Abstract
We discuss currency volatility as a measure of currency instability using 15 currencies from developed and emerging economies. The IMF and others have recorded how countries manage their exchange rates to promote sustainable economic growth by designing exchange rate regimes as a pillar within economic policy. The findings herein show how to track currency instability using a given currency's volatility against the volatility of a benchmark currency of importance to the given currency. This is termed relative volatility. The study proceeds to test whether the parity factors and country risk factor are significantly correlated with exchange rate relative volatility.
| Original language | English |
|---|---|
| Pages (from-to) | 148-173 |
| Number of pages | 26 |
| Journal | Asian Economic Papers |
| Volume | 17 |
| Issue number | 3 |
| Early online date | 29 Oct 2018 |
| DOIs | |
| Publication status | Published - 2018 |
| Externally published | Yes |
Bibliographical note
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- Currency Stability
- Relative volatility
- Stability
- Relative risk
- Monetary factors
- Long-run relationship
- Mean Reversion
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
- Political Science and International Relations