Sentence examples for exchange rate returns from inspiring English sources

This paper examines the impact of such cross-country covariance risk on the relationship between exchange rate returns and interest rate differentials.

Moreover, once new firms have entered the market, they continue to be exporters also when the exchange rate returns to its previous level (hysteresis).

In particular, we show that the sign and magnitude of the coefficient on the lagged interest differential is governed by a type of time-varying beta risk that reflects the conditional covariance between exchange rate returns and the return differential between foreign and domestic equities.

Thus, an asymmetric volatility effect exists for exchange rate returns.

Fig. 7 Exchange rate returns of China Fig. 8 Exchange rate returns of India Fig. 9 Exchange rate returns of Sri Lanka Fig. 10 Exchange rate returns of Hong Kong Fig. 11 Exchange rate returns of Pakistan Fig. 12 Exchange rate returns of Japan.

The analyses are based on 3912 observations for both stock prices returns and exchange rate returns.

Fig. 1 Correlogram of exchange rate return.

Table 10 Skewness and Kurtosis of exchange rate return Variable Skewness Kurtosis Exchange Rate Return 3.6624 62.8792.

Fig. 2 Volatility clustering of Taka/US dollar exchange rate return.

Table 10 (Appendix) shows that the exchange rate return is highly skewed.

To justify this, we also checked the skewness and kurtosis of the exchange rate return series.