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This study aims to examine and analyze the effect of interest rates, inflation, foreign exchange rates and profitability on earnings quality and its impact on firm value. The design of this study used causal research with a population of banking subsector companies listed on the Indonesia Stock Exchange for the period 2018-2022. The sample in this study was 41 companies determined using the purposive sampling method. The data analysis method used is multiple linear regression analysis using E- views version 12. The results of this study show that interest rates, foreign exchange rates, and profitability have a significant negative effect on earnings quality, but inflation has no effect on earnings quality. Interest rates, inflation, foreign exchange rates, earnings quality have no effect on firm value, but profitability has a significant negative effect on firm value, interest rates, inflation, foreign exchange rates, and profitability have no effect on firm value through earnings quality. [ABSTRACT FROM AUTHOR]

Exchange rates play a crucial role in the international economy. This study investigates the explanatory power of yield curve factors in exchange rate predictions for countries in three currency pairs: Japanese yen (JPY)–US dollar (USD), British pound (GBP)–USD, and Canadian dollar (CAD)–USD. The results empirically establish that each country's yield curve factors, extracted from the term structure of interest rates model, play a key role in determining future exchange rates. Specifically, an increase in the US level factor causes depreciation in the USD relative to the JPY for the full sample period (June 1994–October 2020) and in the GBP and CAD for the post-global financial crisis period. The study's model provides more useful information than the baseline uncovered interest rate parity model for explaining the variations in the three currency pairs. Additionally, the yield curve factors also explain the variation in countries' excess currency returns. This study has important theoretical implications for identifying which of the two countries' yield curve factors predominantly explain the exchange rate changes and the related policy implications. It also provides key policy insights by substantiating the association between macroeconomic variables and exchange rate changes. [ABSTRACT FROM AUTHOR]

The main goal of this work is to develop an empirical investigation on the occurrence of a sanitary crisis with data of cases and deaths of Covid-19, and their possible impact on the exchange rate volatility for the BRICS with daily data from February 20, 2020, to February 28, 2022, using ARDL, FMOLS and DOLS models. The results indicate that increases in the number of confirmed cases and deaths are associated with lower levels of exchange rate volatility, indicating that monetary and fiscal policies were inefficient in the context of a generalized health crisis in directing capital flows, and since the Covid-19 crisis is a global one, during the period of analysis there was a relative exchange rate stability, in other words, a lower exchange rate volatility. [ABSTRACT FROM AUTHOR]

We estimate the determinants (terms of trade, tradable to non-tradable price differentials, interest rate differentials, forward exchange rate and risk premium) of the Mexican bilateral real exchange rate (q) for the short and long run by using an Autoregressive Distributed Lag model (ARDL, Pesaran and Shin et al. (2001)) for Mexico (2001.01–2022.12). The inclusion of commercial and financial variables and finding empirical evidence of cointegration only for 2009.01–2022.12 are the main contributions. Our results indicate no cointegrating relationship either for the entire sample, or for 2001.01–2008.12. This finding has to do with the increasing international financialization process, after the 2008–2009 Great Financial Crisis. Using a double log model we find that: a) there is a strong short-run autoregressive effect of q of up to 4 lags (0.75), b) that the Balassa-Samuelson Effect is the largest in the model (-0.27 and -1.11 for short and long terms), c) the next most important factor is the terms of trade (-0.126 and -0.51, respectively), d) there are considerable, although lesser, effects of financial variables: forward exchange rate (0.0155 and 0.063, respectively) and risk-premium (0.009 and 0.036, respectively), e) there is a clear long-term trend of real depreciation expressed by the trend of 0.0020, which suggests that the PPP hypothesis applies. [ABSTRACT FROM AUTHOR]

This paper studies the impact of macroeconomic factors on co-movement in the foreign exchange rate markets. Data of foreign exchange rates from 24 merging markets is used to this end along with a dynamic spatial Durbin model as to examine spatial dependencies among markets. Our empirical findings show no evidence that cultural ties exert a role in spreading macroeconomic shocks in the exchange rate of a country to the exchange rates of other countries. Moreover, we show that economic closeness through foreign direct investment (FDI) and international bilateral trade is the most prominent channel in spreading macroeconomic shocks and spatial effects in emerging markets through the foreign exchange rates. In addition, geographical proximity reinforces the interdependence relationship of emerging markets. Our findings show that the co-movement of foreign exchange rate markets across the selected emerging markets is positively influenced by their gross domestic product (GDP) and interest rate differential and negatively affected by the terms of trade and remittance. In addition, we reveal that terms of trade, the inflation differential, and remittance are the most prominent fundamental factors affecting foreign exchange rate movements. [ABSTRACT FROM AUTHOR]

