The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market

Autor:	Jui-Chuan Della Chang, Kuang-Liang Chang
Rok vydání:	2018
Předmět:	Economics and Econometrics 050208 finance 05 social sciences Futures market Monetary economics Market liquidity Exchange rate Quantitative easing 0502 economics and business Liberian dollar Jump Economics 050207 economics Volatility (finance) Futures contract Finance
Zdroj:	The North American Journal of Economics and Finance. 46:15-28
ISSN:	1062-9408
DOI:	10.1016/j.najef.2018.03.007
Popis:	This paper investigates the asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market. This approach is innovative in so far as it examines the effects of allowing two-round impacts to differ in our settings of dynamic volatility with time-varying jump intensity because the world economic situation differs during periods of large-scale asset purchases. Utilizing the daily futures price of the exchange rate for the Canadian dollar against the U.S. dollar, the empirical findings show that U.S. large-scale asset purchases have significant asymmetric effects on the volatility of the Canadian dollar futures market. Two kinds of asymmetry are observed. Firstly, the impact of large-scale asset purchases is smaller in the first round of the large-scale asset purchases than in the second round. Secondly, an expansionary policy causes higher volatility in the Canadian dollar futures market than does a contractionary policy due to a signal of high liquidity.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::40906333f82836740278ccd31f1fe759 https://doi.org/10.1016/j.najef.2018.03.007 Zobrazit plný text záznamu Full Text from ScienceDirect