Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?
MetadataShow full item record
This paper provides a comparative review of the dynamic characteristics of monthly exchange rate changes for five major currencies relative to those of five emerging Asian economies over the last four decades. Using the British pound sterling as the numeraire currency, the data support nonlinear dependence in exchange rates for the less-liquid Asian currencies, while results for the major currencies are mixed. The more recent data indicate rejection of nonlinear dependence in major currencies.
Showing items related by title, author, creator and subject.
Salim, Ruhul ; Kabir, S. (2019)Being inspired by initial Euro-success, renowned economist Robert Mundell was overoptimistic about adoption of a large currency area in Asia; however, empirical literature on East Asian regional currency is yet inconclusive. ...
Manzur, Meher; Hoque, A.; Poitras, G. (2010)Volatility is a key parameter in currency option pricing. This paper examines alternative specifications ofthe volatility input to the Black-Scholes option pricing procedure. The focus is the relative performance ofimplied, ...
Hoque, Mohammed; Chan, Felix; Manzur, Meher (2008)This paper provides a new test of the efficiency of the currency option markets for four major cyrrencies -British Pound, Euro, Swiss Frank and Japanese Yen vis-a-vis the U.S. dollar. The approach is to simulate trading ...