Bookcover of Exchange Rate Volatility and Trade: A Panel Data Analysis
Booktitle:

Exchange Rate Volatility and Trade: A Panel Data Analysis

A Comparison between Domestic and Foreign Rates through Application of GARCH Models for Pakistan's Trade Partners

Scholars' Press (2015-01-13 )

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ISBN-13:

978-3-639-76148-1

ISBN-10:
3639761480
EAN:
9783639761481
Book language:
English
Blurb/Shorttext:
International financial markets are passing through instability and essentially require re-evaluation of their behavior chiefly under the context of foreign currencies ensuring effective forecasting to assess the emerging patterns and structures, otherwise incapacitate the investors to make valid decisions for future participation in growth and development process. This study examines the effects of exchange rate volatility on trade and capital flows both for developed and developing countries that have trade relations with Pakistan. Impact of volatility through various specifications of GARCH based volatility models has been analyzed on trade and capital flows by estimating panel data fixed effect models considering monthly data from 1970 to 2009 for 29 countries. This has allowed us to compare and evaluate variation in both domestic currency (direct financial transactions) and foreign currency (indirect financial transaction by involving third country) values to expose the underlying structures and interconnections among currencies providing an opportunity to strengthened the decision making process of investors and traders.
Publishing house:
Scholars' Press
Website:
http://www.scholars-press.com
By (author) :
Abdul Jalil Khan, Parvez Azim
Number of pages:
220
Published at:
2015-01-13
Stock:
Available
Category:
International economy
Price:
89.90 €
Keywords:
Trade, Capital Flows, GARCH, Volatility, exchange rate, EGARCH, NGARCH, TGARCH, CGARCH, Panel Data Estimation, Fixed Effect Models, LSDV

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