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
Copyright © and Moral Rights are retained by the author(s) and/ or other copyright owners. A copy can be downloaded for personal non-commercial research or study, without prior permission or charge. This item cannot be reproduced or quoted extensively from without first obtaining permission in writing from the copyright holder(s). The content must not be changed in any way or sold commercially in any format or medium without the formal permission of the copyright holders.Keywords
- 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
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Cite this
Ariff, M., & Zarei, A. (2018). Sustainable development and currency exchange rate behavior. Asian Economic Papers, 17(3), 148-173. https://doi.org/10.1162/asep_a_00644