EconPapers    
Economics at your fingertips  
 

Liquidity and exchange rate volatility

Thi Hong Hanh Pham
Additional contact information
Thi Hong Hanh Pham: LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes - IUML - FR 3473 Institut universitaire Mer et Littoral - UBS - Université de Bretagne Sud - UM - Le Mans Université - UA - Université d'Angers - CNRS - Centre National de la Recherche Scientifique - IFREMER - Institut Français de Recherche pour l'Exploitation de la Mer - UN - Université de Nantes - ECN - École Centrale de Nantes

Working Papers from HAL

Abstract: Using a large panel dataset covering both advanced and developing countries over the period 1980-2015, this paper does two things. First, it explores the impacts of liquidity on the dynamics of exchange rate. We find evidence of a significant relationship between liquidity and real exchange rate volatility, which is, however, diverse and strongly depends on the way to measure liquidity level. Second, it investigates whether the nature of the linkage between liquidity and real exchange rate depends on the level of financial development of a country. This hypothesis is empirically validated in our study.

Keywords: Exchange rate volatility; Liquidity; Financial development (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mon and nep-opm
Date: 2018-02-13
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01708633
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-01708633/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-01708633

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-05-08
Handle: RePEc:hal:wpaper:halshs-01708633