Modelling fiji-us exchange rate volatility (pdf download available) stock market dow futures

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• So et al. (1999) conducts a study by highlighting the ARV model as a substitute of GARCH model for forecasting exchange rate volatility and finds that the ARV method gives a noteworthy development in this regard current stock market futures today. The outstanding performance seems to be related to the "volatility of volatility’, i.e. the volatility changes from day to day. Narayan et al. (2009) conducts a study by using EGARCH and find thatforeign exchange rate volatility is positively affected by conditional shock’s evidence love quotes for him. Chong et al. (2004) conducts a research with GARCH model and find that the RM/Sterling exchange rate’s volatility is constant and refuse stable variance model sample.

[Show abstract] [Hide abstract] ABSTRACT: Given the fact that Fiji has a very narrow range of exportable commodities with a high degree of dependence on tourism earnings, maintenance of a competitive real exchange rate is of utmost importance.


This paper undertakes an empirical analysis of Fiji’s real exchange rate, by estimating long-run equilibrium real exchange rate and examining the short-run dynamics of real exchange rates and detection of possible misalignment. Empirical investigation shows that there has been no large, persistent instance of misalignment of Fiji’s Real Effective Exchange Rate (REER) used future. Biographical notes: T.K. Jayaraman is an Associate Professor in the Faculty of Business and Economics, University of the South Pacific, Suva, Fiji Islands fundamentals of futures and options markets pdf 8th. He holds Master’s Degree and PhD from the University of Hawaii, which he earned as an East-West Center Grantee and a Fulbright-Mundt Travel Grantee. Before joining the University of the South Pacific in 1998, he was with Asian Development Bank, Manila, Philippines, as a Senior Economist for 15 years.

[Show abstract] [Hide abstract] ABSTRACT: Given the fact that Fiji has a very narrow range of exportable commodities with a high degree of dependence on tourism earnings, maintenance of a competitive real exchange rate is of utmost importance. This paper undertakes an empirical analysis of Fiji’s real exchange rate, by estimating long-run equilibrium real exchange rate and examining the short-run dynamics of real exchange rates and detection of possible misalignment gold prices today per ounce. Empirical investigation shows that there has been no large, persistent instance of misalignment of Fiji’s Real Effective Exchange Rate (REER).

[Show abstract] [Hide abstract] ABSTRACT: This article examines the export-led growth and import-led growth hypotheses for a panel of Pacific island countries-namely, Fiji, Papua New Guinea, Solomon Islands, Tonga and Vanuatu-for the period 1982-2004. The modelling is performed using a panel unit root, panel co-integration and panel Granger causality approach eur usd live. We find bi-directional Granger causality for the panel of Pacific island countries between exports and economic growth, imports and economic growth, and exports and imports stock outperform. The results suggest that the poor growth performance of many Pacific island countries reflects their poor export performance; however, if the supply-side constraints on exports are removed, there could be a virtuous cycle between economic growth and exports.

[Show abstract] [Hide abstract] ABSTRACT: Thesis submitted for the degree of Doctor of Philosophy at the University of Leicester, March 2010. Awarded July 2010. Similar to global currencies, the Zambian currency (kwacha) has varied considerably against major currencies since the early 1990s sgd to usd chart. Existing empirical evidence reveals that fluctuations in exchange rates can potentially generate distortions in the economy 100 usd to eur. However, insufficient empirical evidence on Zambia exists. Thus, this thesis contributes empirically to the literature on exchange rate volatility and its impact on the economy with Zambia as a case study. Consequently, volatility in the kwacha bilateral exchange rates is modelled using three alternative GARCH models in order to characterise the underlying currency volatility. The influence of fundamental factors on conditional volatility of exchange rates is also examined. In addition, principal components analysis (PCA) is used to capture the common underlying pattern in the estimated conditional volatility series through which a new GARCH series (GARCH-PCA) is constructed and used in trade and monetary and foreign exchange intervention rule analysis as an alternative measure of exchange rate risk. PCA has not been previously employed in such analyses. Cointegration analysis is used for trade-exchange rate volatility analysis while SVAR and GMM are employed with variations to the conventional specification of monetary and foreign exchange intervention rules in the literature in determining the relevance of exchange rate volatility in monetary and foreign exchange policies. The results reveal that the kwacha bilateral exchange rates examined are characterised by different conditional dynamics in terms of volatility persistence and response to price shocks. The positive influences of exchange rate regime, money supply and openness on conditional volatility predominate. Exchange rate volatility affects international trade flows and underpins monetary policy and foreign exchange decision-making process. Thus, the results are amenable for trade policy formulation and monetary policy improvements and they justify foreign exchange interventions funny quotes about work. GARCH-PCA, an index of exchange rate volatility, reflecting influences from Zambia proves to be a useful alternative measure of exchange rate volatility. Its performance is comparable to the trade-weighted measure in terms of sign, size and statistical significance of the estimated coefficients.

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