This research aims to determine the short-term and long-term influence between the variables Inflation, SBI Interest Rate, Rupiah Exchange Rate, Bank Indonesia Sharia Certificate, World Oil Prices, and the Covid-19 Pandemic with the Indonesian Sharia Stock Index. This research uses a quantitative approach with multiple regression analysis techniques to analyze panel data using Eviews 10.0 software. The results of this research show that in the short term the inflation variables, SBI interest rates, Bank Indonesia Sharia Certificates (SBIS), world oil prices, and the Covid-19 pandemic do not have a significant influence on the Indonesian Sharia Stock Index. Meanwhile, in the short term, the rupiah exchange rate has a negative and significant effect on ISSI at the specified significance level. On the other hand, in the long term, the variables inflation, rupiah exchange rate, and Bank Indonesia Sharia Certificate (SBIS) do not have a significant influence on ISSI. While the SBI interest rate, world oil prices, and the Covid-19 pandemic have a significant influence on the Indonesian Sharia Stock Index (ISSI). [ABSTRACT FROM AUTHOR]

The Southern African Customs Union is the oldest customs union in the world and the member states form a currency union with the South African Rand being the regional currency anchor. Therefore, currency movements amongst SACU member are dependent on the developments on the Rand which, in turn, can affect stock market development in the region. We examine the time-frequency relationship between exchange rates and stock market returns in SACU countries using continuous wavelet transforms. Our empirical analysis is two-staged. Firstly, we employ wavelet power spectrum to examine the time-frequency properties of the individual series. Secondly, we use wavelet coherence analysis and phase dynamics to examine the synchronization between the variables in a time-frequency space. Our findings show stronger (weaker) exchange rate-stock returns relations are found during periods of higher (lower) inflation whereas we observe a stronger (weaker) relationship during periods of lower interest rate environment. Moreover, we find more significant long-run relationships for countries with more independent monetary policy (South Africa and Botswana) whereas these relations are more prominent over the short-run for countries with pegged exchange rates (Eswatini and Namibia). We also observe that periods of oil and currency shocks impact the exchange rate-stock returns relationship in SACU countries with pegged exchange rates (Eswatini and Namibia). Our findings bear important implications for different stakeholders. For instance, this study has implications for exchange rate policy as it addresses the issue of whether the exchange rate can be used to improve market performance or exchange rate developments spillover into the stock market. Furthermore, corporate managers and stock market participants would be interested in our findings as it identifies periods of market inefficiency when exchange rates can be used to beat the stock market. [ABSTRACT FROM AUTHOR]

This study will work on some core variables including exchange rate that is considered as an important variable for different nations and size of level of development. In economics different functions are impacted here by exchange rate changes and it is very important to analyze that the macroeconomic factors including interest rate, inflation rate may impact on exchange rate positively or negatively. For the economy of Pakistan covering the period 2000 to 2023 it is analyzed that the multiple regression model by using exchange rate, inflation rate, interest rate, the value of exports and the value of imports in Pakistan having some important results for country. This study has used unit root test co-integration test and ARDL for evaluation of short run and long run effect of some core variables. This research found and concluded that all the right-side variables in multiple regression model having some important impact on relationship for the determination of exchange rate and it is explored that the inflation rate interest rate import and export are captured to regressive exchange rate in the economy of Pakistan. [ABSTRACT FROM AUTHOR]

India is one of the largest consumers of gold but remains largely unexplored and requires proper attention from investors, regulators and policymakers. Our study aims to uncover the relationship between policy uncertainty and gold prices in India, considering a timeline from 2004 to 2023. Using India EPU and geopolitical uncertainty-related index, the empirical estimation was performed in a time series framework using standard OLS and augmented regression using data from MCX-India and WGC prices. Our statistical investigation signals that policy uncertainty and gold prices in India are positively associated. This implies a higher degree of policy uncertainty and a higher gold price. Monetary policy uncertainty and interest rate changes shows an asymmetric impact on the gold price in India; the effects were more pronounced after 2015. Furthermore, policy uncertainty contains information explaining gold futures prices and has a two-month lag impact. Thus, gold trading in India is sensitive to the economic outlook of the economy and policy uncertainty. Gold imports in India have an adverse effect on gold prices. It is also reported that the INR/USD exchange rate plays a vital role in gold price setting. Hence, the study suggest that India's government should develop a healthy gold ecosystem and gold-policy. [ABSTRACT FROM AUTHOR]

This paper analyses how limits to the complexity of statistical models used by market participants can shape asset prices. We consider an economy in which the stochastic process that governs the evolution of economic variables may not have a simple representation, and yet, agents are only capable of entertaining statistical models with a certain level of complexity. As a result, they may end up with a lower-dimensional approximation that does not fully capture the intertemporal complexity of the true data-generating process. We first characterize the implications of the resulting departure from rational expectations and relate the extent of return and forecast-error predictability at various horizons to the complexity of agents' models and the statistical properties of the underlying process. We then apply our framework to study violations of uncovered interest rate parity in foreign exchange markets. We find that constraints on the complexity of agents' models can generate return predictability patterns that are simultaneously consistent with the well-known forward discount and predictability reversal puzzles. [ABSTRACT FROM AUTHOR]

With the global rise in populism over the last decade, there has been an increase in political commentaries (PC) by leaders that criticize their central banks and argue for lower interest rates. We analyse the effects of PCs on exchange rates, bond yields, and the risk premium for six countries that are subject to political pressures. Utilizing a specification with time‐varying parameters, we show that PCs affect the level and the volatility of exchange rates, bond yields and the risk premium in Turkey. The response increases over time. In other countries, there is a significant impact on exchange rate volatility. [ABSTRACT FROM AUTHOR]

