Exchange Rate Volatility in Emerging Economies

Abdulkader M. ALJANDALI

apr 2018 · Transnational Press London

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This book is a contribution to the knowledge concerning the volatility and forecasting of exchange rates in the emerging markets. It focuses on the exchange rates of the leading trading blocs in that part of the world and examines exchange rates of selected emerging countries across continents in order to explain local and regional variations in exchange rates and the determinants of fluctuations in selected countries in Africa, Asia, Central and Latin America. Exchange rates of countries from the four different regions are investigated separately, followed by analysis within and across regions to identify common patterns of exchange rates fluctuations. Monthly forecasts are generated for a period of 24 months to test the performance of the times series, cointegration and combination techniques used in this book.

The results show that exchange rates of countries in the same region behave similarly following a shock to the system. Additionally, exchange rates of countries at the same stage of development albeit in different geographical location (Central America, Southern Africa, Latin America and Southeast Asia) share some similarities. In this book, I argue that all exchange rates examined have been volatile.

Contents

PrefaceChapter I. IntroductionChapter II. Foreign Exchange Forecasting using Macroeconomic VariablesChapter III. Empirical Methods and ApplicationsChapter IV. Times Series ForecastingChapter V. ARDL Cointegration ForecastingChapter VI Combination Forecasting of Exchange RatesChapter VII Conclusions, Summary and Recommendations for Policy MakersAppendix 1 Exchange rate plots over time

 

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 Abdulkader M. ALJANDALI is a Senior Lecturer in Finance at Coventry University, London, UK. Previously, Dr Aljandali was a Senior Lecturer leading the Business Forecasting and the Quantitative Finance modules at Regents University London. Dr Aljandali is an established fellow of the UK Higher Education Academy and a current member of the British Accounting & Finance Association. Dr Aljandali has published textbooks in Quantitative Analysis and Multi-variate Methods for students/professionals in Business & Finance.