English, Article edition: Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? Christian Jochum; Laura Kodres

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Bookmark: http://trove.nla.gov.au/version/21938
Physical Description
  • article
Language
  • English

Edition details

Title
  • Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?
Author
  • Christian Jochum
  • Laura Kodres
Physical Description
  • article
Notes
  • RePEc:pal:imfstp:v:45:y:1998:i:3:p:4
  • Recent interest in futures contracts on emerging market currencies has raised concerns among some central bank authorities about their ability to maintain stable currencies. This paper presents empirical results examining the influence of the mexican peso, the Brazilian real, and the Hungarian forint futures contracts on the respective spot markets. While measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the characteristics of the spot and futures returns, a SWARCH model is employed to estimate volatility. Copyright 1998, International Monetary Fund
  • RePEc:imf:imfstp:v:45:y:1998:i:3:p:4
Language
  • English
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