W pierwszej części została wykorzystana teoria łańcuchów Markowa do badania anomalii kalendarzowych występujących n a rynku walutowym związanych z efektem weekendowym lub efektem stycznia. W artykule przedstawiona została również metoda o parta na teorii łańcuchów Markowa, k tó ra może posłużyć d o zbadania wzajemnych powiązań pomiędzy zmiennością wolumenu obrotu oraz zmiennością cen dla terminowych kontraktów walutowych. W drugiej części zostaną przedstawione zagadnienia związane z budową i estymacją parametrów przełącznikowych modeli Markowa. W oparciu o modele przełącznikowe można prognozować zmiany kursu walutowego. Praca ma charakter teoretyczny. Badania empiryczne zostaną przeprowadzone w późniejszym terminie.
    Źródło:
    Acta Universitatis Lodziensis. Folia Oeconomica; 2005, 194
    0208-6018
    2353-7663
    Pojawia się w:
    Acta Universitatis Lodziensis. Folia Oeconomica
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The response of Zimbabwe tobacco exports to real exchange rates volatility
    THE RESPONSE OF ZIMBABWE TOBACCO EXPORTS TO REAL EXCHANGE RATES VOLATILITY
    Autorzy:
    Mutodi, Knowledge
    Chuchu, Tinashe
    Maziriri, Eugine Tafadzwa
    Powiązania:
    https://bibliotekanauki.pl/articles/1892227.pdf
    Data publikacji:
    2020-07-08
    Wydawca:
    Uniwersytet Przyrodniczy w Poznaniu. Wydawnictwo Uczelniane
    Tematy:
    Real exchange rate (RER)
    Real exchange rate volatility (RERV)
    Vector error correction model (VECM)
    Opis:
    The focus of this study was on investigating the response of tobacco exports to real exchange rates and real exchange rate volatility and other factors in Zimbabwe using secondary data spanning from 1980 to 2019. Bilateral nominal exchange rates and time-variant weights of Zimbabwe’s 10 major trading partners were calculated and used to compute the real exchange rate index. The time-dependent weighting system was used to better represent the evolution of trade patterns in the index. The arithmetic method was employed for computing the index. Generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional heteroscedasticity (ARCH) models were used to generate the real exchange rate volatility index. The export response function was adopted as the tobacco exports response model. The variables in the tobacco exports response model were the realworld Gross Domestic Product (GDP), real exchange rate, terms of trade, real exchange rate volatility and dollarization. A vector error correction model (VECM) was used to estimate the response of tobacco exports to real exchange rate, real exchange rate volatility and other factors. The VECM results indicated that real world GDP was insignificant in both the short and long run. In the long run, the real exchange rate appreciation had a negative impact on tobacco exports. Conversely, in the short run, the depreciation of real exchange rate had a positive impact on tobacco exports. Hence, the government has to adopt other mechanisms that reduce uncertain movements of exchange rates.
    Źródło:
    Journal of Agribusiness and Rural Development; 2020, 56, 2; 201-219
    1899-5241
    Pojawia się w:
    Journal of Agribusiness and Rural Development
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Exchange rate volatility and industrial output growth in Nigeria
    Autorzy:
    Oseni, Isiaq O.
    Adekunle, Ibrahim A.
    Alabi, Mumeen O.
    Powiązania:
    https://bibliotekanauki.pl/articles/522024.pdf
    Data publikacji:
    2019
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Auto-Regressive Distribution Lag
    Exchange Rate Volatility
    GARCH
    Industrial output
    Nigeria
    Opis:
    Aim/purpose – This paper examines the relationship between exchange rate volatility and industrial output growth in Nigeria. In spite of the massive revenue emanating from oil wealth, Nigeria has wallowed in intergenerational poverty due to the inability to grow its industrial sector. The dilemma of exchange rate allowed growth of the industrial sector to become enormous. As such, this paper attempts a quantitative analysis of industrial output growth in Nigeria as predicted by an exchange rate volatility using a time series data from the exchange rate and the industry value added from 1986 through 2017. Design/methodology/approach – This paper adopts a quantitative analysis of exchange rate volatility as a predictor of changes in industrial output in Nigeria. Monthly Data on exchange rate from 1986 through 2017 were first analysed to show for their clustering behaviour. Thus, ascertaining whether they are volatile or not. The study employs AR(k)-EGARCH(p,q) models for the calculation of volatility in the growth rate of nominal exchange rates. Then the paper adopts the Auto-Regressive Distributed Lag Approach to account for the long-run and short-run dynamics of industrial output in Nigeria as induced by volatility in the exchange rate for different regimes under the scope. Findings – The findings reveal that the real exchange rate volatility determines industrial production as well as availability of foreign exchange increments arising from the various export drives contributing tremendously to the increase in the industrial output in Nigeria. It is further revealed that the capacity utilisation ratio was low. Research implications/limitations – Established evidence of low capacity utilisation may be due to the epileptic power supply, inadequate technological know-how. As such, the government should maintain a flexible exchange rate system to maximally harness the benefits of growth emanating from the industrial sector. Originality/value/contribution – The paper specifically offers an experimental proof to the underlying relationship between industrial output and exchange rate volatility in Nigeria. Previous studies reviewed in the literature have mostly focused on the growth effect of the exchange rate neglecting the important nexus it shares with the industrial sector (a bedrock of sustainable development).
