2,241 results on '"FOREIGN exchange rates"'
Search Results
102. An empirical investigation of determinants & sustainability of public debt in Pakistan.
- Author
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Sundus, Naveed, Samina, and Islam, Tanweer Ul
- Subjects
- *
PUBLIC debts , *SUSTAINABILITY , *RATINGS & rankings of public debts , *INTEREST rates , *FOREIGN exchange rates , *PUBLIC interest , *DETERMINANTS (Mathematics) - Abstract
An assessment of debt dynamics and its sustainability is very important in formalizing prudent and effective macroeconomic policies especially for the economies with weak macroeconomic fundamentals and alarming debt levels. Keeping in view the recent debt escalation in Pakistan, this study aims to explore the important factors that influence the public debt dynamics in case of Pakistan and to evaluate its sustainability. This study applies the debt dynamic approach for empirical assessment of drivers of changing debt levels and analysis of public debt sustainability. Furthermore, ARDL approach is utilized to study the short- and long-run debt dynamics using historic data from 1975 to 2021. This study is distinct from already existing work on debt assessment in Pakistan as it examines both important dimensions of public debt (determinants & stability) by employing the novel dynamic debt modelling approach and using most recent data. The study finds a positive and significant impact of fiscal deficit, exchange rate depreciation and interest rate on public debt in Pakistan. The debt sustainability analysis also reveals the instability of public debt for the entire study period except for few years. The regression results corroborate with the findings from stability analysis, and the main driving forces for increasing the debt burden of the country are found to be the fiscal indiscipline along with the rising cost on account of ER depreciation and higher interest rates. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
103. Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks.
- Author
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Eguren-Martin, Fernando and Sokol, Andrej
- Subjects
- *
QUANTILE regression , *INTEREST rates , *EMERGING markets , *FOREIGN exchange rates , *HARD currencies , *INVESTMENT risk - Abstract
We document how the entire distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging economies. Using quantile regression, we provide a characterisation and ranking of the tail behaviour of a large sample of currencies in response to a tightening of global financial conditions, corroborating (and quantifying) some of the prevailing narratives about safe haven and risky currencies. Compared to most standard approaches, our methodology delivers a more nuanced picture of exchange rate behaviour, allowing for example to make probabilistic statements about the likelihood of observing large swings in returns given the prevailing global financial environment. We also identify macroeconomic fundamentals associated with different tail dynamics: currencies of countries with higher interest rates, low levels of international reserves and large fiscal deficits display more marked increases in the likelihood of large losses in response to a tightening of global financial conditions. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
104. Determinants of liquidity in commercial banks: evidence from the Turkish banking sector.
- Author
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KARAKAŞ, Ahmet and ACAR, Melek
- Subjects
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BANKING industry , *SPREAD (Finance) , *INTEREST rates , *BANK liquidity , *FOREIGN exchange rates - Abstract
Liquidity management has an important place in the asset and liability management of banks. The aim of this study is to empirically investigate the intra-bank and macroeconomic factors that affect liquidity in 20 Turkish commercial banks. Financial data of commercial banks operating in the 2002-2022 period and macroeconomic data for the same period are taken into account. In the panel data analysis where liquidity ratios liquid asset ratio (LAR), acid-test ratio (ATR) and current ratio (CR) were taken as dependent variables, a negative relationship between liquidity ratios and deposits to liabilities ratio (DR), financial asset ratio (FAR), fixed asset ratio (FIXR), economic growth rate (gross domestic products - GDP), central bank interest rate (INT), loans to assets ratio (LR), net interest margin (NIM), non-performing loans ratio (NPL); a positive correlation with liquidity ratios and equity ratio (equities to assets ratio, CAP), inflation rate (INF), natural logarithm of asset size (TA), foreign exchange rate (XR) was found. In the study, no statistically significant relationship was found between foreign exchange liquidity ratio (FXLR) and liquidity ratios. Despite its profitabilityreducing effect, banks need to manage their liquidity sensitively and effectively in order to maintain the trust of customers and market, especially during crisis periods. [ABSTRACT FROM AUTHOR]
- Published
- 2022
105. AN ASSESSMENT OF THE EFFECTIVENESS OF STERILIZATION OF CENTRAL BANK INTERVENTIONS: EMPIRICAL EVIDENCE FROM INDIA.
- Author
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Rishad, Abdul, Gupta, Sanjeev, and Sharma, Akhil
- Subjects
INFLATION targeting ,CENTRAL banking industry ,FOREIGN exchange rates ,INTEREST rates ,MONEY supply ,MONETARY policy ,FOREIGN exchange reserves - Abstract
The active participation of the central bank in exchange rate management has accelerated the growth of foreign exchange reserve in India. The massive reserve stockpiling has substantially contributed to apprehensions about excess liquidity in the domestic economy. The extent to which these concerns are justified depends on the degree to which the central bank is able to mitigate its effects on monetary aggregates. This study is an attempt to assess the magnitude of the sterilization coefficient by using quarterly data from 1996 to 2019. In order to estimate sterilization and offset coefficients, the study employed the two-stage least squares (2SLS) method under the theoretical framework of simultaneous equation modelling. The findings show that the reserve accumulation through central bank interventions puts pressure on money supply. However, the RBI sterilization policy was effective as the central bank was able to sterilize 93 percent of its interventions, while the offset coefficient was 72 percent during the period of study. The low value of the offset coefficient compared to the sterilization coefficient indicates a high degree of monetary policy independence in neutralizing the central bank's purchase interventions. Based on the findings, it can be recommended that policymakers should consider the sustainability of interventions and sterilization operations as the dual policy objectives of independent exchange rate management and monetary policy cannot be achieved in the presence of a high interest rate in an inflation-targeting regime. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
106. The Impact of the Real Interest Rate, the Exchange Rate and Political Stability on Foreign Direct Investment Inflows: A Comparative Analysis of G7 and GCC Countries.
- Author
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Alshubiri, Faris
- Subjects
POLITICAL stability ,POLITICAL risk (Foreign investments) ,FOREIGN investments ,GROUP of Seven countries ,INSTITUTIONAL economics ,INTEREST rates ,FOREIGN exchange rates ,TRANSACTION cost theory of the firm ,MONETARY policy - Abstract
Sustainable financial development plays a vital role in new institutional economics and transaction cost economics. This asserts the important role of interest and exchange rates and political stability as determinants of an economy's institutional quality. The current study aimed to investigate the effects of the real interest rate, the exchange rate and political stability on foreign direct investment (FDI) inflows in G7 and Gulf Cooperation Council (GCC) countries from 2005 to 2019. The panel fully modified least square and panel dynamic least square estimators used in this study revealed a significant positive long-run relationship between the real interest rate and FDI inflows in the G7 and GCC countries. In addition, there was a significant negative long-run relationship between the exchange rate and FDI inflows in the G7 countries; this relationship was insignificant in the GCC countries. There was also a significant negative long-run relationship between political stability and FDI inflows in the GCC countries; this relationship was insignificant in the G7 countries. The panel least square method confirmed the results of the previous two estimators for the real interest rate and FDI inflows in the G7 countries. Based on these findings, to increase FDI inflows, efforts should be made to lower the lending interest rate and enhance capital formation and trade. Furthermore, market forces should be allowed to determine the real interest rate, and monetary policy should focus on developing a systematic exchange rate to promote political stability and the sustainability of foreign investment in developed and developing countries. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
107. Exchange Rates Fluctuations, Economic Factors and Financial Performance Evaluation of Multinational Companies in Nigeria.
