Exchange Rate Volatility: Does Politics Matter?
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"
Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
- Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.
- MacRae, C Duncan, 1977. "A Political Model of the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 85(2), pages 239-263, April.
- Cukierman, Alex & Meltzer, Allan H, 1986. "A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information," Econometrica, Econometric Society, vol. 54(5), pages 1099-1128, September.
- Bachman, Daniel, 1992. "The effect of political risk on the forward exchange bias: the case of elections," Journal of International Money and Finance, Elsevier, vol. 11(2), pages 208-219, April.
- Theodossiou, Panayiotis, 1994. "The Stochastic Properties of Major Canadian Exchange Rates," The Financial Review, Eastern Finance Association, vol. 29(2), pages 193-221, May.
- Baillie, Richard T & Bollerslev, Tim, 2002.
"The Message in Daily Exchange Rates: A Conditional-Variance Tale,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
- Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
- Tom Doan, "undated". "RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects," Statistical Software Components RTZ00172, Boston College Department of Economics.
- Alberto Alesina, 1987.
"Macroeconomic Policy in a Two-Party System as a Repeated Game,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(3), pages 651-678.
- Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-party System as a Repeated Game," Scholarly Articles 4552531, Harvard University Department of Economics.
- Almekinders, Geert J & Eijffinger, Sylvester C W, 1994.
"Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?,"
Empirical Economics, Springer, vol. 19(1), pages 111-130.
- Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Daily Bundesbank and federal reserve interventions : Are they a reaction to changes in the level and volatility of the DM/$-rate?," Other publications TiSEM 3e0ae3fa-af29-4757-aecb-a, Tilburg University, School of Economics and Management.
- Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Daily Bundesbank and federal reserve interventions : Are they a reaction to changes in the level and volatility of the DM/$-rate?," Other publications TiSEM e583abfb-39f0-4c9d-8848-5, Tilburg University, School of Economics and Management.
- Davidson, Lawrence S. & Fratianni, Michele & von Hagen, Jurgen, 1990. "Testing for political business cycles," Journal of Policy Modeling, Elsevier, vol. 12(1), pages 35-59.
- Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
- Chappell, Henry W, Jr & Keech, William R, 1986. "Party Differences in Macroeconomic Policies and Outcomes," American Economic Review, American Economic Association, vol. 76(2), pages 71-74, May.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- William D. Nordhaus, 1975. "The Political Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 42(2), pages 169-190.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yi-Hsien Wang & Jui-Cheng Hung & Yen-Hsien Lee & Chung-Chu Chuang, 2012. "Computing regression quantiles to analysis the relationship between market behavior and political risk," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1047-1055, June.
- Meon, Pierre-Guillaume, 2001.
"A Model of Exchange Rate Crises with Partisan Governments,"
Journal of Macroeconomics, Elsevier, vol. 23(4), pages 517-535, October.
- Pierre-Guillaume Méon, 2001. "A model of exchange rate crises with partisan governments," ULB Institutional Repository 2013/8394, ULB -- Universite Libre de Bruxelles.
- John R. Freeman & Jude C. Hays & Helmut Stix, 1999. "Democracy and Markets: The Case of Exchange Rates," Working Papers 39, Oesterreichische Nationalbank (Austrian Central Bank).
- Mohamad Youness, 2022. "The Impacts of the Political Uncertainty on the Currency Exchange Rate," Technium Social Sciences Journal, Technium Science, vol. 28(1), pages 414-424, February.
- Hon Chung Hui, 2021. "Were Foreign Exchange Markets Reacting Negatively to Political Events? The Case of Malaysia," South Asian Journal of Macroeconomics and Public Finance, , vol. 10(1), pages 105-129, June.
- Anjum, Hassan & Malik, Farooq, 2020. "Forecasting risk in the US Dollar exchange rate under volatility shifts," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Rastislav Solej, 2022. "The Impact Of Socio-Political Factors On The Economy And The Exchange Rate: Case Study From The Middle East And North Africa Region," Almanach (Actual Issues in World Economics and Politics), Ekonomická univerzita, Fakulta medzinárodných vzťahov, vol. 17(2), pages 23-33.
- Liu, Yang & Shaliastovich, Ivan, 2022. "Government policy approval and exchange rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 303-331.
- M. Karanasos & J. Kim, 2003.
"Moments of the ARMA--EGARCH model,"
Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, June.
- Menelaos Karanasos & J. Kim, "undated". "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York.
- Fratzscher, Marcel & Stracca, Livio, 2009. "Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro," Working Paper Series 1064, European Central Bank.
- Marcel Fratzscher & Livio Stracca, 2009. "Does It Pay to Have the Euro? Italy's Troubled Politics and Financial Markets under the Lira and the Euro," International Finance, Wiley Blackwell, vol. 12(1), pages 1-31, May.
- R. Krishnan & Conan Mukherjee, 2010. "Volatility in Indian Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(1), pages 71-93, April.
- Farooq Malik & Bradley T. Ewing & James E. Payne, 2005.
"Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(3), pages 1037-1056, August.
- Farooq Malik & Bradley Ewing & James Payne, 2005. "Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns," Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 1037-1056, August.
- Karol Sorby, jr, 2022. "Ḥāfiẓ Al-Asad Becoming The Strongman Of Syria, 1970 – 1973," Almanach (Actual Issues in World Economics and Politics), Ekonomická univerzita, Fakulta medzinárodných vzťahov, vol. 17(2), pages 34-47.
- Malik, Farooq, 2003. "Sudden changes in variance and volatility persistence in foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 217-230, July.
- Dagmar Sulejmani, 2022. "Agenda 2030 In The Works Of Selected Foreign Authors," Almanach (Actual Issues in World Economics and Politics), Ekonomická univerzita, Fakulta medzinárodných vzťahov, vol. 17(2), pages 48-55.
- repec:onb:oenbwp:y::i:39:b:1 is not listed on IDEAS
- Rangan Gupta & Mark E. Wohar, 2019. "Presidential Cycles In The Usa And The Dollar-Pound Exchange Rate: Evidence From Over Two Centuries," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 151-163, June.
- Andrey Shternshis & Piero Mazzarisi, 2022. "Variance of entropy for testing time-varying regimes with an application to meme stocks," Papers 2211.05415, arXiv.org, revised Jun 2023.
- Ahmet Emrah Tayyar, 2017. "Poli̇ti̇cal Exchange Rate Fluctuati̇ons Speci̇fi̇c To Fi̇xed Exchange Rate Regi̇mes: A Case Study On Turkey," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 4-14, April.
- Rangan Gupta & Mark E. Wohar, 2018. "Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data," Working Papers 201874, University of Pretoria, Department of Economics.
- Patrik Kozár, 2022. "Key Skills And Competences Of Managers In The Context Of An International Work Environment," Almanach (Actual Issues in World Economics and Politics), Ekonomická univerzita, Fakulta medzinárodných vzťahov, vol. 17(2), pages 14-22.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Eric Dubois, 2016. "Political Business Cycles 40 Years after Nordhaus," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01291401, HAL.
- Eric Dubois, 2016. "Political business cycles 40 years after Nordhaus," Public Choice, Springer, vol. 166(1), pages 235-259, January.
- Eric Dubois, 2016. "Political Business Cycles 40 Years after Nordhaus," Post-Print hal-01291401, HAL.
- Belke, Ansgar, 2000. "Partisan Political Business Cycles in the German Labour Market? Empirical Tests in the Light of the Lucas-Critique," Public Choice, Springer, vol. 104(3-4), pages 225-283, September.
- Gerard H. Kuper, 2018. "The powers that are: central bank independence in the Greenspan era," Empirical Economics, Springer, vol. 54(2), pages 485-499, March.
- Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
- Faust, Jon & Irons, John S., 1999. "Money, politics and the post-war business cycle," Journal of Monetary Economics, Elsevier, vol. 43(1), pages 61-89, February.
- Pantzalis, Christos & Stangeland, David A. & Turtle, Harry J., 2000. "Political elections and the resolution of uncertainty: The international evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1575-1604, October.
- Kim, Suk-Joong & Kortian, Tro & Sheen, Jeffrey, 2000. "Central bank intervention and exchange rate volatility -- Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 381-405, December.
- Bollerslev, Tim & Ghysels, Eric, 1996.
"Periodic Autoregressive Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-059, New York University, Leonard N. Stern School of Business-.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
- Lohmann, Susanne, 1997. "Partisan control of the money supply and decentralized appointment powers," European Journal of Political Economy, Elsevier, vol. 13(2), pages 225-246, May.
- Dongweí Su, 2003.
"Risk, Return and Regulation in Chinese Stock Markets,"
World Scientific Book Chapters, in: Chinese Stock Markets A Research Handbook, chapter 3, pages 75-122,
World Scientific Publishing Co. Pte. Ltd..
- Su, Dongwei & Fleisher, Belton M., 1998. "Risk, Return and Regulation in Chinese Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 239-256, May.
- Belton Fleisher & Dongwei Su, 1996. "Risk, Return and Regulation in Chinese Stock Markets," Working Papers 005, Ohio State University, Department of Economics.
- Almekinders, Geert J. & Eijffinger, Sylvester C. W., 1996.
"A friction model of daily Bundesbank and Federal Reserve intervention,"
Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1365-1380, September.
- Almekinders, G.J. & Eijffinger, S.C.W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Other publications TiSEM 9ca974cc-1549-4752-8dbe-0, Tilburg University, School of Economics and Management.
- Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005.
"Mean and variance causality between the Cyprus Stock Exchange and major equity markets,"
Working Papers
0501, University of Crete, Department of Economics.
- Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
- Bauer, Rob M M J & Nieuwland, Frederick G M C & Verschoor, Willem F C, 1994. "German Stock Market Dynamics," Empirical Economics, Springer, vol. 19(3), pages 397-418.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmacro:v:20:y:1998:i:2:p:351-365. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622617 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.