Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? PDF full book. Access full book title Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? by Ms.Laura E. Kodres. Download full books in PDF and EPUB format.

Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?

Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? PDF Author: Ms.Laura E. Kodres
Publisher: International Monetary Fund
ISBN: 145184297X
Category : Business & Economics
Languages : en
Pages : 40

Get Book

Book Description
Recent interest in futures contracts on emerging market currencies has raised concerns among some central bank authorities about their ability to maintain stable currencies. This paper presents empirical results examining the influence of the Mexican peso, the Brazilian real, and the Hungarian forint futures contracts on the respective spot markets. While measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the characteristics of the spot and futures returns a SWARCH model has been employed to estimate volatility.