- Author
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Osho, Augustine E. and Fagbamila, Olufemi Ayobami
- Subjects
FINANCIAL performance ,ECONOMIC impact ,FOREIGN exchange rates ,INTEREST rates ,FINANCIAL leverage ,BUSINESS cycles - Abstract
This study examined the effect of exchange rate fluctuation economic factors on financial performance of multinational companies in Nigeria, It specifically examined the effect of nominal exchange rate, real exchange rate, interest rate as well as exchange rate fluctuations on the financial performance of listed multinational oil and gas firms in Nigeria performance of deposit money banks in Nigeria. Secondary sources of data was employed to extract useful information from the Audited Annual Reports of the eight (8) oil and gas firms sampled were selected through purposive sampling technique for the investigation for the periods 2006-2020. The measures of exchange rate fluctuation economic factors comprise of foreign exchange rate fluctuation (FXRF), real exchange rate (REER), nominal exchange rate (NOER interest rate spread (INSR), firm's size (FSIZE), financial leverage (FLV) and business risk (BSR) with financial performance, being dependent variable measured by return on asset (ROA). Both descriptive and inferential statistics. Correlation and regression analysis were used to test the hypothesis. Findings revealed that nominal exchange rate and interest spread rate have positive and statistically significant relationships with return on asset (ß=1.395, pvalue 0,000 and 0.017;p-value 0.000) at the level of 5% level of significant while foreign exchange rate fluctuation, real exchange rate, firm size and financial leverage has a negative and statistically significant association with return on asset (ß=-0.0021, p-value=0.000,-8.01;p-value 0.049,-0.00031;p-value 0.038, and -0.00867;p-value|=0.002) respectively at 5% level of significant. The study concluded that exchange rate fluctuation economic factors have strong statistical relationship with the financial performance of listed oil and gas companies in Nigeria. Based on the findings, the researchers recommends that micro-economic factors such as financial leverage, company size, and business risk should be taken into consideration by the management of Nigerian listed oil and gas businesses when mediating on fluctuations in the country's foreign currency rate. To lessen the severity of exchange rate fluctuations, the appropriate authorities should take proper steps to protect the value of the native currency. Furthermore, oil and gas companies should constantly assess the impact of fluctuations in the nominal exchange rate on their income from upstream and downstream oil exploration activities, and implement strategies to mitigate the negative impact of these fluctuations. [ABSTRACT FROM AUTHOR]
- Published
- 2022
108. FINANCIAL AND ECONOMIC INDICATORS: Sensitivity Analysis and Financial Decisions.
- Author
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Gaytán Cortés, Juan
- Subjects
BUSINESS planning ,ECONOMIC indicators ,CORPORATE finance ,INTEREST rates ,FINANCIAL crises ,SENSITIVITY analysis ,DECISION making ,RADIOACTIVE waste disposal ,U.S. dollar ,FOREIGN exchange rates - Published
- 2022
- Full Text
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109. Conceptualising financialisation in developing and emerging economies: the diversity within a unity.
- Author
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Alves, Carolina, Bonizzi, Bruno, Kaltenbrunner, Annina, and Palma, José Gabriel
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CAPITAL movements ,FINANCIALIZATION ,EMERGING markets ,MARKET volatility ,FOREIGN exchange rates ,REAL economy ,INTEREST rates ,BUSINESS cycles - Published
- 2022
- Full Text
- View/download PDF
110. Modelling macroeconomic trilemma and central bank behaviour in Nigeria: a Markov-switching approach.
- Author
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Ayinde, Taofeek Olusola
- Subjects
CENTRAL banking industry ,MACROECONOMIC models ,FOREIGN exchange rates ,DEPRECIATION ,BUSINESS cycles ,INTEREST rates - Abstract
This study investigates macroeconomic trilemma and central bank behaviour in Nigeria. The period of investigation spans the quarterly period of 1981–2017. Upon the data stability condition of Zivot-Andrew unit-root test with structural breaks, the Markov-switching dynamic regression was employed as the technique of analysis. With a validated trilemma hypothesis, the study found that the trilemma constraints hold for the Nigerian economy but at the expense of the autonomy of the monetary authority. Being the policy variable of the Central Bank of Nigeria, the exchange rate was found to follow two regimes of fixed and managed-float regimes. The results also showed that political risk was significantly sensitive to both regimes of exchange rate, while the foreign interest rate and the net export led to exchange rate appreciation under the managed-float regime but depreciation under the fixed regime. The study recommends that the foreign sector be made competitive for proper exchange rate management, while impulses from the political institutions should be put under check. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
111. Bancos públicos e política monetária: teoria e alguns resultados com base em projeções locais dependentes de estado.
- Author
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DE MELO MODENESI, ANDRÉ and PASSOS, NIKOLAS
- Subjects
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GOVERNMENT ownership of banks , *INTEREST rates , *PRIVATE banks , *CAPITAL stock , *CREDIT ratings , *BANKING industry , *MONETARY policy , *FOREIGN exchange rates , *BANK loans , *COST allocation - Abstract
We test the hypothesis that public banks reduce monetary policy power for Brazilian economy, during the 2000-2018 period. Previous studies have shown that companies with access to government driven credit present smaller fall in investment and production after a contractionary monetary policy shock. Nevertheless, these studies are based on microeconomic data and ignore cost-push effects of monetary policy. We employ state dependent local projections (Jordà, 2005) to compare monetary policy power (defined as the sensibility of inflation to changes in basic interest rate) between periods of high credit of public banks and periods of high credit of private banks. We do not find evidence that monetary policy is less powerful in periods of high credit of public banks. Even though periods of high credit of public banks present a lower effect over output, those periods present less persistent price puzzles than periods of high private credit. We conduct several robustness tests to confirm our results. We attribute those results to lower flexibility in interest rates of credit from public banks, what leads to lower transmission in financial costs, lower reduction in capital stock and lower puzzle in exchange rate. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
