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DO US NEWS AND VOLATILITY IN EXCHANGE RATE EXPOSURE MATTER EMPIRICAL EVIDENCE FROM EMERGING ECONOMIES

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21 Pages : 198-208

http://dx.doi.org/10.31703/gssr.2020(V-I).21      10.31703/gssr.2020(V-I).21      Published : Mar 2020

Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies)

Abstract

    This study is aimed to examine the impact of US News and exchange rate exposure on emerging economies of Pakistan, China, Turkey and Iran. Daily exchange rates have been used for the period Jan 1, 2003 to Dec 31, 2018 to identify the volatility in exchange rate exposure due to news effect. US News is modeled with variance equation respectively for each country exchange rate. GARCH (1,1) by Bollerslev (1986), and EGARCH (1,1) by Nelson (1991) models have been used to estimate the volatility of exchange rate dynamics. Results indicate that impact of US News is significantly positive on the exchange rate of Pakistan and China and the results of US news impact on Turkey and Iran are insignificant. Present study is helpful for investors, financial analysts and economic decision makers for understanding the changing dynamics of exchange rate volatility.

    (1) Rana Shahid Imdad Akash
    Assistant Professor,School of Business Management,NFC-IEFR, Faisalabad, Punjab, Pakistan.
    (2) Kashif Hamid
    Assistant Professor,Institute of Business Management Sciences,University of Agriculture, Faisalabad, Punjab, Pakistan.
    (3) Iqbal Mahmood
    Associate Professor,Government College of Commerce, Faisalabad, Punjab, Pakistan.
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Cite this article

APA

    APA : Akash, R. S. I., Hamid, K., & Mahmood, I. (2020). Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies). Global Social Sciences Review, V(I), 198-208. https://doi.org/10.31703/gssr.2020(V-I).21

CHICAGO

    CHICAGO : Akash, Rana Shahid Imdad, Kashif Hamid, and Iqbal Mahmood. 2020. "Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies)." Global Social Sciences Review, V (I): 198-208 doi: 10.31703/gssr.2020(V-I).21

HARVARD

    HARVARD : AKASH, R. S. I., HAMID, K. & MAHMOOD, I. 2020. Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies). Global Social Sciences Review, V, 198-208.

MHRA

    MHRA : Akash, Rana Shahid Imdad, Kashif Hamid, and Iqbal Mahmood. 2020. "Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies)." Global Social Sciences Review, V: 198-208

MLA

    MLA : Akash, Rana Shahid Imdad, Kashif Hamid, and Iqbal Mahmood. "Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies)." Global Social Sciences Review, V.I (2020): 198-208 Print.

OXFORD

    OXFORD : Akash, Rana Shahid Imdad, Hamid, Kashif, and Mahmood, Iqbal (2020), "Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies)", Global Social Sciences Review, V (I), 198-208

TURABIAN

    TURABIAN : Akash, Rana Shahid Imdad, Kashif Hamid, and Iqbal Mahmood. "Do US News and Volatility in Exchange Rate Exposure Matter (Empirical Evidence from Emerging Economies)." Global Social Sciences Review V, no. I (2020): 198-208. https://doi.org/10.31703/gssr.2020(V-I).21