Röthig, Andreas (2008)
Currency futures and currency crises.
Report, Primary publication
|
Text
ddpie_136.pdf Copyright Information: CC BY-NC-ND 3.0 Unported - Creative Commons, Attribution, NonCommercial, NoDerivs. Download (285kB) | Preview |
| Item Type: | Report |
|---|---|
| Type of entry: | Primary publication |
| Title: | Currency futures and currency crises |
| Language: | English |
| Date: | 19 November 2008 |
| Place of Publication: | Darmstadt |
| Series: | Darmstadt Discussion Papers in Economics |
| Series Volume: | 136 |
| Collation: | 38 S. |
| Corresponding Links: | |
| Abstract: | Since financial derivatives are key instruments for risk taking as well as risk reduction, it is only straightforward to examine their role in currency crises. This paper addresses this issue by investigating the impact of currency futures trading on the underlying exchange rates. After a discussion of trading mechanisms and trader types, the linkage between futures trading activity and spot market turbulence is modelled using a VAR-GARCH approach for the exchange rates of Australia, Canada, Japan, Korea and Switzerland in terms of the US dollar. The empirical results indicate that there is a positive relationship between currency futures trading activity and spot volatility. Moreover, in the case of four out of the total of five currencies discussed in this paper, futures trading activity adds significantly to spot volatility. |
| Uncontrolled Keywords: | Currency crises; Exchange rate volatility; Currency futures trading activity; VAR-GARCH estimation |
| URN: | urn:nbn:de:tuda-tuprints-47936 |
| Additional Information: | JEL Classification: C13, C32, F31, G15; Erstellt Mai 2004 |
| Classification DDC: | 300 Social sciences > 330 Economics |
| Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete |
| Date Deposited: | 19 Nov 2008 15:59 |
| Last Modified: | 25 Oct 2023 08:28 |
| URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/4793 |
| PPN: | 378324950 |
| Export: |
 |
View Item |
Drucken
Impressum