112. DETERMINANTS OF COCOA EXPORT EARNINGS IN NIGERIA (1980-2019).
- Author
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BUSARI, Ahmed, AKINTUNDE, Olaide, AGBOOLA, Timothy, and JIMOH, Lateef
- Subjects
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COCOA , *NUMERIC databases , *CORPORATE profits , *GROSS domestic product , *FOREIGN exchange rates , *INTEREST rates - Abstract
This study investigated the determinants of cocoa export earnings in Nigeria between 1980 and 2019. Secondary data spanning between 1980 and 2019 were collected from reputable sources such as Food and Agriculture Organisation Statistical Database (FAOSTAT), National Bureau of Statistics (NBS) and Central bank of Nigeria (CBN). Descriptive Statistics, Augment Dickey Fuller Johnson co-integration, and vector error correction (VECM) were the analytical tools employed in the study. Results indicated that variables of the model were stationary after first difference and were co-integrated. VECM results shows that domestic production of cocoa negatively influences cocoa export earnings in the short run, while cocoa output and gross domestic product (GDP) had direct relationship with cocoa export values in the long run, but exchange and interest rates had negative effect on cocoa export values over the study period. It is concluded that domestic production, GDP, exchange and interest rates were the variables determining the cocoa export earnings over the study period. It is recommended that policy reforms on coco production and value chain, flexible exchange and a single digit interest rates would improve cocoa earnings and its contribution to GDP. [ABSTRACT FROM AUTHOR]
- Published
- 2022
113. The Impact of the COVID-19 Pandemic on Economic Growth and Monetary Policy: An Analysis from the DSGE Model in Vietnam.
- Author
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Nguyen, Trung Duc, Le, Anh Hoang, Thalassinos, Eleftherios I., and Trieu, Lanh Kim
- Subjects
ECONOMIC impact of disease ,POLICY analysis ,ECONOMIC expansion ,COVID-19 pandemic ,INTEREST rates ,FOREIGN exchange rates ,MONETARY policy - Abstract
Facing the current complicated situation of the COVID-19 pandemic, in addition to medical efforts on disease prevention and treatment, governments of countries also have to come up with solutions to deal with the negative impacts of the pandemic on the economy. This study aims to provide specific, comprehensive, and scientific estimates of the impact of the COVID-19 pandemic on the Vietnamese economy. By using the Bayesian method to estimate DSGE models, research results show that a shock increase by one standard deviation (about 1.49% increase in the probability of a COVID-19 outbreak) to the Covid status variable immediately reduces the output gap by 0.94%. However, this effect only lasts for one quarter, and the output gap widens again. Meanwhile, refinancing interest rates, inflation, and exchange rate changes also have an immediate decline in response to this shock, but the magnitude of the reduction is relatively small. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
114. Appraising The Fuel Price And Financial Risk Components Effects On Sales In The South African Automotive Industry.
- Author
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Habanabakize, Thomas and Dickason-Koekemoer, Zandri
- Subjects
FINANCIAL risk ,PRICES ,INTEREST rates ,AUTOMOBILE industry ,FOREIGN exchange rates ,AUTOMOBILE sales & prices ,SHORT selling (Securities) - Abstract
The automotive industry is one of the manufacturing sub-sectors that play a vital role in countries' economies. However, this industry is not exempt from the effect of fuel price and financial risk components. This study investigates the effect of fuel price and financial risk components on the South African motor trade sales for the period 2008-2021. The research is built on previous work and research on the linkage between fuel price and country risks. Auto-regression Distributed Lag (ARDL) model was applied to monthly financial data (exchange rate, interest rate), fuel price and motor trade sales. Findings suggested the presence of a long-run relationship among these variables. Findings suggested the presence of a long-run relationship among these variables. It was found that both interest rate and exchange rate have negative impacts on long-run motor trade sales. Nonetheless, the fuel price was found to be statistically insignificant to influence motor-trade sales in the long run. The results also indicated that both interest rate and exchange rate cannot impact motor trade sales in the short run. Based on these results, the study stressed that policies that strengthen and stabilise the South African currency (exchange rate) are imperative to increase sales in the automotive industry and economy in general. Easing and lowering interest rates can also assist in boosting motor trade sales irrespective of the fuel price. The paper uniquely provides the interactions between fuel price, financial risk and sales within the South African automotive industry. It also suggests strategies that can be implemented to improve sales within the aforementioned industry. [ABSTRACT FROM AUTHOR]
- Published
- 2022
115. NEXUS OF AGRICULTURAL CREDIT AND SUSTAINABLE FOOD PRODUCTION IN NIGERIA: APPLICATION OF A MODIFIED REGRESSION MODEL.
- Author
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Shaibu, Ufedo Monday, Umeh, Joseph Chinedu, and Abu, Godwin Anjeinu
- Subjects
COVID-19 pandemic ,FOOD security ,LOANS ,INTEREST rates ,FOREIGN exchange rates ,AGRICULTURAL credit ,FOOD prices - Abstract
It is time for Nigeria to feed Nigerians with the aim of actualizing the United Nation's Sustainable Development Goals in the area of zero hunger (food security). Recent statistics show increasing food insecurity issues; the global COVID 19 pandemic has further worsened the country's food (in)security situation. This study econometrically assessed the nexus of agricultural credit and sustainable food production in Nigeria. Secondary data on variables of interest were gotten from World Development Indicators (WDI) of the World Bank and other relevant bodies. The data were analyzed using Unit Root Test (URT) and the Fully Modified Ordinary Least Square (FMOLS). The study revealed that Agricultural Credit Guarantee Scheme Fund (ACGSF) and loan to agriculture from the commercial banks statistically and positively influenced food security within the study period. Lending interest rate and official exchange rate inversely influenced food security. The study concluded that credit is key to achieving self-sufficiency in food production. The post estimation tests on the models confirmed that policy implications from this study are applicable to improving food security. Proper and efficient policy mix to support agricultural production including provision of credit was recommended. [ABSTRACT FROM AUTHOR]
- Published
- 2022
116. Specifying the Drivers of Terms of Trade in Egypt: Vector Error Correction Model Approach.
- Author
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Shaker, V.
- Subjects
TERMS of trade ,PRICE inflation ,MONETARY policy ,INTEREST rates ,INTERNATIONAL trade ,FISCAL policy ,FOREIGN exchange rates - Abstract
Copyright of Journal of Agricultural Economics & Social Sciences is the property of Egyptian National Agricultural Library (ENAL) 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.)
- Published
- 2022
- Full Text
- View/download PDF
117. New Alternatives in the Face of the End of Globalization.
- Author
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LaRouche, Lyndon H.
