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.

摘要

本研究利用 2011 年至 2020 年 10 个交易市场的数据，实证分析了外汇期货波动对宏观经济变量的影响^。1我们的研究结果表明，外汇期货波动显着影响各种宏观经济指标。特别是，随着外汇期货波动性的增加，它减少了政府预算收入，增加了通货膨胀率，对净出口和总储备产生了积极影响。此外，本研究通过替换自变量和进行子样本回归进行稳健性检验，以确保回归结果的可靠性。