The study investigates the external influences on Korea’s monetary policy over the period from 1990 to 2020. The focus is on the effects of US interest rates, payments imbalances and exchange rate changes on Korean monetary policy. The estimation of the Taylor rule measures the effects on Korean interest rates and the estimation of sterilization/ offset coefficients measures the effects on the domestic money supply and monetary base. This study measures the sterilization/offset equations and compares the results with the ones from Koo (2004) which examines the Taylor rule study. The empirical tests of both studies reveal two key findings: (1) Korean monetary policy has been influenced by monetary developments in the US, but it still has had a good deal of independence. (2) The exchange rate plays a crucial role for the BOK in achieving independent monetary policy. [ABSTRACT FROM AUTHOR]

We quantify the impact of risk‐based and nonrisk‐based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model‐implied and observed derivative prices reflects the impact of nonrisk‐based IC because our SDF incorporates risk‐based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long‐term CIP violations. Consistent with IC theory, the wedge correlates with the shadow cost of intermediary capital, and the SDF‐implied interest rate is a weighted average of collateralized and uncollateralized interest rates. [ABSTRACT FROM AUTHOR]

This study examines how the independence of monetary policy changes in situations where the interest rate differential between domestic and foreign rates inverts, utilizing the trilemma indices. For analysis, this paper uses the trilemma indices developed by Kim et al. (2017) to analyze the relationship between the monetary policy independence index and the other two trilemma indices, namely the capital account openness index and the exchange rate stability index, across 45 countries from 2002 to 2018. The analysis reveals that the trilemma's validity is contingent. In particular, no statistically significant negative correlation was found between the monetary policy independence index and exchange rate stability index during periods of interest rate differential inversion. A positive correlation emerges between exchange rate stability and the independence of monetary policy, particularly when the inverted interest rate differential exceeds a certain threshold. This situation, where the exchange rate remains stable despite low domestic interest rates, implies that the central bank is effectively managing monetary policy to appropriately respond to economic conditions, which is reflected in the monetary policy independence index. [ABSTRACT FROM AUTHOR]

We used the Markov switching regression model to establish a relationship between the conditional stock market returns and macroeconomic volatilities. Monthly data from thirteen (13) African stock markets and macroeconomic variables (exchange rate, inflation, interest rate, money supply, and crude oil price) from 2003 to 2022 were employed. We confirmed the existence of two distinct regimes: An economic expansion or a "tranquil" state with less volatility and an economic decline or a "crisis" state with high volatility. Our findings indicated that macroeconomic variables significantly affect both expansion and crisis periods. However, the estimated coefficients were more significant in a tranquil than in a crisis state. The findings of the study were consistent with macroeconomic theory and pointed out policy implications. [ABSTRACT FROM AUTHOR]

This paper aims to examine the determinants of the exchange rate based on the portfolio balance model. Using the Autoregressive Distributed Lag Model (ARDL), we empirically evaluate the effect of private net foreign assets and the traditional factors affecting the exchange rate dynamics in Mexico from 1990-2019. The main results suggest that: i) the portfolio approach constitutes a consistent system to explain the behavior of the exchange rate; ii) an increase in economic activity and interest rate differentials triggers an appreciation of the exchange rate; iii) an increase in the inflation gap and private net foreign assets causes a depreciation. [ABSTRACT FROM AUTHOR]

The global market for halal products is now developing at an extremely fast pace. Every year, there is a growing need for halal items. The reality is that Indonesia, the largest Muslim nation, is still under government scrutiny due to its poor exports of halal goods to the global halal market and its significant lag behind non-Muslim nations. This study used a quantitative methodology and multiple linear regression analysis to assess secondary data that was obtained via the Central Bureau of Statistics and Bank Indonesia's official websites. According to the partial research findings, the Rupiah exchange rate (X2) and the inflation variable (X1) have a favorable impact on Indonesia's export of halal items (Y) from 2018 to 2022; however, interest rates (X3) have a negative impact. Indonesia's halal product exports were impacted concurrently in 2018-2022 by the following variables: interest rates (X3), the Rupiah exchange rate (X2), and the inflation variable (X1). In terms of Islamic economics, export is allowed since it is a type of commerce that involves the purchase and sale of products and services. All transactions involving these kinds of transactions must adhere to Islamic law, one of which concerns the halalness of the goods and services being delivered. [ABSTRACT FROM AUTHOR]

This study investigates the long-run relationship between the exchange rate, interest rate, stock prices and output. The results demonstrate that a single restricted relationship is accepted when a structural break is incorporated into the cointegrating vector. Compared with the hypothesis tests on the single restricted relationship, the hypothetical structure comprising multiple relationships in the cointegrating vector is generally accepted in most countries, confirming the interaction between the relationships in the system. Our findings regarding the real exchange rate and stock price differentials appear to contradict the uncovered equity returns parity condition, whereas the relationship between the real exchange rate and interest rate differentials is consistent with the flexible price approach. [ABSTRACT FROM AUTHOR]

