Journal
EMERGING MARKETS FINANCE AND TRADE
Volume 58, Issue 8, Pages 2300-2313Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/1540496X.2021.1976636
Keywords
Exchange rate; macroeconomic; foreign exchange futures; systematic gmm
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Funding
- National Social Science Foundation of China [20BJY094]
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The research empirically analyzed the impact of foreign exchange futures volatility on macroeconomic variables from 2011 to 2020, finding that it significantly affects various indicators such as government budget revenue and inflation rate. Robustness tests were also conducted to ensure the reliability of the regression results.
This research empirically analyzes the impact of foreign exchange futures volatility on macroeconomic variables by using data of ten trading markets from 2011 to 2020.(1) Our findings illustrate that the volatility of foreign exchange futures significantly affects various macroeconomic indicators. In particular, as the volatility of foreign exchange futures increases, it reduces government budget revenue, increases the inflation rate, and has a positive impact on net exports and total reserves. Moreover, this research conducted robustness tests by replacing independent variables and conducting a sub-sample regression to ensure the reliability of the regression results.
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