Currency substitution and exchange rate volatility in the European Community

1993 ◽  
Vol 35 (3-4) ◽  
pp. 351-365 ◽  
Author(s):  
Matthew B. Canzoneri ◽  
Behzad T. Diba
Keyword(s):  
Exchange Rate ◽  
European Community ◽  
Exchange Rate Volatility ◽  
Currency Substitution

scholarly journals Testing of currency substitution effect on exchange rate volatility in Serbia

Industrija ◽  
2016 ◽  
Vol 44 (3) ◽  
pp. 27-40
Author(s):  
Predrag Petrovic ◽  
Sanja Filipovic ◽  
Goran Nikolic
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Substitution Effect ◽  
Currency Substitution

scholarly journals Currency Substitution and Exchange Rate Volatility in Nigeria: An Autoregressive Distributed Lag Approach

2021 ◽  
pp. 1-28
Author(s):  
Isaiah O. Ajibola ◽  
Sylvanus U. Udoette ◽  
Rabia A. Muhammad ◽  
John O. Anigwe
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Exchange Rate Volatility ◽  
Empirical Support ◽  
Currency Substitution ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Relationship ◽  
Real Exchange Rate Volatility

This study investigates the relationship between exchange rate volatility and currency substitution in Nigeria, using Autoregressive Distributed Lag (ARDL) model. After accounting for the presence of structural breaks, evidence from the findings shows that domestic interest rate and expected changes in exchange rate are important determinants of currency substitution. In addition, there is empirical support for a positive relationship between exchange rate volatility and currency substitution both in the short- and long-run. This implies that higher real exchange rate volatility is associated with an increased level of currency substitution. In view of these findings, the paper calls for sustained efforts by the monetary authority in containing exchange rate volatility and inflation as a way of curbing the spate of currency substitution in the country.

Exchange Rate Volatility in Emerging Markets:The Chilean Case

2007 ◽  
pp. 87-100
Author(s):  
Juan R. Castro
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
External Debt ◽  
Exchange Rate Volatility ◽  
Arch Model ◽  
Macroeconomic Shocks ◽  
Domestic Debt ◽  
Domestic Credit ◽  
The Face ◽  
The Exchange Rate

The document conducts an empirical investigation on the volatility of the Chilean exchange rate regime, using a model of Objective Zones. Through the use of the ARCH model, the document tests the volatility of the exchange rate in the presence of different levels of international reserves and other macroeconomic shocks. The results show that domestic credit, domestic debt and external debt have the greatest impact on the volatility of the variables studied, especially when compared with other fundamental variables. The variance of the exchange rate is heterosedastic but it is not persistent, which implies that the exchange rate is stable, probably when it oscillates between two bands. The volatility of the exchange rate fluctuates to a greater extent in the face of changes in internal and external debt, than with the other variables used.

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