Topic
Foreign exchange market
About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.
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TL;DR: Many central banks have been building up their holdings of foreign currency assets, known as foreign exchange reserves, which may help countries stabilize their currencies, but they can also lead to investment losses for the central banks as mentioned in this paper.
Abstract: Many central banks—particularly those in Japan and the emerging Asian nations—have been building up their holdings of foreign currency assets. These holdings, known as foreign exchange reserves, may help countries stabilize their currencies, but they can also lead to investment losses for the central banks. The large share of dollar assets among reserve holdings has made foreign central banks important players in U.S. financial markets.
70 citations
TL;DR: Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, the authors construct a measure of global liquidity risk in the foreign exchange (FX) market.
70 citations
TL;DR: In this paper, the authors examined volatility spillover effects between stock market and foreign exchange market in selected Asian countries; Pakistan, India, Sri Lanka, China, Hong Kong and Japan.
Abstract: The purpose of this study is to examine volatility spillover effects between stock market and foreign exchange market in selected Asian countries; Pakistan, India, Sri Lanka, China, Hong Kong and Japan. This study considered daily data from 4th January, 1999 to 1st January, 2014. This study opted EGARCH (Exponential Generalized Auto Regressive Conditional Heteroskedasticity) model for the purpose of analyzing asymmetric volatility spillover effects between stock and foreign exchange market. The EGARCH analyses reveal bidirectional asymmetric volatility spillover between stock market and foreign exchange market of Pakistan, China, Hong Kong and Sri Lanka. The results reveal unidirectional transmission of volatility from stock market to foreign exchange market of India. The analysis reveals no evidence of volatility transmission between the two markets in reference to Japan. The result of this study provide valuable insights to economic policy makers for financial stability perspective and to investors regarding decision making in international portfolio and currency risk strategies.
70 citations
TL;DR: In this article, the effects of macroeconomic announcements on foreign exchange rates and forward premium were evaluated, and the PPP hypothesis was rejected in favor of portfolio balance effects in determining exchange rates.
70 citations
TL;DR: In this paper, the authors present evidence for the extent of currency substitution and its effects on exchange rate instability in Turkey, using an exponential GARCH (E-GARCH) model for exchange rate depreciation and find evidence in support of this hypothesis.
70 citations