    Źródło:
    Journal of Economics and Management; 2019, 38; 129-156
    1732-1948
    Pojawia się w:
    Journal of Economics and Management
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Skala zmienności kursu złotego względem euro i dolara w latach 2012-2016 na tle wybranych walut narodowych krajów Unii Europejskiej
    The scale of volatility of the złoty’s exchange rate against the euro and the dollar in the years of 2012-2016 compared to selected national currencies of the European Union member states
    Autorzy:
    Michalczyk, Wawrzyniec
    Powiązania:
    https://bibliotekanauki.pl/articles/590792.pdf
    Data publikacji:
    2018
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Kurs walutowy
    Rynek walutowy
    Złoty
    Zmienność kursu
    Exchange rate volatility
    Exchange rate
    Foreign exchange market
    Zloty
    Opis:
    Celem artykułu jest ocena skali zmienności kursu złotego w stosunku do euro i dolara, dokonana w porównaniu do kursów innych, wybranych walut krajów Unii Europejskiej: korony czeskiej, korony szwedzkiej, forinta węgierskiego i funta brytyjskiego. Do analizy zastosowano trzy wskaźniki: procentowe odchylenie kursu dziennego od średniej z badanego okresu i od średniej z poprzedzających dwóch lat oraz miernik ERV, a także przeprowadzono analizę korelacji. Zaobserwowano, że skala zmienności kursu złotego w stosunku do euro i dolara w porównaniu do innych walut nie jest zbyt znaczna oraz że stopień powiązania wartości walut z euro jest zasadniczo większy niż z dolarem, co przekłada się na wyższą stabilność ich kursów względem wspólnego pieniądza.
    The aim of the paper is to evaluate the scale of volatility of the złoty’s exchange rate against the euro and the dollar, in comparison to the rates of other selected currencies of the European Union member states: Czech koruna, Swedish krona, Hungarian forint and British pound. Three indicators were used for the analysis: percentage deviation of the daily exchange rate from the mean in the studied period and from the mean in the preceding two years and the measure of the ERV, and also the correlation analysis was conducted. It was observed that the scale of volatility of the zloty’s rate against the euro and the dollar compared to other currencies is not very excessive and that the degree of linkage of the currencies’ values with the euro is substantially higher than with the dollar, which translates into greater stability of their exchange rates against the common currency.
    Źródło:
    Studia Ekonomiczne; 2018, 352; 139-151
    2083-8611
    Pojawia się w:
    Studia Ekonomiczne
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Regional Volatility Linkages: Impact of Neighbouring Currencies on Nigerias Currency Instability
    Analiza związków zmienności regionalnej: wpływ sąsiednich walut na niestabilność waluty Nigerii
    Autorzy:
    Babalola, Abdurrauf
    Muhammad, Kudu Ibn
    Powiązania:
    https://bibliotekanauki.pl/articles/31233543.pdf
    Data publikacji:
    2024
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    ARCH
    bordering counties currency
    exchange rate volatility
    GARCH
    waluta powiatów graniczących
    zmienność kursu walutowego
    Opis:
    This study examines the effect of the exchange rate volatility of currencies of countries bordering Nigeria, namely the Benin Republic, Niger, Chad and the Cameroon Republic on Nigeria's exchange rate volatility using monthly observations for 1st January 2001 to 31st December 2021. The study employed the Generalised Auto-Regressive Conditional Heteroscedasticity method to analyse the dataset. The study found that fluctuations in the currencies of these countries have a significant impact on the volatility of Nigeria's currency naira. As a result, it is recommended that policymakers and government agencies strengthen security along the Nigeria-Cameroon, Nigeria-Benin, Nigeria-Chad, and Nigeria-Niger borders to more strictly regulate imports and support the stability of Nigeria's currency. The Nigerian government should encourage less importation from these countries through import-substitute production and higher exportation from Nigeria as such could lead to the appreciation of the naira.
