ADB Repository
Dynamic impact of foreign exchange trading volume on foreign exchange volatility
Pengarang:
Kang, Jong Woo -
Deskripsi
FX trading volume is a key factor in volatility. Estimation results from econometric models reveal a significant impact of third-party trade volumes on the volatilities of original currency pairs. Though the United States dollar (USD) exerts sizeable effect through third-party channels, currency pairs without USD linkages also have impact, calling renewed attention to using regional cooperation in mitigating volatility as compared with major FX trading partners.