In:
The World Economy, Wiley, Vol. 37, No. 6 ( 2014-06), p. 811-833
Abstract:
This study examines how the volatility and liquidity of 10 A sian exchange rates against the US dollar change with volatilities in commodity price and carry trade over the period of J anuary 2000 to J une 2010. We find that uncertainties in commodity markets and carry trades are significantly correlated with the volatilities and the bid‐ask spreads of most A sian currencies. The correlation with carry trade is generally stronger and has been rising over the sample period. While high volatilities in carry trade are associated with high volatilities in many A sian currencies, high volatilities in commodity price do not coincide with excessive volatilities in A sian currencies. This suggests that investors and policymakers should be more concerned with the volatility in carry trade.
Type of Medium:
Online Resource
ISSN:
0378-5920
,
1467-9701
DOI:
10.1111/twec.2014.37.issue-6
Language:
English
Publisher:
Wiley
Publication Date:
2014
detail.hit.zdb_id:
132896-7
detail.hit.zdb_id:
1473825-9
detail.hit.zdb_id:
1285850-X
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