- Subjects
INTEREST rates ,MAJORITIES ,SCIENTIFIC method ,STATE power ,FOREIGN exchange rates - Published
- 2023
118. Climate Change and Macro Prices in Nigeria: A Nonlinear Analysis.
- Author
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Foye, Victoria
- Subjects
- *
PRICES , *CLIMATE change , *NONLINEAR analysis , *FOOD prices , *FOREIGN exchange rates , *INTEREST rates - Abstract
The study analyses the impacts of climate change on macro prices (food prices, interest rate, and exchange rate). Secondary data from 1960-2019 are used, and the nonlinear autoregressive distributed lag method is employed accordingly. The results reveal that there is a long-run relationship among the variables employed. In addition, asymmetry only exists between food prices and exchange rate in the short run while it only subsists for all macro prices, except interest rate as a dependent variable, in the long run. Also, the relative effects of climate change on macro prices grade food prices with the highest effect. In fact, the continual need for climate policies in both financial and real sectors to douse the effect of climate change on macro prices cannot be overemphasised. Therefore, this study recommends that the Nigerian government and policymakers should ratify and pursue policy initiatives and strategies based on both negative and positive changes in macro prices. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
119. A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations †.
- Author
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Juselius, Katarina
- Subjects
EXPECTATION (Psychology) ,INTEREST rates ,PRICE inflation ,FOREIGN exchange rates ,COINTEGRATION - Abstract
A theory-consistent CVAR scenario describes a set of testable regularities capturing basic assumptions of the theoretical model. Using this concept, the paper considers a standard model for exchange rate determination with forward-looking expectations and shows that all assumptions about the model's shock structure and steady-state behavior can be formulated as testable hypotheses on common stochastic trends and cointegration. The basic stationarity assumptions of the monetary model failed to obtain empirical support. They were too restrictive to explain the observed long persistent swings in the real exchange rate, the real interest rates, and the inflation and interest rate differentials. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
120. FINANCIAL AND ECONOMIC INDICATORS: Business Analysis and Financial Ratios.
- Author
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Gaytán Cortés, Juan
- Subjects
BUSINESS planning ,RATIO analysis ,ECONOMIC indicators ,FINANCIAL ratios ,INTEREST rates ,BUSINESS failures ,CONSUMER price indexes ,NATIONAL currencies ,FOREIGN exchange rates - Published
- 2022
- Full Text
- View/download PDF
121. Is Inflation Targeting destabilizing? Lessons from Latin America.
- Author
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LIBMAN, EMILIANO
- Subjects
- *
FOREIGN exchange rates , *INTEREST rates , *INFLATION targeting , *EXCHANGE rate pass-through , *ELASTICITY (Economics) , *TAYLOR'S rule , *AGGREGATE demand , *DEPRECIATION - Abstract
This paper argues that several aspects of the productive structure and the macroeconomic policies of Latin American countries, when combined with a Taylor Rule, may produce too much output volatility and a bias towards real exchange rate overvaluation. Relaying on a simple Aggregate Demand – Aggregate Supply model, we show that this is a likely outcome when: a) the real interest rate elasticity of demand is low; b) depreciations have strong contractionary effects; and c) the exchange rate pass-through is relatively large. These conditions imply that depreciations are contractionary and a have a strong effect on inflation. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
122. INVESTIGATION ON THE EFFECTS OF EXTERNAL SHOCKS ON BANGLADESH'S ECONOMY: AN APPLICATION OF THE GVAR MODELLING APPROACH.
- Author
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Bin Kamal, Javed and Hossain, Akhand Akhtar
- Subjects
- *
FOREIGN exchange rates , *FOREIGN exchange , *PRICE inflation , *INTEREST rates ,UNITED States economy - Abstract
This paper uses the global vector autoregressive (GVAR) modelling approach to study (1) the effects of negative output shocks on Bangladesh's following trading partners on Bangladesh's economy: the United States, China, Eurozone, India and Saudi Arabia (2) positive global oil price shocks. To represent Bangladesh's macroeconomics, the GVAR model contains four key macroeconomic variables as endogenous variables. They are (1) real gross domestic product (GDP), (2) real exchange rate, (3) short-term interest rates, and (4) inflation. The specified GVAR model is estimated using quarterly data from 32 countries/regions from 1993Q4 to 2016Q4. The findings of this paper are consistent with theoretical predictions that external shocks can and will be transmitted to an open economy operating under a fixed or managed floating exchange rate system. For example, quantitatively, if the real output of Bangladesh's trading partners' falls by 1%, its output will fall by 0.39%, while the inflation rate of Bangladesh's trading partners' rises by 1%, and Bangladesh's inflation rate will increase by 1.38%. Although the negative output shock of the US economy will not significantly affect the Bangladeshi economy, the negative output shock of the Chinese economy will have a negative and significant effect on the Bangladeshi economy. The negative output shock on the US economy has caused the real exchange rate of Bangladesh's currency to appreciate and raised its short-term interest rate, although it is not statistically significant. Contrarily, a negative output shock to China or other economies devalues the real exchange rate of the Bangladeshi currency, although it is not statistically significant. However, Bangladesh's interest rates have not responded to negative output shocks from its trading partners (except the United States and Saudi Arabia), and they are not statistically significant. One policy implication of Bangladesh's inflation being overly sensitive to external inflation shocks is that Bangladesh can and should make its currency exchange rate more flexible to protect its economy from external price shocks. Unexpectedly, the external oil price shock did not seem to have a significant impact on the Bangladeshi economy. One explanation is that the impact of foreign inflation on Bangladesh's economy may have reflected the impact of oil prices. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
123. How Effective Are Macroprudential Policy Instruments? Evidence from Turkey.
- Author
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Çelik, Mahmut and Oğuş Binatlı, Ayla
- Subjects
FINANCIAL policy ,GLOBAL Financial Crisis, 2008-2009 ,BALANCE of payments ,FOREIGN exchange rates ,INTEREST rates ,AUTOREGRESSIVE models ,FOREIGN exchange reserves - Abstract
This study provides an empirical analysis of the two macroprudential instruments, namely the reserve option mechanism and the interest rate corridor, employed by the Central Bank of the Republic of Turkey in the aftermath of the global financial crisis. A nine-variable structural vector autoregressive model for Turkey is estimated with Bayesian techniques utilising data from October 2010 to May 2018. A set of timing, zero and sign restrictions are imposed to identify the reserve requirement and the interest rate shocks through the bank lending channel. The results reveal that the new policy frame is efficient in curbing the volatility in the exchange rates and in improving the current account balance. While the reserve requirements seem to be more effective on the current account and partly on the exchange rate, the interest rate fares better in controlling the price level. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
124. Relaciones de largo plazo entre la política monetaria, el tipo de cambio y el premio al riesgo en México (2003-2018).
- Author
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Castro Pérez, Judith Jazmín, Aké, Salvador Cruz, and Durán Saldívar, Mario Alejandro
- Subjects
MONETARY policy ,CENTRAL banking industry ,INTEREST rates ,FOREIGN exchange rates ,FINANCIAL risk ,RISK premiums ,INFLATION targeting - Abstract
Copyright of Mexican Journal of Economics & Finance / Revista Mexicana de Economia y Finanzas is the property of Instituto Mexicano de Ejecutivos de Finanzas 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.)
