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ABSTRACT
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.
Acknowledgement
Hai-Jie Wang acknowledges support from the National Social Science Foundation of China (Grant No. 20BJY094). We are grateful for helpful comments and suggestions from two anonymous reviewers. We are solely responsible for any errors and omissions.
Disclosure statement
The authors declare that they have no known competing financial interests or personal relationships that could have influenced the results reported in this paper.
Notes
1. The specific names of the ten trading markets are as follows: BM&F Bovespa, Colombia Stock Exchange (BVC), Korea Exchange (KRX), Intercontinental Exchange (ICE), Moscow Exchange (ME), Mercado Mexicano de Derivados (MexDer), The Stock Exchange of Hong Kong Ltd. (SEHK), Borsa Istanbul (BIST), National Stock Exchange of India (NSE), and Johannesburg Stock Exchange Ltd. (JSE Limited).