This study advances the understanding of the Preferred Habitat Model's capacity to shed light on the inter-market transfer of mean returns and the diffusion of price volatility in Pakistani investment markets. It examines the extent to which returns in one market exert a systematic influence on returns across others under the potential sway of interest rate policy shifts, USD exchange rate volatility, and domestic inflation trends. Employing a methodological arsenal that includes the GARCH process, enhanced by Dynamic Conditional Correlations (DCC), as well as the Markov Switching Model, this research assesses the propagation of mean returns and volatility across markets. The analysis uncovers significant linkages between monetary policy and stock market indices, underscoring the profound impact of monetary policy on cross-market performance transmission. These insights are pivotal for regulators overseeing the nuanced interaction between monetary policy and market performance. They are crucial for local and international investors interested in developing economies, especially in Pakistan's markets. [ABSTRACT FROM AUTHOR]

The document provides information on the Delphi method and its application in scientific research. It explains that the Delphi method is a qualitative technique used to obtain consensus from a group of experts on a specific problem. The method has been used in various fields such as defense, health, tourism, education, and business. The document also briefly discusses the methodological foundations of Delphi, including the selection and composition of the panel of experts, the iterative process in rounds, and criteria for consensus and stability. Additionally, the document provides data on economic and financial indicators in Mexico, such as the National Consumer Price Index, the Exchange rate, the IPC (Mexican Stock Exchange), and interest rates and investment units. The data spans from 2013 to 2024 and can be useful for researchers studying the economic situation in Mexico. The document also references various sources that discuss the Delphi method and its applications in different fields. [Extracted from the article]

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Purpose: The discussion on international migration has become a significant part of globalization and a topical issue in international relations, especially in developing economies which mostly relies on migrant remittances. The purpose of the study is to examine whether financial market development (equity market development and banking sector development) really drives migrant remittance flow in Sub-Saharan Africa (SSA). Design/methodology/approach: The study employs the dynamic heterogeneous panel data approach-the pool mean group (PMG) and the mean group (MG) techniques in analyzing the model based on data obtained from 27 SSA countries covering the period 2000–2020. Findings: The findings of the study revealed that financial market development (equity market development and banking sector development) is a key driver of migrant remittances flows in the SSA region. In addition, the study revealed that the following macroeconomic variables such as real interest rate, unemployment rate, global growth, emigration, and economic growth are also determinants of migrant remittances flows in the SSA region. Originality/value: The reviewed empirical literature revealed that several studies documents that the macroeconomic determinants of migrant remittances include inflation, GDP, interest rate, exchange rate, population growth, financial sector development and unemployment rate. Most of these studies fail to capture both equity market development and robust banking sector development (financial market development) as critical drivers of migrant remittances flow in SSA. Also, this study uses a robust measure of equity market development and banking sector development, unlike previous studies. Peer review: The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-05-2023-0361 [ABSTRACT FROM AUTHOR]

The article "Global Spillovers from Fed Hikes and a Strong Dollar: The Risk Channel" explores how US monetary policy and a strong US dollar impact emerging markets (EMs) and advanced economies (AEs). The study finds that tighter US monetary policy increases risk in EMs, but not in AEs. It also highlights that the effects of a strong dollar differ between EMs and AEs, with UIP premia decreasing in EMs and increasing in AEs. The article suggests that policymakers should be cautious when interpreting these shocks, particularly for EMs, as the dollar shock may reflect a real shock that requires external adjustment rather than policy intervention. The analysis is based on data from 59 countries, including 42 EMs, from 1990 to 2019. [Extracted from the article]

We analyse how financial market analysts' expectations in the Czech National Bank's Financial Market Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables. Using data from 2001 to 2022, our results indicate that the analysts are able to significantly outperform the random-walk forecast in terms of forecast precision for the repo rate and Prague Interbank Offered Rate at the one-month forecasting horizon. For the five- and ten-year interest rate swap rates, the random walk significantly outperforms the analysts at both the one-month and one-year forecasting horizons. For the CZK/EUR exchange rate, the random-walk forecast has a lower root mean squared forecast error than that of the analysts' forecast at the one-month horizon whereas at the one-year horizon the opposite is found; however, none of these differences are statistically significant. [ABSTRACT FROM AUTHOR]