    W artykule zbadano wpływ zmienności kursów walut krajów graniczących z Nigerią, tj. Republiki Beninu, Nigru, Czadu i Republiki Kamerunu, na zmienność kursu walut Nigerii, wyko- rzystując obserwacje miesięczne za okres od 1 stycznia do 31 grudnia 2021 roku. W badaniu zastosowano metodę uogólnionej autoregresyjnej heteroskedastyczności warunkowej. Przeprowa- dzone analizy wykazały, że wahania kursów walut tych krajów mają istotny wpływ na zmienność waluty naira Nigerii. W rezultacie zaleca się, aby decydenci i agencje rządowe wzmocniły bezpieczeństwo wzdłuż granic Nigerii z Kamerunem, Nigerii z Beninem, Nigerii z Czadem i Nigerii z Nigrem w celu bardziej rygorystycznej regulacji importu i wspierania stabilności waluty Nigerii. Rząd Nigerii powinien zachęcać do mniejszego importu z tych krajów poprzez produkcję substytucyjną importu i większy eksport z Nigerii, ponieważ to może prowadzić do aprecjacji nairy.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2024, 28, 1; 11-25
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The impact of exchange rate volatility on the Nigerian economic growth: An empirical investigation
    Autorzy:
    Ehikioya, Benjamin Ighodalo
    Powiązania:
    https://bibliotekanauki.pl/articles/522328.pdf
    Data publikacji:
    2019
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Developing country
    Economic growth
    Exchange rate volatility
    Generalized Autoregressive Conditional Heteroscedasticity
    Generalized Method of Moments
    Opis:
    Aim/purpose – Exchange rate volatility has remained a serious issue affecting economic stability, especially in developing countries. Thus, this study aimed at examining the impact of exchange rate volatility on economic growth in Nigeria. Design/methodology/approach – The study employed the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and the system Generalized Method of Moments (GMM) technique to analyse the time series data from the period January 1980 to December 2017. The study used the Augmented Dickey–Fuller and Philips–Perron tests to determine the presence of a unit root and the Johansen co-integration test to establish the relationship among the variables in the study. Findings – The results of the estimates offer evidence that exchange rate volatility persists throughout the study period, and has a negative and significant effect on the economic growth of Nigeria. This result suggests that excessive volatility due to low inflows is inimical to the growth of the Nigeria economy. The findings of the study demonstrate a negative and significant relationship between inflation and economic growth. Moreover, while credit to the private sector and crude oil prices exerts positive and significant relationship with growth, the relationship between money supply, trade openness and government expenditure and economic growth is positive but insignificant. Research implications/limitations – Therefore, it is important for the government to pursue policies and programs that would help ensure exchange rate stability and boost local production for both consumption and export. In addition, a holistic program of economic reforms is important to complement the exchange rate policy and stimulate economic growth. Originality/value/contribution – The study shed some light on exchange rate volatility and confirmed its adverse effect and the importance of a stable environment on economic growth. In addition, the study introduced crude oil prices as a variable to the study of exchange rate volatility and economic growth from a developing country perspective.
    Źródło:
    Journal of Economics and Management; 2019, 37; s. 45-68
    1732-1948
    Pojawia się w:
    Journal of Economics and Management
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Volatility of the Polish zloty against major international currencies compared to other Central and Eastern European currencies in 2004-2010 and 2011-2019
    Zmienność złotego względem głównych walut międzynarodowych w porównaniu z inymi walutami Europy Środkowej i Wschodniej w latach 2004-2010 i 2011-2019
    Autorzy:
    Czaja, Jarosław
    Powiązania:
    https://bibliotekanauki.pl/articles/583959.pdf
    Data publikacji:
    2020
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    exchange rate volatility
    currency market
    exchange rate risk
    capital market
    central banks
    zmienność kursu walutowego
    rynek walutowy
    ryzyko kursowe
    rynek kapitałowy
    banki centralne
    Opis:
    Exchange rate volatility reached significant levels as one of the problems of the 2008 financial crisis, which showed that the market mechanism, even internationally, is not always conducive to restoring stability in various aspects. The aim of the paper is to compare the exchange rate volatility of the Polish zloty and several other currencies (mainly in the Central European region) against major international currencies such as the US dollar, British pound, euro and Swiss franc before and after the crises in 2004-2010 and 2011-2019. A review of the existing literature aimed to show some effects of exchange rate volatility on the economy. An analysis was made by comparing two periods (2004-2010 and 2011-2019). Exchange rate volatility was calculated as a standard deviation of the twenty-day moving average (by market days). Exchange rate volatility became much lower in the second examined period (in the European Union countries, including Poland) after the strong institutional (activities and interventions of central banks and governments) support started because of the financial crisis in 2008. There was a decrease in currency volatility in the European Union countries, including Poland.
