연구정보
[경제] Foreign Exchange Market Structure and Exchange Rate Volatility in Bangladesh
방글라데시 국외연구자료 연구보고서 - Bangladesh Bank 발간일 : 2020-08-18 등록일 : 2022-01-27 원문링크
Foreign exchange rate volatility is an important factor involved in the decision making of investors and policymakers. This study attempts to measures the volatility behavior in terms of exchange rate returns and volume of daily transactions in foreign exchange market of Bangladesh ranging from July 2014 to June 2018, applying GARCH family models (i.e. PARCH, EGARCH, and IGARCH). The results show that the presence of volatility clustering in foreign exchange rate returns as the volatility of risk is responsive to past shocks and the past volatility influences the current volatility of exchange rate returns. Moreover, the return is positively related to its volatility. The existence of leverage effect is also evidenced in the Bangladesh foreign exchange market because positive past shocks increase volatility more than the negative past shocks of the same magnitude. Thus,
the appreciation and the depreciation of Bangladesh Taka against USD do not necessarily cause symmetric variation in the exchange rate returns.
본 페이지에 등재된 자료는 운영기관(KIEP) 및 EMERiCs의 공식적인 입장을 대변하고 있지 않습니다.
| 이전글 | [경제] Revisiting the Monetary Conditions Index for Bangladesh | 2022-01-27 |
|---|---|---|
| 다음글 | [경제] Lending Rate Behavior in Bangladesh: Some Facts and Determinants | 2022-01-27 |