- Published
- 2022
- Full Text
- View/download PDF
125. Is There an Information Channel of Monetary Policy?
- Subjects
MONETARY policy ,FOREIGN exchange rates ,INTEREST rates - Abstract
This document is a summary of two articles published by the Deutsches Institut für Wirtschaftsforschung (DIW). The first article discusses sustainable finance taxonomies and their role in supporting climate action. The authors analyze 26 taxonomies worldwide and find that while they are aligned with environmental policy goals, they often lack dynamic screening approaches and reporting obligations. The second article explores the information channel of monetary policy. By studying interest rates, exchange rates, and other variables, the authors identify three structural monetary policy shocks, with the third shock exhibiting characteristics of a central bank information shock. [Extracted from the article]
- Published
- 2024
126. Is There an Information Channel of Monetary Policy?
- Subjects
MONETARY policy ,FOREIGN exchange rates ,INTEREST rates - Abstract
This document is a summary of two articles published by the Deutsches Institut für Wirtschaftsforschung (DIW). The first article discusses sustainable finance taxonomies and their role in supporting climate action. The authors analyze 26 taxonomies worldwide and find that while they are aligned with environmental policy goals, they often lack dynamic screening approaches and reporting obligations. The second article explores the information channel of monetary policy. By studying interest rates, exchange rates, and other variables, the authors identify three structural monetary policy shocks, with the third shock exhibiting characteristics of a central bank information shock. [Extracted from the article]
- Published
- 2024
127. The Causal Relationship between Trading Volume and Return Volatility with Interest Rate and Exchange Rate as Exogenous Variables.
- Author
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Permanawati, Rahmadani Nur, Witiastuti, Rini Setyo, Nugraha, Mahardika Dandy, and Maharani, Rr. Annisa Tri Safira
- Subjects
SECURITIES trading volume ,MARKET volatility ,PALM oil ,INTEREST rates ,FOREIGN exchange rates - Abstract
Copyright of JDM: Jurnal Dinamika Manajemen is the property of Universitas Negeri Semarang, Fakultas Ekonomi, Jurusan Manajemen 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.)
- Published
- 2022
- Full Text
- View/download PDF
128. THE NOMINAL CONVERGENCE CRITERIA AND ROMANIA'S COMPATIBILITY WITH THE EURO AREA.
- Author
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MEDAR, LUCIAN-ION and CHIRTOC, IRINA-ELENA
- Subjects
EUROZONE ,FOREIGN exchange rates ,PUBLIC finance ,PRICE regulation ,INTEREST rates ,REQUIREMENTS engineering - Abstract
The developments in recent years in Romania regarding price stability, sound public finances, exchange rate stability and the convergence of long-term interest rates have significantly influenced the process of switching to the euro. The convergence criteria to be met by each state wishing to switch to the euro ensure that that state is prepared to adopt the euro and that its accession to the euro area will not cause economic risks for either the Member State or the euro area. ensemble. According to the latest Official Report of the European Union in 2020, Romania does not meet the criteria for joining the euro area. In the current economic situation, strongly influenced by the pandemic, it is obvious that for Romania, the concomitant fulfillment of the Maastricht criteria is more and more difficult to fulfill. The commitments made by the Romanian state to the European Commission, together with the approval of the National Recovery and Resilience Plan, do not guarantee Romania's economic success. In this paper, through an empirical research, we performed an adequate analysis on the EU requirements that Romania must meet in order to meet the commitments made and to achieve the criteria of nominal and real convergence in order to be part of the euro area. [ABSTRACT FROM AUTHOR]
- Published
- 2022
129. Minimizing the variance of the coverage ratio as an approach to optimize the exchange rate risk of Brent futures contracts.
- Author
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Bouchekourte, Mustapha, Rhouas, Sara, and El Hami, Norelislam
- Subjects
- *
FOREIGN exchange rates , *PRICE variance , *PRICE fluctuations , *INTEREST rates , *STOCK price indexes - Abstract
Derivatives markets show that their structure is always characterized by periods of strong price fluctuations. This is true regardless of the underlying asset of the futures contracts considered, whether they are commodities, interest rates, exchange rates, shares, stock market indices, etc. By locking in future prices, the primary objective of these markets is to limit the risks faced by operators. This article proposes a new method of optimizing the coverage ratio by futures contracts to minimize price variance and thus apply this new technique to reduce the risk associated with Brent price volatility for the period from January 2010 to December 2020. The variance minimization model of Ederington's (1979) is the first and most widely used coverage model and the one that dominates the literature on this area which helps to find the optimal coverage ratio, and is also the objective function in our particle assay optimization algorithm in MATLAB and we will better interpret our results with statistical analysis and lastly, we will evaluate the effectiveness of the coverage model. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
130. Política monetária no Brasil em tempos de pandemia.
- Author
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FEIJÓ, CARMEM, CRISTINA ARAÚJO, ELIANE, and CARLOS BRESSER-PEREIRA, LUIZ
- Subjects
- *
PRICE indexes , *PRICES , *MACROECONOMICS , *MARKET prices , *GREAT Recession, 2008-2013 , *PRICE regulation , *FOREIGN exchange rates , *INTEREST rates , *PRICE inflation - Abstract
The paper discusses the determination of inflation in Brazil, especially after the great recession of 2015-2016, to assess the adequacy of manipulating interest rates to control the rise in prices due to permanent cost pressure. The burden of using the interest rate to fight cost inflation is to create a highly conventional level of the real interest rate, which benefits the rentier class in a financialized economy. In the light of the post-Keynesian macroeconomics, a high-interest rate convention keeps the economy with a low growth rate and a low investment rate, which in the case of the Brazilian economy has resulted in a regression in the productive matrix and productivity stagnation, and both contribute to perpetuating cost pressures on prices. The empirical analysis corroborates the discussion about recent inflation having its origin in cost pressures over which the interest rate impact for its control is limited. We complement the empirical analysis by testing the response to the SELIC interest rate of the variables used to explain the fluctuation of market prices and administered prices: commodity price index, exchange rate and activity level. As expected, the impact of an increase in the interest rate appreciates the exchange rate, favouring inflation control and reducing the level of activity but has no impact on the commodity price index. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
131. Örtülü sermaye uygulamasında ortaya çıkabilecek kur farklarının değerlendirilmesi.
