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Oil Price Shocks and Conditional Exchange Rate Volatility
Title
Oil Price Shocks and Conditional Exchange Rate Volatility.
Creator
Volkov, Nikanor, Agapova, Anna, Graduate College
Abstract/Description
This study investigates the effects of energy price shocks on exchange rate volatility in five major energy-producing countries Russia, Brazil, Mexico, Canada, and Norway. There are noticeable differences in the behavior of the exchange rate between emerging markets and advanced economies. Russia and Brazil exhibit different patterns from those of Canada and Norway in the direction and magnitude of conditional exchange rate volatility. The R2 for Russia and Brazil more than doubles when oil...
Show moreThis study investigates the effects of energy price shocks on exchange rate volatility in five major energy-producing countries Russia, Brazil, Mexico, Canada, and Norway. There are noticeable differences in the behavior of the exchange rate between emerging markets and advanced economies. Russia and Brazil exhibit different patterns from those of Canada and Norway in the direction and magnitude of conditional exchange rate volatility. The R2 for Russia and Brazil more than doubles when oil prices are incorporated into the fundamental model, but it increases only slightly for Canada and Norway. Our VAR analysis indicates that a one-standarddeviation increase in oil prices causes all currencies to appreciate after the shock, but the postshock adjustment process is relatively short in Norway and Canada and longer in Russia, Brazil, and Mexico. Our empirical analysis further reveals that there is evidence for positive overshooting in Russia and Brazil, and negative overshooting in Canada and Mexico. The asymmetric behavior of exchange rate volatility among countries seems to be related to the efficiency of financial and foreign exchange markets rather than to the importance of oil revenues in an economy.
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Date Issued
2014
PURL
http://purl.flvc.org/fau/fd/FA00005860
Format
Document (PDF)
Does corporate diversification enhance firm value during times of crisis?
Title
Does corporate diversification enhance firm value during times of crisis?.
Creator
Volkov, Nikanor, Garcia-Feijoo, Luis, Graduate College
Date Issued
2013-04-12
PURL
http://purl.flvc.org/fcla/dt/3361968
Subject Headings
Diversification in industry, Value, Industrial management
Format
Document (PDF)
Strategic information disclosure when there is fundamental disagreement: an empirical investigation
Title
Strategic information disclosure when there is fundamental disagreement: an empirical investigation.
Creator
Volkov, Nikanor, Agapova, Anna, Florida Atlantic University, College of Business, Department of Finance
Abstract/Description
I empirically investigate the managements’ decision to voluntarily disclose strategic information. While carrying a benefit of reduced information asymmetry, strategic information disclosure carries a cost of investors disagreeing with managements’ strategy and thus refusing to provide funding to the firm. Using a hand- collected sample of information releases, I identify firm characteristics that affect the likelihood of strategic information disclosure.
Date Issued
2015
PURL
http://purl.flvc.org/fau/fd/FA00004473, http://purl.flvc.org/fau/fd/FA00004473
Subject Headings
Corporate governance, Corporations -- Auditing, Disclosure of information, Management information systems, Social responsibility of business, Strategic planning
Format
Document (PDF)