The research is intended to determine factors affecting Investors at Pakistan Stock exchange, and for this purpose four macroeconomic variables; interest rate, inflation rate, exchange rate and FDI were selected as predictors and return of KSE 100 was included as a dependent variable. Meanwhile, the time frame of the study was from January 2001 to December 2015 and the frequency of the data was monthly. The preliminary testing and diagnostic analysis suggested towards Johansen Cointegration which further suggested VECM and Granger causality. Empirical findings of the study suggest that there are cointegration equations within the variables, implying that variables can be used to perform estimation and prediction of another variable. Meanwhile, VECM model reveals no significant effect of the macroeconomic variables on the stock market in long-run at lag 1; but at lag 2 interest rate and FDI shows a negative and significant effect on the KSE 100 returns. In addition to this, granger causality also shows no short-run bi-directional interrelation of macroeconomic variables with KSE 100 returns. Therefore, it is concluded that in Pakistan macroeconomic variables does not influence investor's behaviors and do not affect investing trend in KSE 100 index. Meanwhile, implications for policymakers, investors, regulatory authorities, government and for researcher have also been discussed in the paper. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Economics & Administrative Sciences is the property of Republic of Iraq Ministry of Higher Education & Scientific Research (MOHESR) and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The article states that the Federal Reserve is considering keeping interest rates high for a longer period of time due to concerns about inflation and the labor market. Factors such as tightening financial market conditions and rising oil prices could also delay rate cuts. The article mentions an increase in the forecast for GDP growth this year, but notes signs of economic softening in some states. The focus of the Federal Reserve is on inflation and the composition of job growth, with an expected slight increase in the unemployment rate. This information is valuable for library patrons researching employment trends and forecasts. [Extracted from the article]

This research investigates the relationship between exchange rates and economic growth in Nigeria during the period from 1981 to 2019. The research conducted an analysis of Nigerian data using the Ordinary Least Square (OLS) technique and identified that Exchange Rates have a favourable impact on Economic Growth. This paper affirmed the regression's validity with stationary residuals and found no long-term equilibrium using Bound Cointegration. The ARDL modelling revealed short-term connections between exchange rates and economic growth. Positive correlations were observed between exchange rates, GDP per capita growth, interest rates, and total exports, while negative relationships were noted with inflation and total imports, highlighting the importance of exchange rate stability in sustaining economic growth. This research provides a novel viewpoint on the connection between exchange rates and economic growth in Nigeria during the period from 1981 to 2019. It uncovers that more than 98% of the fluctuations in exchange rates can be accounted for by the included variables. The noteworthy discovery of the absence of a long-term equilibrium relationship within the specified time frame sets this study apart. Furthermore, it underscores the crucial role of exchange rate stability in promoting enduring economic growth, emphasising the necessity for well-designed policies that consider the intricate economic landscape. [ABSTRACT FROM AUTHOR]

This article seeks to add a new element to the 5‐decade debate over the theory of Optimal Currency Area. In the euro area, the accumulation of economic imbalances caused by the loss of the automatic adjustment functions of the exchange rate have served as a structural background to limit its self‐sustaining resilience during financial shocks. To enhance the stability of Optimal Currency Area (OCA) through the revitalization of those functions, this article argues that if the euro area had adopted some form of fiscal risk‐sharing mechanisms, which could have generated a similar economic effect as if they had maintained a flexible F/X system as that which had existed in pre‐euro days, the fiscal crisis hypothetically could have been more easily overcome within a shorter period with less financial support. The result suggests that if 'Adjustment Fund for Foreign Exchange rate Loss (AFFEL)', originally devised within these pages, had operated, the interest rates in crisis‐hit members could have been significantly lower than actual levels during the crisis, while safely maintaining the euro system. [ABSTRACT FROM AUTHOR]

This empirical study investigates Sierra Leone's monetary policy transmission channels using a VAR model from 2011Q1 to 2021Q4, emphasising the interest rate, exchange rate, and credit channels. Rigorous pre-estimation tests and variable transformations were applied to enhance result robustness and credibility. The research evaluates the impact of recent monetary policy and financial sector reforms in Sierra Leone and unveils insights into the dynamics of each of the three transmission channels. Notably, the interest rate channel revealed a delayed and transitory impact of policy rate changes on inflation and economic activity. The exchange rate channel underscored the importance of exchange rate stability in managing inflation, particularly in an importdependent economy. Furthermore, the credit channel highlighted the challenges of private sector credit expansion amidst substantial government borrowing, urging a balanced approach. Overall, the study contributes to a better understanding of Sierra Leone's monetary policy transmission channels, emphasizing the positive influence of recent institutional, operational, and legal reforms adopted by the Bank of Sierra Leone. More precisely, it presents the need to strengthen the interest rate, credit and exchange rate channels for more effective policy transmission. A key policy recommendation is for the Bank of Sierra Leone to continue its reform agenda, with a focus on enhancing these channels to better achieve its policy objectives. [ABSTRACT FROM AUTHOR]

The core objective of this article is to explore the viability of uncovered interest parity and to reconnoiter major determinants of domestic interest rates of the Pakistan and China economies. It is imperative to study the interest rate parity that assistances to comprehend that exactly how exchange rate and domestic interest rate influence foreign interest rate of two economies in emerging trends in international trade. The World Development Indicators is main source of data gathering, and it ranges from 1980 to 2023 for the analysis of both models. This study considers two models, Engle–Granger causality has been applied in Model 1, to analyze the uncovered interest parity, and findings indicate that the exchange rate of each country has no effect on the interest rate of the other country. However, Model 2 investigates the main determinants of domestic interest rate and their long-run associations for Pakistan and China. To capture the long-run association, ARDL estimation technique has been deployed, and findings show the long-run relations and co-integration among the policy variables of both countries. In Pakistan, consumer price index and exchange rate hold positive linking with the domestic interest rate; however, output level is adversely correlated. The error correction term is 91%, confirming the rapidity of equilibrium adjustment when a shock occurs. Regarding the Chinese economy, consumer price index and exchange rate have a negative impact on China domestic interest rate. The results of the error correction model indicate an 80% speed of convergence in the long run. This study suggests that improvement in productivity and exchange rate may assist both economies to experience steady exchange rate and interest rate. [ABSTRACT FROM AUTHOR]