- Author
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PEKŞEN, Fatih
- Subjects
- *
INTEREST rates , *FISCAL year , *TAX administration & procedure , *CORPORATE profits , *NATIONAL currencies , *FOREIGN exchange rates - Abstract
There are some tax security measures in the Corporate Tax Law practice in Turkey. One of these tax security institutions, "Thin Capitalization", is regulated in Article 12 of the Corporate Tax Law No. 5520. The aforementioned regulation is based on the principle that the debts borrowed by the institutions from their partners or persons related to the partners, exceeding three times the equity capital of the institution at any time during the accounting period, is not considered as a borrowing, but as a capital that has been put into the institution in disguise. According to this practice, it is not possible to consider the part of the negative exchange rate differences that arise due to the increases in foreign exchange rates, which corresponds to the thin capitalization, as an expense in the determination of corporate earnings, regarding the interests corresponding to the said borrowings, which are accepted as capital, and foreign currency borrowings. In parallel with this, the part of the positive exchange rate differences that arise as a result of the decrease in exchange rates, which corresponds to the thin capitalization, should not be taken into account as foreign exchange profit in determining the corporate income. The purpose of this study is to evaluate the foreign exchange borrowings and exchange differences obtained from partners or related parties in order to meet the financing needs of institutions within the thin capitalization. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
132. THE DYNAMICS OF ALAGOAS'S PUBLIC DEBT AFTER THE FEDERATIVE PACT.
- Author
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Caetano da SILVA, Luciana and Farias SANTOS, Victor Thiago
- Subjects
ECONOMIC indicators ,PUBLIC debts ,PRICE inflation ,ECONOMIC structure ,INTEREST rates ,CONSUMER price indexes ,FOREIGN exchange rates ,SOCIAL structure ,BIBLIOGRAPHIC databases - Abstract
Copyright of Diversitas Journal is the property of Diversitas Journal 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.)
- Published
- 2022
- Full Text
- View/download PDF
133. Los intercambios y el dinero desde una perspectiva liberal.
- Author
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Romero García, Ricardo and Purroy, Jorge Moreno
- Subjects
PRICES ,PURCHASING power ,INTEREST rates ,ECONOMIC history ,FOREIGN exchange rates - Abstract
Copyright of Tiempo y Economía is the property of La Fundacion Universidad de Bogota Jorge Tadeo Lozano 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.)
- Published
- 2022
- Full Text
- View/download PDF
134. Exchange rate movement and stock market performance: An application of the ARDL model.
- Author
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Javangwe, Kudakwashe Zvitarise and Takawira, Oliver
- Subjects
STOCK exchanges ,INTEREST rates ,FISCAL policy ,FOREIGN exchange market ,INVESTORS ,FOREIGN exchange rates ,MONETARY policy - Abstract
The study examines the relationship between the stock market and exchange rate in South Africa for the period from 1980 to 2020. Quarterly data was used employing the Autoregressive Distributed Lag (ARDL) model given the order of integration of the variables. The empirical results revealed that there is a long-term relationship between the variables of interest. The results also revealed that there is a negative relationship between the stock market and exchange rate movement. The results also show that there is a negative relationship between the stock market and the interest rate as well as inflation as measured by CPI. These results imply that innovations in the exchange rate do have an impact on what happens to the stock market. The impact of exchange rates on stock market can be positive in the short run and negative in the long run and so policymakers can use our findings to avoid making unnecessary monetary or fiscal policy decisions. Policy makers may be able to know when to intervene in influencing the markets using monetary or fiscal policies. Investors and portfolio managers can apply the findings of this study to hedge against exchange rate risk, efficiently diversify their portfolios and predict future stock market movements by observing the exchange rate market. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
135. Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach.
- Author
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Sosa, Miriam, Bucio, Christian, and Ortiz, Edgar
- Subjects
FOREIGN exchange rates ,SPREAD (Finance) ,ARTIFICIAL neural networks ,STANDARD & Poor's 500 Index ,LIBOR ,MARKET share ,CREDIT derivatives ,INTEREST rates ,STOCK exchanges ,SHORT selling (Securities) - Abstract
Copyright of Lecturas de Economia is the property of Universidad de Antioquia, Facultad de Ciencias Economicas 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.)
- Published
- 2022
- Full Text
- View/download PDF
136. FINANCIAL AND ECONOMIC INDICATORS: Value at Risk (VaR).
- Author
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Cortés, Juan Gaytán
- Subjects
ECONOMIC indicators ,INTEREST rates ,VALUE at risk ,FOREIGN exchange rates ,FINANCIAL risk ,MICROECONOMICS ,U.S. dollar ,MONTE Carlo method ,CONSUMER price indexes ,NATIONAL currencies - Published
- 2022
- Full Text
- View/download PDF
137. Dynamics of Exchange Rate Fluctuations in Turkey: Evidence from Symmetric and Asymmetric Causality Analysis.
- Author
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Çelik, Ali
- Subjects
CREDIT default swaps ,FOREIGN exchange rates ,SHORT-term debt ,LONG-term debt ,INTEREST rates ,EXTERNAL debts ,CAPITAL investments - Abstract
This study examines the factors affecting exchange rate fluctuations in Turkey by employing the quarterly data from 2008 to 2020. In this context, linear and nonlinear unit root tests were used to determine the stationarity levels of the variables. Then, symmetric and asymmetric causality analysis was preferred to ascertain the relationship between the variables. Symmetric causality analysis results indicated a causality relationship from the exchange rate to the long-term debt stock, from the credit default swap (CDS) to the exchange rate, and from the exchange rate to the uncertainty index. The asymmetric causality analysis showed a causality relationship from positive shocks in the short-term debt stock to negative shocks in the exchange rate. Also, it was proven that there exists a causality relationship from negative shocks in the short-term external debt stock to positive and negative shocks in the exchange rate. Another result demonstrated a causality relationship between positive shocks in the exchange rate to negative shocks in the long-term debt stock. In addition, it was found that negative shocks in net capital investment were the cause of negative shocks in the exchange rate, while it was determined that there was a causality relationship from positive shocks in the net reserves to positive shocks in the exchange rate. In conclusion, the asymmetric causality relationship from positive shocks in CDS to positive shocks in exchange rates was detected. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
138. The Dynamic Impact of FX Interventions on Financial Markets.
- Author
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Menkhoff, Lukas, Rieth, Malte, and Stöhr, Tobias
- Subjects
FINANCIAL markets ,INTEREST rates ,DEVALUATION of currency ,AUTOREGRESSIVE models ,FOREIGN exchange rates ,STOCK-keeping unit - Abstract
Evidence on the effectiveness of foreign exchange (FX) interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact persists for months. The signaling channel dominates the portfolio channel. Moreover, interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