    Celem artykułu jest porównanie zmienności kursu złotego i kilku innych walut (głównie w regionie Europy Środkowej) w stosunku do głównych walut międzynarodowych, takich jak dolar amerykański, funt brytyjski, euro i frank szwajcarski przed kryzysem i po nim – w latach 2004-2010 i 2011-2019. Analizy dokonano przez porównanie obu tych okresów. Zmienność kursu walutowego obliczono jako odchylenie standardowe dwudziestodniowej średniej kroczącej (według dni rynkowych). Dzięki szeroko podejmowanym działaniom niwelującym przyczyny i skutki kryzysu finansowego (rok 2008) zmienność kursów walutowych staje się znacznie niższa w drugim badanym okresie, co objęło kraje Unii Europejskiej, w tym Polskę.
    Źródło:
    Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2020, 64, 6; 49-64
    1899-3192
    Pojawia się w:
    Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Exchange rate volatility and trade. The case of Ukraine
    Autorzy:
    Popova, Olga
    Jablinski, Jörg
    Lukashenko, T.
    Powiązania:
    https://bibliotekanauki.pl/articles/692551.pdf
    Data publikacji:
    2016
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    volatility
    trade
    exchange rate
    transitional economies
    international transactions
    growth rate
    Opis:
    This article demonstrates the assumptions of economic theory and its followers, the theories which stimulate research on the positive correlation between the success of the economy, its growth and the level of international trade. The empirical analysis of this paper examines the example of the exchange rate volatility and its influence on international trade on the basis of Ukraine. In the descriptive part of this study, which looks at the exchange rate volatility in Ukraine as a whole, the authors have aggregated the bilateral volatilities using trade shares as weights to obtain what is referred to as the “effective volatility” of the country’s exchange rates. It is summarized that the current situation in Ukraine is extremely difficult, and external financial support could alleviate the crisis. The time span used in the work includes the years from 1999 to 2014, with the help of which the authors have demonstrated the fluctuation and correlation between these two factors. From the graph it has been possible to make the conclusion that even if there was no significant visible correlation between trade and the exchange rate volatility, it does not mean that there is no relationship between these two factors, because there are a lot of factors which affect the level of trade.
    Źródło:
    Research Papers in Economics and Finance; 2016, 1, 1; 17-24
    2543-6430
    Pojawia się w:
    Research Papers in Economics and Finance
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Impact Of The Ban On Uncovered SCDS Trade On the Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Markets
    Autorzy:
    Kliber, Agata
    Powiązania:
    https://bibliotekanauki.pl/articles/632986.pdf
    Data publikacji:
    2016-03-01
    Wydawca:
    Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
    Tematy:
    sovereign CDS (sCDS)
    bonds
    exchange rate
    stock exchange
    volatility
    financial crisis.
    Opis:
    The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one. The study covers the period from October 2008 to October 2013. We analyse changes in the interdependencies between the sCDS market and the bond market, as well as between the sCDS market and the stock exchange. We found out that in the case of the safe Swedish market, the strength of relationships of each sector of financial markets with the sCDS one was much weaker than in the case of Hungary, which may suggest that the Swedish market is less prone to crisis transmission arising from herd behaviour or speculative attacks. In the end we show that in the two economies, the influence of the sCDS market on the other sectors of financial market indeed diminished following introduction of the ban on uncovered sCDS trade.