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending rates not just on Indian government bonds but also INR-denominated private-market financial instruments, such as swaps and swaptions. [ABSTRACT FROM AUTHOR]

This paper takes stock of the literature on the monetary transmission mechanism in currency boards and analyzes the process of monetary transmission in Bosnia and Herzegovina. The transmission of monetary signals through the economy is based on the automatic adjustment mechanism of the currency board. Three channels of monetary transmission are discussed in this paper: the interest rate channel, the narrow credit channel, and the exchange rate channel. The empirical analysis shows how exogenous monetary shocks are transmitted through different channels and how long it takes for the automatic adjustment mechanism to restore equilibrium in the economy. [ABSTRACT FROM AUTHOR]

This study investigates the factors influencing food inflation in Turkey, employing both endogenous and exogenous models and integrating major literature findings. Utilizing monthly data from February 2007 to November 2023, standardized for analysis, it explores the relationship between food inflation and various determinants through classical and Bayesian methods. The analysis reveals that increases in the real effective exchange rate, money supply (M1), Turkish and Federal Reserve interest rates, and the food and beverage price index contribute to rising food inflation. Conversely, higher oil prices have a statistically significant negative effect on food inflation. The most influential variables, determined by their inclusion probabilities in the model, are the money supply, Federal Reserve interest rate, real effective exchange rate, and Turkish interest rate. These findings underscore their importance in understanding and analyzing changes in Turkey's food inflation. [ABSTRACT FROM AUTHOR]

This study investigates the asymmetric effects of economic policy uncertainty (EPU) on food security in Nigeria, utilizing annual time series data from 1970 to 2021. The study used descriptive statistics, unit root tests, the nonlinear autoregressive distributed lag (NARDL) model and its associated Bounds tests to analyze the data. The analysis reveals that adult population, environmental degradation, exchange rate uncertainty (EXRU), financial deepening, food security (FS), government expenditure in agriculture uncertainty (GEAU), inflation, and interest rate uncertainty (INRU) exhibit positive mean values over the period, with varying degrees of volatility. Cointegration tests indicate a long-term relationship between EPU variables (GEAU, INRU, and EXRU) and food security. The study finds that cumulative positive and negative EPU variables have significant effects on food security in the short run. Specifically, negative GEAU, positive INRU, positive and negative EXRU have significant effects in the short run. In the long run, negative GEAU, positive and negative EXRU have significant effects on food security. Additionally, the research highlights asymmetric effects, showing that the influence of GEAU and EXRU on food security differs in the short- and long-run. The study underscores the importance of increased government expenditure on agriculture, control of exchange rate and interest rate uncertainty, and the reduction in economic policy uncertainty to mitigate risks in the agricultural sector and enhance food security. Recommendations include strategies to stabilize exchange rates to safeguard food supply and overall food security. [ABSTRACT FROM AUTHOR]

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From 1996 to 2016, Brazil faced great fluctuations in both its exchange and interest rates and simultaneously a huge growth of its agriculture has taken place. Examining the literature that deals with the relationships among these three variables (interest rate, exchange rate and agriculture GDP) we verified that monetary and exchange shocks can affect directly and/or indirectly (through relative prices) the agriculture GDP. However, these effects can be coincident or contrary between them. What actually happened in Brazil from 1996 to 2016? This article aimed to access the direct and indirect effects of monetary and exchange rate shocks on Brazil´s agriculture GDP taking into consideration years ranging from 1996 thru 2016. Using quarterly data for the 1996-2016 period, autoregressive vector models (VAR and VEC) were estimated. The exchange rate and monetary shocks were analyzed considering three different interest rate types, namely: the current Brazil´s Federal Funds Rate (Nominal SELIC rate), real interest rate of agricultural loans, and ex-ante real interest rate. We also analyzed the effect of the exchange rate separately on prices paid and on prices received by the agriculture (both make up the relative prices of agriculture) using an ARDL (Distributed Lag Self-Regressive Model) model with monthly data. Our econometric results revealed that both direct and indirect effects of monetary shocks were negative on the agriculture growth while the direct and indirect effects of exchange rate shocks were mutually contradictory themselves on the Brazil´s agriculture GDP. Because of the technical changes that have taken place during the 2000s and the 2010s, which turned some of the most representative crops more dependent on imported inputs, and the hedging behavior that the firms have adopted during the first two decades of the 21st century, which protects them from exchange oscillations, the agricultural sector lost sensitivity to the exchange rate variations in some extent. Regarding policy implications, it could be said that monetary policy can be efficient in the promotion of the agricultural sector, and, in fact, Brazilian government has been doing such through the rural credit subsidized interest rate. Exchange policy, on the other hand, proved to be inefficient in favoring the agriculture, or, in other words, the government can freely exercise exchange policy without regards to harm the agricultural sector. [ABSTRACT FROM AUTHOR]