139. Dynamisms of Twin Deficit and Pakistan: Empirical Analysis.
- Author
-
Hassan, Khawar, Baber, Atta Muhammad, Rehman, Muhammad Abdul, Usman, Muhammad, and Mughal, Uzma Arshed
- Subjects
INTEREST rates ,BALANCE of payments ,INVESTMENT policy ,FOREIGN exchange rates ,DEVELOPING countries - Abstract
The problem facing both developed as well as developing countries duringthe present and previous turmoilis twin deficit. So similar to many other developing Pakistan is also facing fiscal deficit as well as current account deficit. This research is carried in Pakistan to test that, whether the phenomena of twin deficits prevail or the Ricardian equivalence hypothesis is accepted in Pakistan. The annual data is used to measure the relationship among these two deficits with help of auto regressive distributed lag model in presence of some policy variables. The stationarity and causality also checked through Augmented Dickey Fuller and multivariate causality test. For estimation of short run coefficients' error correction model is used. The findings of study provide the evidence of positive relationship between current account deficits and acceptedthe hypothesis of twin deficit in Pakistan. The multivariate causality test confirms the bi-directional causality between these deficits. The findings supports the twin deficits hypothesis in Pakistan where reject the Ricardian equivalence hypothesis which suggest no relationship between these two. The government tries to reduce its unproductive expenditures and increase its revenue to decrease the deficit. Some other variables also affect the current account deficit, like exchange rate, interest rate; saving and investment etc. policy changes also affect these two deficits. [ABSTRACT FROM AUTHOR]
- Published
- 2021
140. UK Economic Outlook | UK overview.
- Subjects
ECONOMIC forecasting ,CONSUMPTION (Economics) ,FISCAL policy ,FOREIGN exchange rates ,INTEREST rates ,INFLATION forecasting ,MONETARY policy - Published
- 2022
- Full Text
- View/download PDF
141. Is Exchange Rate Volatility An Important Determinant Of Tax Revenues? Evidence From Turkey.
- Author
-
Koçak, Sinem
- Subjects
INTERNAL revenue ,FOREIGN exchange rates ,INDUSTRIAL production index ,PRICE inflation ,INTEREST rates ,TAX rates - Abstract
Is exchange rate volatility an important determinant of tax revenues? This study seeks, in the light of this question, empirical evidence on the relationship between volatility in exchange rates and tax revenues in the case of Turkey. Monthly data on exchange rate volatility, tax revenues, industrial production index and inflation rate for the period 2006:01-2019:12 are utilized for research purposes. The short-run and longrun dynamics between the variables are analyzed using the Autoregressive Distributed Lag (ARDL) model to shed some light on the macroeconomic determinants of tax revenues, with a new perspective considering exchange rate volatility. The results of the ARDL bounds test show that volatility in the exchange rate has a negative effect on tax revenues in the long-run, but positively in the short-run. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
142. Economic viability of foreign investment in public transport of Pakistan – orange line metro train in focus.
- Author
-
Ali, Yousaf, Rahman, Abdul, Lala, Shamsher, and Sabir, Muhammad
- Subjects
FOREIGN investments ,INTEREST rates ,INTERNAL rate of return ,ECONOMIC change ,FOREIGN exchange rates ,LOAN reimbursement ,REPAYMENTS - Abstract
Pakistan, like other developing countries, is also facing environmental and economic challenges in its transportation sector (especially in public transport). Pakistan is going to get finances for the infrastructure-related projects under the China-Pakistan Economic Corridor (CPEC) initiative. One of the CPEC projects is the Orange Line Metro Train (OLMT). The study employs traditional techniques such as linear trend regression, benefit-cost ratio (BCR) and geometric progression to analyse the economic viability of the project. The results show that with given interest rate and stability in exchange rate the project is economically viable, with a benefit/cost ratio (BCR) of 2.11 and Internal Rate of Return (IRR) equal to 3.07 per cent. Furthermore, the sensitivity analysis is done for possible changes in economic conditions as well as for different interest rates for loan repayments. The study is useful for policymakers interested in the benefit–cost analysis of public transportation projects. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
143. Restriktive US-Handelspolitik wirkt signifikant negativ auf Finanzmärkte.
- Author
-
Boer, Lukas, Menkhoff, Lukas, and Rieth, Malte
- Subjects
INTEREST rates ,COMMERCIAL policy ,STOCK prices ,FOREIGN exchange rates ,HETEROSCEDASTICITY - Abstract
Copyright of Deutsches Institut für Wirtschaftsforschung: DIW-Wochenbericht is the property of DIW Berlin 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.)
- Published
- 2021
- Full Text
- View/download PDF
144. Foreign Currency Power Option Pricing Based on Esscher Transform.
- Author
-
Li, Wenhan, Li, Cuixiang, Liu, Lixia, and Wang, Mengna
- Subjects
FOREIGN exchange rates ,NATIONAL currencies ,INTEREST rates ,POISSON processes ,FOREIGN exchange market ,PROBABILITY measures - Abstract
In this paper, we introduce a dynamic model for the spot foreign exchange rate which is driven by a standard Brownian motion and a stationary compound Poisson process under the domestic real measure. In order to price the derivatives on the foreign exchange rate, we need to find an equivalent probability measure under which the discounted process of the foreign exchange rate by the domestic free interest rate minus the foreign free interest rate is a martingale. The Esscher transform is an efficient technique to find an equivalent martingale measure. Applying the tool of the characteristic function, we derive some Esscher transform parameters with respect to the spot foreign exchange rate. At the same time, we get the corresponding Esscher martingale measure which is the domestic risk-neutral measure Q equivalent to the domestic real measure. Moreover, we reconsider the dynamic process of the spot foreign exchange rate under the measure Q. Furthermore, we hope that the exchange rate fluctuates within a certain range, since too large fluctuation will bring a series of serious problems. In fact, the foreign exchange rate is usually stable in a certain range. Thus, studying the pricing of foreign exchange rate derivatives, we often assume that the foreign exchange rate fluctuates within a certain range. Based on the above work, we combine European option with the power option to propose a new type of the foreign exchange power option whose payoff function is controlled by multiplying an indicative function on the interval of the foreign exchange rate and further obtain the pricing formulas under this model. At last, we utilize the actual market data of the foreign exchange rate of USD/CNY to obtain the value of the foreign exchange power option and investigate the implied volatility. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
145. Constructing Divisia Monetary Aggregates for Singapore.
- Author
-
Barnett, William A. and Nguyen, Van H.
