Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies

The World Economy (2013)

23 Pages Posted: 25 Jun 2013

See all articles by Maria Socorro Gochoco‐Bautista

Maria Socorro Gochoco‐Bautista

University of the Philippines, School of Economics

Jianxin Wang

University of Technology Sydney (UTS)

Minxian Yang

UNSW Australia Business School, School of Economics

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Date Written: June 2013

Abstract

This paper shows that both commodity price and carry trade have significant impact on the volatility and liquidity of Asian currencies, particularly on actively traded currencies. The impact of carry trade is generally larger than that of commodity price.

Suggested Citation

Gochoco-Bautista, Maria Socorro and Wang, Jianxin and Yang, Minxian, Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies (June 2013). The World Economy (2013). Available at SSRN: https://ssrn.com/abstract=2284503

Maria Socorro Gochoco-Bautista (Contact Author)

University of the Philippines, School of Economics ( email )

Quezon City, Diliman
Philippines

Jianxin Wang

University of Technology Sydney (UTS) ( email )

15 Broadway, Ultimo
Sydney, New South Wales 2000
Australia

Minxian Yang

UNSW Australia Business School, School of Economics ( email )

School of Economics
The University of New South Wales
Sydney, NSW NSW 2052
Australia
93853353 (Phone)

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