Macroeconomic indicators are crucial in the transitioning from the use of non-renewable energy (NRE) to renewable energy (RE). This study is an attempt to examine the relationship between RE and foreign exchange rate of the emerging economies, Brazil, China, Indonesia, India, Mexico, Russia and Turkey, the E7 economies. The study employs the dynamic ARDL bounds test approach from 1990 to 2019. The relationship between exchange rate and RE has not been widely done, yet this association is crucial considering the short-term high costs of RE and yet some countries import materials to harness RE, such as solar panels, due to poor technology in such countries. The current study differs from past studies that, it attempts to examine this association, in such a way that, provides a comparative analysis of the seven emerging countries. Past studies considered panel data analysis and single country analysis. The major findings of this study show that, different countries exhibit different links between RE and exchange rate, hence the need for region-specific studies to ensure proper policy making. Generally speaking, this research finds out that, GDP, BOP, real interest rate and RE promotes exchange rate appreciation, while inflation rate causes currency depreciation. Policy recommendations are also given, accordingly. [ABSTRACT FROM AUTHOR]

The recent multidimensional crisis has harmed the global economy because countries are currently integrated. In this study, we examine the spillover effect of the United States (US) interest rate on the output gap of ASEAN+3 countries using the dynamic spatial Durbin model from 2010 to 2020. After controlling for various institutional variables, this analysis further examines the effect of the exchange rate and the COVID-19 pandemic on the output gap. This model captures the spatial interactions and short- and long-term effects of interest rate monetary policies. The findings indicate a negative spillover effect of the US central bank interest rate on ASEAN+3 countries' output gap. The result had significant direct and indirect short-term effects. Additionally, exchange rates negatively affect the output gap. The output gap decreased because of the COVID-19 pandemic. This study is expected to be useful for monetary authorities in developing the best monetary policy for economic recovery. [ABSTRACT FROM AUTHOR]

The UK's economic outlook is positive, with GDP growth forecasted to be 1.1% in 2024 and 2% in 2025. The new government, led by the opposition Labour party, is expected to implement the planned fiscal consolidation, which will have a significant impact on the pace of economic recovery. The Monetary Policy Committee is considering a rate cut in August, with further cuts expected in November. The housing market is expected to have a soft landing, and fiscal policy will tighten, although the impact of the new measures is smaller than the previous government's plans. The government's plans for planning system reform may provide a boost to economic growth. [Extracted from the article]

A growing body of recent literature identifies the exchange rate as an important determinant of demand for money along with income and interest rate, but these studies assume the symmetric effect of exchange rate on demand for money. In contrast, this study argues that the exchange rate can have an asymmetric effect on money demand. Therefore, we estimate the symmetric and asymmetric impact of real effective exchange rate on demand for money from 1974 to 2019 for Pakistan using the symmetric and asymmetric autoregressive distributed lag model (ARDL). The estimated symmetric ARDL model shows insignificant impact of the real effective exchange rate on demand for money while the asymmetric ARDL results show that the impact of currency depreciation on money demand is positive and significant, suggesting substitution effect. Moreover, the stability of the money demand function highlights the role of monetary aggregates in the conduct of monetary policy. [ABSTRACT FROM AUTHOR]

Purpose – The study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia. Design/methodology/approach – This study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach. Findings – The asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997–1998) and the global financial crisis (2008–2009) are found to have a significant impact on the real stock price in some economies. Research limitations/implications – Economic variables are important in the determination of stock prices. Originality/value – It is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price. [ABSTRACT FROM AUTHOR]

This study shows that demand for money is a function not only of interest rate, real exchange rate, and personal consumption but also of fiscal variables like deficit, debt, and foreign-financed debt. It is stable over the short and long run. This study also covers the investigation of policy invariance of money demand, an important issue ignored so far in the existing literature on the demand for money in the United States. It was found that the behavior of agents in the money market changes as the real exchange rate, consumption, and interest rate change. Namely, agents in the money market are forward-looking, and their expectations are formed rationally. This also means that even though the parameters of money demand are stable, according to the stability test results, they can be unstable, as agents adapt their behavior based on any change in the exchange rate, consumption, and/or interest rate. In other words, the contemporaneous real exchange and interest rate variables are not superexogenous in demand for M1, and the contemporaneous consumption is not superexogenous in demand for M2. [ABSTRACT FROM AUTHOR]

Following the breakdown of the Bretton Woods agreement the international monetary system has operated based on floating exchange rate arrangements and free capital mobility. A most significant subsequent improvement has been the process of European monetary integration, from the institution of the European Monetary System to the Euro currency. The relationships between the short-term interest rates of European Union (EU) countries and the United States suggest, that in the post-Bretton Woods period the US dollar has held an important anchor currency role, while EU countries acquired considerable monetary policy independence. Further, the stronger relationships between the short-term interest rates of EU countries and Germany may be viewed as a consequence of monetary unification. The econometric evidence provides important insights for the period following the adoption of the Euro, when European economies have in many instances been subject to heterogeneous shocks. [ABSTRACT FROM AUTHOR]

