...Ngo Thai Hung Purpose This study aims to attempt to investigate the time-varying causality and price spillover effects between crude oil and exchange rate markets in G7 economies during the COVID-19 and Russia–Ukraine crises. Design/methodology/approach This study uses time-varying Granger...

... function. The correlation coefficient follows an autoregressive equation where the autoregressive coefficient is a function of the past values of the correlation. The model is applied to a portfolio of a couple of exchange rates, specifically US dollar–Japanese Yen and US dollar–Euro and compared with two...

...Unggul Heriqbaldi; Miguel Angel Esquivias; Rossanto Dwi Handoyo; Alfira Cahyaning Rifami; Hilda Rohmawati Purpose This paper aims to examine whether Indonesian cross-border trade responds asymmetrically to exchange rate volatility (ERV). Design/methodology/approach An exponential generalized...

...Bhavesh Garg; K.P. Prabheesh Purpose This paper aims to investigate whether the interest rate differentials Granger cause expected change in the exchange rate during the COVID-19 period. The study examines if the investors in the international assets and exchange rate markets take advantages...

..., the cryptocurrencies do not reveal any short- and long-term stochastic trends with exchange rates and/or equity returns. The dynamics of each cryptocurrency with the Chinese Yuan appears to be more turbulent than that with the other exchange rates. Each cryptocurrency appears to follow its own trend in the global...

...Joseph J. French; Vijay Kumar Vishwakarma Purpose The purpose of this paper is to dissect the dynamic linkages between foreign equity flows, exchange rates and equity returns in the Philippines. Design/methodology/approach Using a parsimonious SVARX‐GARCH model and unique daily equity flow...

...Yutaka Kurihara Purpose The purpose of this article is to analyse methods for determination of exchange rates in response to fundamental economic variables and changes in monetary policies. Design/methodology/approach The paper undertakes empirical examination of exchange rate movements...

...Sean J. Gossel; Nicholas Biekpe Purpose The purpose of this paper is to undertake an econometric investigation of the determinants of the nominal South African rand/US dollar exchange rate before and after the country's financial liberalisation in March 1995. Design/methodology/approach...

...Athanasios Koulakiotis; Katerina Lyroudi; Nikos Thomaidis; Nicholas Papasyriopoulos Purpose The purpose of this paper is to examine volatility transmissions between portfolios of cross‐listed equities and exchange rate differences and also the volatility persistence for home, foreign equities...

... prices. Exchange rates also have not been a significant determinant of Japanese stock prices. US stock prices have significantly influenced Japanese stock prices. Moreover, there exists a long‐term stable relationship between Japanese and US stock market prices. Originality/value The Bank of Japan's...