Volatility behavior of exchange rate future contracts

被引：1

作者：

Aguirre M.S. ^{[1
]}

Saidi R. ^{[1
]}

机构：

[1] Catholic University of America,

来源：

Atlantic Economic Journal | 2000年 / 28卷 / 4期

关键词：

Exchange Rate; Policy Maker; International Economic; Public Finance; Market Participant;

D O I：

10.1007/BF02298393

中图分类号：

学科分类号：

摘要：

The increasing globalization of economies and the concurrent increase in the risk of currency exposure has stimulated the development of new instruments to allow both investors and traders to hedge their currency risk. The expansion of these derivatives, however, has raised some concerns. This paper studies the determinants of the dynamics of exchange rate future contracts as a means to identify the sources of such concerns. By using a mean-exponential generalized autoregressive conditional heteroskedasticity (M-EGARCH) model for five different future contract lengths and six developed economies, it is found that an M-EGARCH(1,1) effectively describes the exchange rate futures' daily dynamic. Sign, size, and persistence effects on the volatility of future contracts are all significant, thus providing important information to both policy makers and market participants.

引用

页码：396 / 411

页数：15

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