We use a semiparametric GARCH-in-Mean copula model to examine the volatility dynamics and tail dependence between cryptocurrency markets and financial markets. We do not find any statistically significant tail dependence between the financial and cryptocurrency markets, but we find lower tail dependence between Bitcoin and stock returns. There is lower tail dependence among Bitcoin, Ethereum, and Litecoin, and the lower tail dependence between Ethereum and Litecoin returns is the strongest. The GARCH-in-Mean model shows that the uncertainty effect on cryptocurrency returns is not statistically significant, while uncertainty has a negative and statistically significant effect on Bitcoin returns. The fact that there is no tail dependence between cryptocurrency and the interest rate or the effective exchange rate of U.S. dollar suggests that cryptocurrency could offer safe haven, defined as an asset that is uncorrelated with stocks and bonds. [ABSTRACT FROM AUTHOR]

Sri Lanka's monetary policy has evolved differently during and after a three-decade-long ethnic conflict. This paper empirically investigates effects of monetary policy shocks on Sri Lankan economy with particular focus on the strength of credit and exchange rate channels using a VAR model for 2003–2019 period. We find that: (i) monetary policy shocks have a significant and persistent impact on key macroeconomic variables even though several puzzling results emerge; (ii) the effects of monetary policy shocks are significant and more persistent in the post-conflict period than in the conflict period; (iii) a tight monetary policy effectively contains inflation in the post-conflict period; and (iv) interest rate and exchange rate channels play a dominant role while the credit channel responds with some lags in the post-conflict period. [ABSTRACT FROM AUTHOR]

This paper aims to study the safe haven attribute of the Japanese yen under domestic and U.S. economic and policy uncertainty (EPU). Because of the existence of structural changes, a bootstrap rolling window subsample causality test is used to enhance the credibility of the results. The empirical results confirm that the exchange rate returns (RER) and Japanese EPU are correlated in specific periods when major economic or political events occur. In most crisis periods, the Japanese EPU has positive effects on RER, and the yen appreciates when the EPU is increasing. In addition, the RER of the yen and U.S. EPU are both negatively and positively connected. This finding confirms the hedging function of the yen in certain periods. The reason for this relationship is that Japan's low interest rates make the yen the primary funding currency in speculative carrying trade strategies, and thus, it tends to appreciate during crisis periods regardless of the origins of the EPU shocks. Therefore, the yen can be held as a safe haven currency unless the government intervenes artificially. [ABSTRACT FROM AUTHOR]

Purpose -- This study aims to investigate the influence of macroeconomic factors, including economic growth, inflation, the rupiah exchange rate, and interest rates, as well as corporate financial performance indicators such as leverage and profitability, on the stock returns of Indonesian Property and Real Estate Sub-Sector companies. Method -- The research data consists of annual data obtained from the Indonesia Stock Exchange, the Indonesia Central Bureau of Statistics, and Bank Indonesia for the period from 2017 to 2021. The research population comprises 36 Property and Real Estate companies listed on the Indonesia Stock Exchange. Out of these, 28 companies meet the sample requirements. The analysis employs panel data regression to examine the data. Result -- The results indicate that inflation and exchange rates have a negative and statistically significant impact on stock returns. On the other hand, economic growth, interest rates, return on equity, and the debt-to-equity ratio exhibit a positive influence on stock returns, although these effects are not statistically significant. Contribution -- This study's distinctive contribution is its focused analysis of the Property and Real Estate Sub-Sector in Indonesia. It stands out by exploring the intricate relationship between macroeconomic factors and financial performance variables concerning the stock returns of companies within this sub-sector. This nuanced approach provides valuable insights into a specific industry within the Indonesian market, shedding light on previously unexplored dynamics and contributing to a deeper understanding of how these factors affect stock returns in this context. [ABSTRACT FROM AUTHOR]

Developing nations have the task of effectively managing their external debt. The government is urged to comprehend the decisive component in managing its external debt, despite the varying viewpoints among economists. In addition, the world sees the need for institutional quality to optimize its economic policy. Institutional quality shows accountability, stability, effectiveness, quality, law, and trust. Our research examines the determinant factors of external debt and discusses the policy to manage external debt. We regress the inflation rate, exchange rate, interest rate, trade openness, and institutional quality on external debt. This study also uses moderated regression analysis to examine the interaction between institutional quality and macroeconomic indicators on external debt. We selected 52 samples from five ASEAN developing countries from 2008 to 2019. The first study found that the inflation rate, interest rate, and institutional quality have a negative impact on external debt, while the exchange rate and trade openness have a positive impact on external debt. Next, we were surprised that institutional quality could not moderate the relationship between the inflation rate, exchange rate, and interest rate on external debt. Further, it only moderated the relationship between trade openness and external debt. In the end, we discuss the external debt determinants from the selected ASEAN developing countries with the theories. [ABSTRACT FROM AUTHOR]

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