The East Asian miracle: Economic growth and public policy: By the World Bank. (New York: Oxford University Press for the World Bank, 1993. 389 pp. $19.95, paper.)

It is widely accepted that, for some industries, competition across countries is" economically important and that this competition is strongly affected by exchange rate changes." This paper explores the validity of this view using weekly stock return data on 320 industry pairs" in six countries from 1975 to 1997. It is found that common shocks to industries across countries" are more important than competitive shocks. Weekly exchange rate shocks explain almost" nothing of the relative performance of industries. Using returns measured over longer horizons the importance of exchange rate shocks increases slightly and the importance of common shocks" to industries increases more substantially. Both industry and exchange rate shocks are more" important for industries that produce goods traded internationally, but the importance of these" shocks is economically small for these industries as well.

International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns

https://hal.archives-ouvertes.fr/hal-00798038/document

World gold prices and stock returns in China: Insights for hedging and diversification strategies

Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach

Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency. The model is then applied to daily stock returns and exchange rate changes for six major industrial countries over the 1990–2010 period. The dependence and tail dependence among the above four market statuses are asymmetric for most countries in the negative correlation regime, but symmetric in the positive correlation regime. These results enrich the findings in the existing literature and suggest that analyzing cross-market linkages within a time-invariant copula framework may not be appropriate.

A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach

Exchange rate movements affect exports in two ways?rate depreciation and rate variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time-varying correlation and exchange rate risk. Depreciation encourages exports, as expected, for most countries, but its contribution to export growth is weak. Exchange rate risk contributes to export growth in Malaysia and the Philippines, leading to positive net effects. Exchange rate risk generates a negative effect for six of the countries, resulting in a negative net effect in Indonesia, Japan, Singapore, and Taiwan and a zero net effect in Korea and Thailand. Exchange rate movements affect exports in two ways?rate depreciation and rate volatility (risk). The two effects have received considerable attention since the collapse of fixed exchange rates in the early 1970s. But, no research considers the net (total) effect on exports of the two potentially offsetting effects. This paper investigates the net effect for eight Asian countries with Engle's (2002) dynamic conditional correlation (DCC) bivariate GARCH-M model that simultaneously estimates time-varying correlation and exchange rate risk. The net effect relates to the goal of a foreign exchange intervention. Depreciation lowers the foreign currency price of exports and probably increases the quantity of exports and export revenue in domestic currency. Conditions may exist, however, where export revenue falls. Highly inelastic foreign import demand leads to falling export revenue. Ambiguity also arises if export production incorporates high import content, since the domestic cost or price of exports rises with depreciation. During periods of appreciation, exporters might price to market, lowering their domestic currency price to maintain export market share. Theory and empirical evidence exhibits ambiguity as to the effect of the exchange rate on exports and export revenue. Junz and Rhomberg (1973) and Wilson and Takacs (1979) find that devaluation

/pdf/export-promotion-through-exchange-rate-policy-exchange-rate-19b3a8a6wk.pdf

Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?

https://opencommons.uconn.edu/cgi/viewcontent.cgi?article=1077&context=econ_wpapers

Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence

https://isiarticles.com/bundles/Article/pre/pdf/15887.pdf

Optimal dynamic hedging via copula-threshold-GARCH models

https://isiarticles.com/bundles/Article/pre/pdf/16479.pdf

YiHao Lai

Papers

A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach

Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?

Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence

Optimal dynamic hedging via copula-threshold-GARCH models

The role of Chinese stock market in global stock markets: A safe haven or a hedge?