... changes reaching 20% in the case of Korea and about 29% in the case of Indonesia ... Based on... more ... changes reaching 20% in the case of Korea and about 29% in the case of Indonesia ... Based on Kaminsky and Schmukler (1999), study stock price movements during the crisis were triggered by ... Table 1 presents the details on the 10 Malaysian firms and the 10 Taiwanese firms. ...
This paper examines the pattern of interaction among Asian exchange rates, and how the pattern ch... more This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.
Since the introduction of financial derivatives markets in developed countries during the 1970s a... more Since the introduction of financial derivatives markets in developed countries during the 1970s and 1980s, and the later development in emerging markets during the 1990s, there has been much interest over the last three decades towards the modeling and forecasting of the optimal hedge ratios (OHR) and alternative hedging strategies applied to the commodity and financial futures.1 It is now well known that derivatives markets perform useful functions of price discovery, hedging, speculation and risk-sharing (see Working, 1953; Johnson, 1960; Silber, 1985 and Fortune, 1989). Hedgers use these markets as a means to avoid the market risk associated with adverse price change in the related cash markets. Speculators take positions in derivative instruments in the hope that subsequent price movements will generate profits. Overall, investors are given the choice of altering their asset portfolios between cash and derivatives markets.
... Further, as indicated by Connolly (1989) and de Jong et al. ... accumulates at a constant rat... more ... Further, as indicated by Connolly (1989) and de Jong et al. ... accumulates at a constant rate over calendar time, then the variance of returns over the period from the Friday close to Monday close should be three times the variance from the Monday close to the Tuesday close. ...
This paper studies the role of economic policy uncertainty (EPU) on US trade. It contributes to t... more This paper studies the role of economic policy uncertainty (EPU) on US trade. It contributes to the literature by analyzing the asymmetric impact of policy uncertainty on the US trade with Canada, China, Germany, Japan and the United Kingdom from December 1989 to December 2017. Results suggest that there is a negative relationship between the EPU and the US trade flows. Further, US trade responds more sensitively to a rise in uncertainty compared to an equal negative shock, confirming the asymmetric hypothesis both in the short run and the long run. Comparing the respective uncertainty indices, US EPU has a significantly greater impact on the trade relative to the EPU of its trading partners. These findings have both demand and supply side implications – i.e. increase in the economic policy uncertainty can reduce the aggregate consumption significantly. Also, due to uncertain profit margins, businesses can choose to delay long-term investment projects and inventory levels resulting ...
This paper examines the pattern of interaction among Asian exchange rates, and how the pattern ch... more This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.
This paper studies the role of economic policy uncertainty on the US trade with Canada, China, Ge... more This paper studies the role of economic policy uncertainty on the US trade with Canada, China, Germany, Japan and the United Kingdom. This paper contributes to the literature by analysing the asymmetric impact of policy uncertainty on the US trade from December 1989 to December 2016. Results suggest that there is a negative relationship between the economic policy uncertainty and the US trade flows. Further, US trade responds more sensitively to rise in the uncertainty as compared to an equal negative shock, confirming the asymmetric hypothesis both in the short and long run. Comparing the respective uncertainty indices, US EPU has a significantly greater impact on the trade relative to the EPU of its trading partners. These findings have both demand and supply side implications i.e. increase in the economic policy uncertainty can reduce the aggregate consumption significant as well as due to uncertain profit margins, businesses can choose to delay long term investment projects and ...
... changes reaching 20% in the case of Korea and about 29% in the case of Indonesia ... Based on... more ... changes reaching 20% in the case of Korea and about 29% in the case of Indonesia ... Based on Kaminsky and Schmukler (1999), study stock price movements during the crisis were triggered by ... Table 1 presents the details on the 10 Malaysian firms and the 10 Taiwanese firms. ...
This paper examines the pattern of interaction among Asian exchange rates, and how the pattern ch... more This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.
Since the introduction of financial derivatives markets in developed countries during the 1970s a... more Since the introduction of financial derivatives markets in developed countries during the 1970s and 1980s, and the later development in emerging markets during the 1990s, there has been much interest over the last three decades towards the modeling and forecasting of the optimal hedge ratios (OHR) and alternative hedging strategies applied to the commodity and financial futures.1 It is now well known that derivatives markets perform useful functions of price discovery, hedging, speculation and risk-sharing (see Working, 1953; Johnson, 1960; Silber, 1985 and Fortune, 1989). Hedgers use these markets as a means to avoid the market risk associated with adverse price change in the related cash markets. Speculators take positions in derivative instruments in the hope that subsequent price movements will generate profits. Overall, investors are given the choice of altering their asset portfolios between cash and derivatives markets.
... Further, as indicated by Connolly (1989) and de Jong et al. ... accumulates at a constant rat... more ... Further, as indicated by Connolly (1989) and de Jong et al. ... accumulates at a constant rate over calendar time, then the variance of returns over the period from the Friday close to Monday close should be three times the variance from the Monday close to the Tuesday close. ...
This paper studies the role of economic policy uncertainty (EPU) on US trade. It contributes to t... more This paper studies the role of economic policy uncertainty (EPU) on US trade. It contributes to the literature by analyzing the asymmetric impact of policy uncertainty on the US trade with Canada, China, Germany, Japan and the United Kingdom from December 1989 to December 2017. Results suggest that there is a negative relationship between the EPU and the US trade flows. Further, US trade responds more sensitively to a rise in uncertainty compared to an equal negative shock, confirming the asymmetric hypothesis both in the short run and the long run. Comparing the respective uncertainty indices, US EPU has a significantly greater impact on the trade relative to the EPU of its trading partners. These findings have both demand and supply side implications – i.e. increase in the economic policy uncertainty can reduce the aggregate consumption significantly. Also, due to uncertain profit margins, businesses can choose to delay long-term investment projects and inventory levels resulting ...
This paper examines the pattern of interaction among Asian exchange rates, and how the pattern ch... more This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.
This paper studies the role of economic policy uncertainty on the US trade with Canada, China, Ge... more This paper studies the role of economic policy uncertainty on the US trade with Canada, China, Germany, Japan and the United Kingdom. This paper contributes to the literature by analysing the asymmetric impact of policy uncertainty on the US trade from December 1989 to December 2016. Results suggest that there is a negative relationship between the economic policy uncertainty and the US trade flows. Further, US trade responds more sensitively to rise in the uncertainty as compared to an equal negative shock, confirming the asymmetric hypothesis both in the short and long run. Comparing the respective uncertainty indices, US EPU has a significantly greater impact on the trade relative to the EPU of its trading partners. These findings have both demand and supply side implications i.e. increase in the economic policy uncertainty can reduce the aggregate consumption significant as well as due to uncertain profit margins, businesses can choose to delay long term investment projects and ...
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