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Dynamic Impact of Foreign Exchange Trading Volume on Foreign Exchange Volatility
This paper examines the effect of foreign exchange (FX) trading volume on volatility using high-frequency data.
FX trading volume is a key factor in volatility. Estimation results from econometric models reveal a significant impact of third-party trade volumes on the volatilities of original currency pairs. Though the United States dollar (USD) exerts sizeable effect through third-party channels, currency pairs without USD linkages also have impact, calling renewed attention to using regional cooperation in mitigating volatility as compared with major FX trading partners.
FX trading volume is a key factor in volatility. Estimation results from econometric models reveal a significant impact of third-party trade volumes on the volatilities of original currency pairs. Though the United States dollar (USD) exerts sizeable effect through third-party channels, currency pairs without USD linkages also have impact, calling renewed attention to using regional cooperation in mitigating volatility as compared with major FX trading partners.
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