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Economic openness, exchange rate volatility, and the role of financial development

This study employs a panel of 59 countries over the period 1980-2011, applying the Two-Step System GMM, to study the relationship between the trade-weighted real exchange rate volatility and openness of an economy, taking the role of financial development level into account. In order to capture th...

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Main Author: Habibi, Masoumeh
Format: Thesis
Language:English
Published: 2015
Online Access:http://psasir.upm.edu.my/id/eprint/58477/1/FEP%202015%201IR.pdf
http://psasir.upm.edu.my/id/eprint/58477/
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spelling my.upm.eprints.584772018-01-24T04:50:05Z http://psasir.upm.edu.my/id/eprint/58477/ Economic openness, exchange rate volatility, and the role of financial development Habibi, Masoumeh This study employs a panel of 59 countries over the period 1980-2011, applying the Two-Step System GMM, to study the relationship between the trade-weighted real exchange rate volatility and openness of an economy, taking the role of financial development level into account. In order to capture the role of financial development level, interaction terms are introduced into the regression and thresholds of financial development are calculated above which, higher financial and trade openness have a stronger impact on real exchange rate volatility. The findings suggest that; (a) higher levels of trade openness as well as financial openness are associated with lower exchange rate volatility, (b) countries with higher levels of financial development experience a stronger negative effect of financial openness on real exchange rate volatility, (c) the effect of trade openness on exchange rate volatility is independent from the level of financial development. 2015-09 Thesis NonPeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/58477/1/FEP%202015%201IR.pdf Habibi, Masoumeh (2015) Economic openness, exchange rate volatility, and the role of financial development. Masters thesis, Universiti Putra Malaysia.
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description This study employs a panel of 59 countries over the period 1980-2011, applying the Two-Step System GMM, to study the relationship between the trade-weighted real exchange rate volatility and openness of an economy, taking the role of financial development level into account. In order to capture the role of financial development level, interaction terms are introduced into the regression and thresholds of financial development are calculated above which, higher financial and trade openness have a stronger impact on real exchange rate volatility. The findings suggest that; (a) higher levels of trade openness as well as financial openness are associated with lower exchange rate volatility, (b) countries with higher levels of financial development experience a stronger negative effect of financial openness on real exchange rate volatility, (c) the effect of trade openness on exchange rate volatility is independent from the level of financial development.
format Thesis
author Habibi, Masoumeh
spellingShingle Habibi, Masoumeh
Economic openness, exchange rate volatility, and the role of financial development
author_facet Habibi, Masoumeh
author_sort Habibi, Masoumeh
title Economic openness, exchange rate volatility, and the role of financial development
title_short Economic openness, exchange rate volatility, and the role of financial development
title_full Economic openness, exchange rate volatility, and the role of financial development
title_fullStr Economic openness, exchange rate volatility, and the role of financial development
title_full_unstemmed Economic openness, exchange rate volatility, and the role of financial development
title_sort economic openness, exchange rate volatility, and the role of financial development
publishDate 2015
url http://psasir.upm.edu.my/id/eprint/58477/1/FEP%202015%201IR.pdf
http://psasir.upm.edu.my/id/eprint/58477/
_version_ 1643836795396292608
score 13.211869

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