8,985 results on '"Exchange rates"'
Search Results
2. Dollar Safety and the Global Financial Cycle.
- Author
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Jiang, Zhengyang, Krishnamurthy, Arvind, and Lustig, Hanno
- Subjects
MONETARY policy ,FOREIGN exchange rates ,FINANCIAL statements ,EXPORT marketing ,ASSETS (Accounting) - Abstract
We develop a model of the global financial cycle with one key ingredient: the international demand for safe dollar assets. The model matches patterns of dollar borrowing and currency mismatch, the U.S. external balance sheet, exorbitant privilege, spillovers of the U.S. monetary policy to the rest of the world, and the dollar as a global risk factor. In doing so, we lay out a novel transmission mechanism through which the U.S. monetary policy affects the currency market and the global economy. The global financial cycle is a dollar cycle. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
3. Beyond Co-integration: New Tools for Inference on Co-movements.
- Author
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Abadir, Karim M and Talmain, Gabriel
- Subjects
ABNORMAL returns ,SHARPE ratio ,FOREIGN exchange rates ,FOREIGN exchange market ,ECONOMETRIC models - Abstract
Macroeconomic and aggregate financial series were shown empirically to share an unconventional form of cyclical and persistent dynamics, whose functional form was obtained from the solution of general-equilibrium models with heterogeneous firms. The econometric modeling of equations that link such series requires a new methodology, as existing parametric techniques can cause paradoxical regression results and omit predictabilities. We provide a solution to disentangle the genuine relation between variables (the parameters linking them) from the unconventional dynamics that drive them. As an application, we show that GBP-USD forward premia have no predictive power for excess returns over 1976–2015 (thus solving this forward-premium puzzle) once the unconventional dynamics of spot rates are modeled. Taking advantage of these dynamics, we uncover a trading strategy which consistently outperforms existing ones in the out-of-sample period 2015–2021, delivering almost treble their profits and yielding a Sharpe ratio of 85%. Hence, even in this heavily traded market, the efficient market hypothesis has been failing for over 45 years as persistent profit opportunities remained unexploited because of the unconventional dynamics of the spot rate. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
4. The Influence of Rice Production, Rice Prices, Exchange Value on Rice Imports Islamic Perspective Review.
- Author
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Manik, Febriyani Natari, Harahap, Isnaini, and Rahmani, Noor Ahmadi Bi
- Abstract
Indonesia is an agricultural country where the source of livelihood for most of its population is in the agricultural sector. Indonesia is called an agricultural country because it has abundant natural resources and extensive agricultural land. However, just having a large area of land and getting the title of an agricultural country does not mean that you can produce your own food. The large population is one of the factors that influences Indonesia to import food commodities to meet basic domestic needs. This research aims to determine the influence of rice production, rice prices, exchange rates on rice imports from an Islamic perspective. The research method uses a quantitative approach with the VAR/VECM method. The data collected is secondary data and analyzed using software Eviews 13. The sample for this research is monthly and annual data on rice production, rice prices, exchange rates and rice imports from 2000-2023. The research results show that rice production partially influences rice imports. Rice prices influence rice imports. The exchange rate partially has a significant negative effect on rice imports and rice production, rice prices, the exchange rate partially has a significant negative effect on rice imports. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
5. Analysis of Indian Foreign Exchange Markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) Approach.
- Author
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Datta, Radhika Prosad
- Subjects
POUND sterling ,JAPANESE yen ,FOREIGN exchange market ,U.S. dollar ,PRICES - Abstract
The objectives of this paper are to analyse the presence of multifractality in daily exchange rates of the US dollar (USD), British Pound (GBP), Euro (EUR), and Japanese Yen (JPY) relative to the Indian Rupee (INR) for a specific period (1999–2018) and to investigate the source of the observed multifractality in these exchange rates. The research examines the multifractal spectra of logarithmic returns (daily price changes) for the four currencies. To investigate the origins of this multifractality, we conduct two transformations on the return series: (a) random shuffling of the original time series of logarithmic returns which disrupts any long-range correlations within the data. And (b) application of phase randomisation on the unaltered series which aims to preserve frequency information while altering timing-related characteristics of the data. We then look at the impact of these transformations on the multifractality. Our findings indicate that all four exchange rates exhibit multifractal characteristics in their return series. The source of multifractality differs between currencies: The USD is primarily driven by the "fat tail" of the distribution (extreme fluctuations). For the GBP and EUR, a combination of long-range correlations and fat tails contributed to multifractality. The JPY is mainly influenced by the broad tail of the distribution (more frequent but smaller fluctuations). These results have implications for policymakers and market participants. Based on these findings, policymakers should consider the specific characteristics of each currency when designing risk management strategies or regulatory interventions. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
