Artikel
Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan
What drives volatility in foreign exchange market in Pakistan? This paper undertakes an analysis of modelling exchange rate volatility in Pakistan by potential macroeconomic fundamentals well-known in the economic literature. For this, monthly data on Pak Rupee exchange rates in the terms of major currencies (US Dollar, British Pound, Canadian Dollar and Japanese Yen) and macroeconomics fundamentals is taken from April, 1982 to November, 2011. The results show thatthe PKR-USD exchange rate volatility is influenced by real output volatility, foreign exchange reserves volatility, inflation volatility, and productivity volatility. The PKR- GBP exchange rate volatility is influenced by foreign exchange reserves volatility and terms of trade volatility. The PKR- CAD exchange rate volatility is influenced by terms of trade volatility. The findings of this paper reveal that exchange rate volatility in Pakistan results from real shocks rather than nominal shocks.
- Sprache
-
Englisch
- Erschienen in
-
Journal: International Econometric Review (IER) ; ISSN: 1308-8815 ; Volume: 6 ; Year: 2014 ; Issue: 2 ; Pages: 58-76 ; Ankara: Econometric Research Association (ERA)
- Klassifikation
-
Wirtschaft
Foreign Exchange
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Exchange Rate Volatility
GARCH
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jabeen, Munazza
Khan, Saud Ahmad
- Ereignis
-
Veröffentlichung
- (wer)
-
Econometric Research Association (ERA)
- (wo)
-
Ankara
- (wann)
-
2014
- DOI
-
doi:10.33818/ier.278035
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Jabeen, Munazza
- Khan, Saud Ahmad
- Econometric Research Association (ERA)
Entstanden
- 2014
Ähnliche Objekte (12)
Financial Volatility, Dynamic Correlations, and Macroeconomic Fundamentals
Financial volatility, dynamic correlations, and macroeconomic fundamentals
The impact of macroeconomic news on exchange rate volatility
The relationship between macroeconomic volatility and the stock market volatility: Empirical evidence from Pakistan
Globalisation and macroeconomic volatility
Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals
Exchange rate volatility without the contrivance of fundamentals and the failure of PPP
Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model
Nexus between exchange rate volatility and oil price fluctuations: Evidence from Pakistan
Exchange rates and fundamentals
Exchange rates and fundamentals
Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models
Financial Volatility, Dynamic Correlations, and Macroeconomic Fundamentals
Financial volatility, dynamic correlations, and macroeconomic fundamentals
The impact of macroeconomic news on exchange rate volatility
The relationship between macroeconomic volatility and the stock market volatility: Empirical evidence from Pakistan
Globalisation and macroeconomic volatility
Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals
Exchange rate volatility without the contrivance of fundamentals and the failure of PPP
Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model
Nexus between exchange rate volatility and oil price fluctuations: Evidence from Pakistan
Exchange rates and fundamentals
Exchange rates and fundamentals
Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models
Financial Volatility, Dynamic Correlations, and Macroeconomic Fundamentals
Financial volatility, dynamic correlations, and macroeconomic fundamentals
The impact of macroeconomic news on exchange rate volatility
The relationship between macroeconomic volatility and the stock market volatility: Empirical evidence from Pakistan
Globalisation and macroeconomic volatility
Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals
Exchange rate volatility without the contrivance of fundamentals and the failure of PPP
Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model
Nexus between exchange rate volatility and oil price fluctuations: Evidence from Pakistan
Exchange rates and fundamentals
Exchange rates and fundamentals