- Subjects
MONEY supply ,INTEREST rates ,CREDIT cards ,FOREIGN exchange rates ,MONETARY policy ,MONETARY theory - Abstract
Since Barnett derived the user cost price of money, the economic theory of monetary services aggregation has been developed and extended into a field of its own with solid foundations in microeconomic theory. Divisia monetary aggregates have repeatedly been shown to be strictly preferable to their simple sum counterparts, which have no competent foundations in microeconomic aggregation or index number theory. However, most central banks in the world, including that of Singapore, the Monetary Authority of Singapore (MAS), still report their monetary aggregates as simple summations. Recent macroeconomic research about Singapore tends to focus on exchange rates as a monetary policy target but ignores the aggregate quantity of money. Is that because quantities of money are irrelevant to economic activity? To examine the role of monetary quantities as potential monetary instruments, indicators, or targets and their relevance to predicting real economic activity in Singapore, this paper applies the user cost of money formula and the recently developed credit-card-augmented Divisia monetary aggregates formula to construct monetary services indexes for Singapore. We produce those state-of-the-art monetary services indexes from Jan 1991 to Mar 2021. We see that Divisia measures behave differently from simple sum measures in the period before the year 2000, while interest rates were high. Credit-card-augmented Divisia monetary services move closely with the conventional Divisia monetary aggregates, since the volume of credit card transactions in Singapore is relatively small compared with other monetary service assets. In future work, we plan to use our data to explore central bank policy in Singapore and to propose improvements in that policy. By making our data available to the public, we encourage others to do the same. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
146. Drivers of Food Prices: New Evidence from Turkey.
- Author
-
Yıldırım, Mustafa Ozan
- Subjects
FOOD prices ,INTEREST rates ,MONEY supply ,PETROLEUM sales & prices ,WHOLESALE prices ,FOREIGN exchange rates - Abstract
This study intends to determine the drivers of high food prices in Turkey by employing the Structural Vector Auto Regression (SVAR) model for the January 2011 and March 2021 periods. The study has used external and domestic factors such as oil prices, world food prices, interest rate, exchange rate, money supply growth rate, producer price in agricultural goods. The findings indicate that all determinants show a significant positive contribution to the explanation of food prices except oil prices. The most substantial explanatory factor of food price is the price inertia shock in food prices. Domestic factors such as producer prices, interest rate, money supply, and exchange rate have also contributed to high food prices, while oil prices and world food prices have not played any substantial role. The results are robust compared to a different SVAR model identified by Cholesky decomposition. It is inferred that both exchange rate and monetary expansion have been quite effective in variations of food price in recent years. Overall, the findings indicate that controlling the food price movements is critical to ensuring overall price stability in the Turkish economy. [ABSTRACT FROM AUTHOR]
- Published
- 2021
147. Distortionary effects of economic crises on policy coordination in Turkey: Threshold GMM approach.
- Author
-
Tetik, Metin and Yıldırım, Mustafa Ozan
- Subjects
FINANCIAL crises ,ECONOMIC policy ,INTEREST rates ,MONETARY policy ,TAYLOR'S rule ,FOREIGN exchange rates ,FISCAL policy - Abstract
This study investigates the interaction between fiscal and monetary policies and how crises affect the coordination between policymakers in Turkey. This study's novelty is that a nonlinear Taylor rule indicating monetary policy response function is estimated based on the Threshold Generalized Method of Moments (Threshold GMM) methodology over the period January 2006--March 2020. The empirical findings reveal that when fiscal policy has an expansionary stage, especially in crises times, the policy interest rate does not react significantly to the inflation gap, output gap and real effective exchange rate gap in expansionary periods. On the contrary the policy interest rate gives statistically important responses to these variables during contractionary fiscal policy periods. Thus, the effectiveness of the Taylor rule appears in a period of contractionary fiscal policy. This situation gives rise to the significant policy implication that the monetary policymaker's success in controlling inflation increases with the contractionary fiscal policy. Finally, it has been observed that effective coordination between monetary and fiscal policies did not occur during crisis periods, but compatible coordination was achieved in other periods. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
148. Determinant of the Exchange rate of the Iraqi dinar: An applied study for the period 1990-2020.
- Author
-
Mhamad, Shanaz Hakim and Tursoy, Turgut
- Subjects
FOREIGN exchange rates ,INTEREST rates ,MONEY supply ,MONETARY policy ,FISCAL policy ,DETERMINANTS (Mathematics) - Abstract
This paper seeks to examine the determinant of the exchange rate of the Iraqi dinar against US dollar. Exchange rate in Iraq has passed through two phases, the first one is adopting fix exchange rate that started from 1990 to 2003 and the other one that comes after is floating exchange rate. This paper is an attempt to examine the determinant of exchange rate in Iraq for the period of 1990 - 2020, by employing ARDL bounds test approach to explore the long-run and short-run relationship between exchange rate, interest rate, money supply and GDP. The results show that there is a short run and significant relationship between exchange rate and interest rate, money supply and GDP. Accordingly, controlling exchange rate needs a mixture of fiscal and monetary policies. The findings shed some new insights for policymakers on dealing with exchange rate in Iraq. [ABSTRACT FROM AUTHOR]
- Published
- 2021
149. The Effect Of Monetary Variable Movement And Export Level To Employment Opportunities In Indonesia.
- Author
-
Soemitra, Andri, Ismal, Rifki, Kamaruddin, Murizal, Irvan, Elanda, Yochi, Muda, Iskandar, and Azhari
- Subjects
JOB vacancies ,FOREIGN exchange rates ,PRIVATE sector ,INDEPENDENT variables ,INTEREST rates - Abstract
This study was purposed to determine the short-term and long-term relationship of monetary variable movement to employment opportunities in Indonesia. The variables used are interest rates, exchange rates, inflation and exports as independent variables, while the employment opportunities as dependent variable. The analysis process used error correction model (ECM). The data used in this study were from 1997 to 2019. The results of the study showed that partially export was the variable that had an influence on employment opportunities in Indonesia. However, simultaneously in the short and long term relationship, all variables affect the employment opportunities in Indonesia. The study of opportunities per business sector is the main interest for further researchers. [ABSTRACT FROM AUTHOR]
- Published
- 2021
150. Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China's stock prices?
- Author
-
Long, Shaobo, Zhang, Mengxue, Li, Keaobo, and Wu, Shuyu
- Subjects
STOCK prices ,FOREIGN exchange rates ,INTEREST rates - Abstract
With the rapid expansion of the RMB exchange rate's floating range, the effects of the RMB exchange rate and global commodity price changes on China's stock prices are likely to increase. This study uses both auto regressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches to explore the symmetric and asymmetric effects of the RMB exchange rate and global commodity prices on China's stock prices. Our findings show that without considering the critical variable of global commodity prices, there is no cointegration relationship between the RMB exchange rate and China's stock prices, and the coefficient of the RMB exchange rate is not statistically significant. However, when we introduce global commodity prices into the NARDL model, the result shows that the RMB exchange rate has a negative effect on China's stock prices, that there indeed exists a long-run cointegration relationship among the RMB exchange rate, global commodity prices, and stock prices in the NARDL model, and that global commodity price changes have an asymmetric effect on China's stock prices in the long run. Specifically, China's stock prices are more sensitive to increases than decreases in global commodity prices. Thus, increases in global commodity prices cause China's stock prices to decline sharply. In contrast, the same magnitude of decline in global commodity prices induces a smaller increase in China's stock prices. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
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