    Źródło:
    Comparative Economic Research. Central and Eastern Europe; 2016, 19, 1; 77-99
    1508-2008
    2082-6737
    Pojawia się w:
    Comparative Economic Research. Central and Eastern Europe
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Contagion effects on capital and forex markets around GFC and COVID-19 crises : a comparative study
    Autorzy:
    Brania, Krzysztof
    Gurgul, Henryk
    Powiązania:
    https://bibliotekanauki.pl/articles/2099837.pdf
    Data publikacji:
    2021
    Wydawca:
    Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
    Tematy:
    contagion
    correlation
    exchange rate
    return
    volatility
    GFC in 2007–2009
    COVID-19
    Opis:
    The spread of crises across the financial and capital markets of different countries has been studied. The standard method of contagion detection is based on the evolution of the correlation matrix for the example of exchange rates or returns, usually after removing univariate dynamics with the GARCH model. It is a common observation that crises that have occurred in one financial market are usually transmitted to other financial markets/countries simultaneously and that they are visible in different financial variables such as returns and volatility which determine probability distribution. The changes in distributions can be detected through changes in the descriptive statistics of, e.g., returns characterised by expected value, variance, skewness, kurtosis, and other statistics. They determine the shape of the distribution function of returns. These descriptive statistics display dynamics over time. Moreover, they can interreact within the given financial or capital market and among markets. We use the FX currency cluster represented by some of the major currencies and currencies of the Višegrad group. In analysing capital markets in terms of equity indexes, we chose developed markets, such as DAX 30, AEX 25, CAC 40, EURSTOXX 50, FTSE 100, ASX 200, SPX 500, NASDAQ 100, and RUSSEL 2000. We aim to check the changes in descriptive statistics, matrices of correlation concerning exchange rates, returns and volatility based on the data listed above, surrounding two crises: the global financial crisis (GFC) in 2007–2009 and Covid 2019.
    Źródło:
    Operations Research and Decisions; 2021, 31, 2; 59--92
    2081-8858
    2391-6060
    Pojawia się w:
    Operations Research and Decisions
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Macroeconomic effects of output volatility in Ukraine
    Efekty makroekonomiczne zmienności produkcji w gospodarce Ukrainy
    Autorzy:
    Shevchuk, Viktor
    Powiązania:
    https://bibliotekanauki.pl/articles/584329.pdf
    Data publikacji:
    2019
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    GDP volatility
    economic growth
    exchange rate
    Ukraine
    zmienność PKB
    wzrost gospodarczy
    kurs walutowy
    Ukraina
    Opis:
    This paper focuses on several macroeconomic effects of the output volatility in Ukraine. Our findings suggest that the volatility that originates from the gross domestic product (GDP) has a sizeable, negative and statistically significant effect on economic growth and investments while being complementary to industrial production (no impact on consumption and consumer prices has been detected). The results also indicate asymmetric exchange rate effects upon GDP and industrial production growth. Among other results, it has been found that (i) output volatility has expansionary effects on three out of five sectors (manufacturing, food processing and power generation), with a likely contractionary effect on the steel-making industry, (ii) exchange rate depreciation stimulates investments, but at the expense of higher inflation and lower consumption, (iii) output volatility is associated with lower money supply and a decrease in the interest rate, with a negative impact on the budget balance.
    W niniejszym opracowaniu oszacowano wpływ zmienności wzrostu produkcji na wybrane wskaźniki makroekonomiczne dla gospodarki Ukrainy. Ustalono, że większa zmienność produktu krajowego brutto (PKB) oddziałuje negatywnie (na poziomie istotności statystycznej) na wzrost gospodarczy oraz inwestycje, w tym opisano, jak zmienność PKB jest korzystna dla produkcji przemysłowej (jednocześnie nie ma wpływu na konsumpcję oraz ceny konsumenckie). Otrzymane rezultaty świadczą o asymetrycznym oddziaływaniu kursu walutowego na wzrost PKB oraz produkcji przemysłowej. Dowiedziono także, że: (i) zmienność PKB powoduje zwiększenie produkcji w trzech z pięciu branży przemysłowych (wytwórczość, przetwórstwo rolno-spożywcze oraz energetyka) oraz iż negatywny wpływ na dynamikę produkcji dostrzega się najprawdopodobniej wyłącznie w hutnictwie, (ii) deprecjacja kursu walutowego powoduje zwiększenie inwestycji, ale kosztem przyśpieszenia inflacji oraz spadku konsumpcji, (iii) większa zmienność produkcji kojarzy się ze zmniejszeniem podaży pieniądza oraz obniżeniem poziomu stopy procentowej przy jednoczesnym pogorszeniu się bilansu budżetowego.
    Źródło:
    Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2019, 63, 12; 113-124
    1899-3192
    Pojawia się w:
    Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-13 z 13

      Ta witryna wykorzystuje pliki cookies do przechowywania informacji na Twoim komputerze. Pliki cookies stosujemy w celu świadczenia usług na najwyższym poziomie, w tym w sposób dostosowany do indywidualnych potrzeb. Korzystanie z witryny bez zmiany ustawień dotyczących cookies oznacza, że będą one zamieszczane w Twoim komputerze. W każdym momencie możesz dokonać zmiany ustawień dotyczących cookies