Open AccessU.S. Dollar Asymmetry And Exchange Rate Volatility
Author(s) -
Nikiforos T. Laopodis
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.149
H-Index - 22
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v13i2.5756
Subject(s) - lira , economics , volatility (finance) , liberian dollar , us dollar , autoregressive conditional heteroskedasticity , monetary economics , depreciation (economics) , exchange rate , german , renminbi , econometrics , financial economics , finance , microeconomics , profit (economics) , capital formation , archaeology , financial capital , history
he paper explores the stochastic behavior of six exchange rates three EMS and three non-EMS during the U.S. dollar appreciation (before 1985) and depreciation (after 1985) using Exponential GARCH-M model. The results showed that high volatility in all rates was present before 1985, increased dramatically thereafter, and decreased later for the non-EMS rates. In general, U.S. dollar depreciations increased the volatility more than appreciations did for the French franc, the Italian lira, and the German mark.