6. CURRENCY MARKET VOLATILITY DURING THE COVID-19 PANDEMIC.
- Author
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Benko, Mykola, Kononova, Oleksandra, Prokopova, Olena, Kuzmenko, Olena, and Tetiana, Vlasenko
- Subjects
COVID-19 pandemic ,INVESTORS ,STATISTICAL correlation ,ECONOMIC systems ,U.S. dollar ,MARKET volatility - Abstract
The currency market is one of the main markets of the world's modern financial and economic systems. With respect to the availability of information, this market is the most data-rich and public. These two features allow it to be viewed as volatile. This study aims to assess the dependence of the currency market's volatility on the conditions and factors that formed during the COVID-19 pandemic. The research used statistical and correlation analysis and general scientific methods (notably, the abstraction method). The study examined the effects of pandemic events on currency market volatility, revealing a quantitative measure of approximately 2% of reactions in response to global economic and political events. Correlation analysis revealed an insignificant effect of the dollar index on the change in currency market volatility during the COVID-19 pandemic (r = 0.09). The outcomes indicated the impact of the disease factor on currency trading at the 0.8% level (r2 = 0.0081). The research conclusions suggest that the effects of information on the currency market differed during 2015-2019 and deviated in response to various political and economic events. The study highlights that the COVID-19 pandemic and its aftermath did not significantly influence the currency pairs' volatility. In the future, if crisis trends re-emerge, the findings of this study may influence the behavior of investors and participants in currency markets and global trade. This could affect their investment decisions, currency reserve diversification, insurance strategies, and capital migration. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
7. Experimenting with Unconventional Monetary Policy: Quantitative Easing in Emerging Markets During Covid-19.
- Author
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Glebocki Keefe, Helena
- Subjects
FOREIGN investments ,COVID-19 pandemic ,FOREIGN exchange market ,FOREIGN exchange rates ,EMERGING markets ,CAPITAL movements - Abstract
The Covid-19 Global Health Pandemic introduced a number of economic challenges to countries around the world. Notably, most policymakers implemented greater fiscal spending and monetary stimulus. For the first time, 15 emerging market economies experimented quantitative easing. Most were not constrained by the zero-lower-bound condition, and the degree of financial depth, central bank independence, and central bank transparency varied significantly. This research yields three critical findings. First, emerging markets experienced declines in capital flows and depreciation pressure stemming from quantitative easing. Second, quantitative easing in advanced economies had a more sizable and significant effect than domestic policies. Finally, the degree of financial development and central bank independence are key drivers in how quantitative easing impacts exchange rates specifically. More developed financial systems and greater central bank independence correspond to dampening the effect of quantitative easing on exchange rates. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
8. US Dollar Exchange Rate Elasticity of Gold Returns at Different Federal Fund Rate Zones.
- Author
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Herley, Michael D., Orlowski, Lucjan T., and Ritter, Mark A.
- Subjects
INTEREST rates ,GOLD sales & prices ,FEDERAL funds market (U.S.) ,U.S. dollar ,EXCHANGE traded funds - Abstract
We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are state-dependent and asymmetric under different market conditions. State dependency hinges on different short-term interest rate zones. To prove this point, we determine three distinct levels or zones of the effective federal funds rate using SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function of log changes in the nominal broad U.S. dollar exchange rate index for each of the obtained zones. Their relationship is consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also implies that gold is a safe-haven asset against the U.S. dollar exchange rate risk against a broad range of currencies. The substitution is weaker in the low-interest rate zone, more robust in the intermediate zone, and very pronounced in the high zone. We also perform a Markov switching test on the double-log function of gold prices and the exchange rate. The tests show a pronounced inverse relationship, i.e., substitution between assets, at normal market conditions. The relationship becomes significantly positive during episodes of financial distress, indicating complementarity between gold and U.S. dollar assets. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
9. An Econometric Study of the Impact of Exchange Rate Changes on Imports
- Author
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Bourdache Chahrazed, Chabani Amina Yousra, Marouf Djillali, and Hammami Raid Imade Eddine
- Subjects
exchange rates ,imports ,autoregressive x-ray technology ,real exchange rate ,vector autoregression ,algeria ,Sociology (General) ,HM401-1281 ,Economic history and conditions ,HC10-1085 - Abstract
Changes in the exchange rate affect many macroeconomic variables, where the depreciation of the exchange rate leads to the effects of economic activity through the rise in the prices of foreign goods, "imports" for domestic goods, which leads to the reluctance of the decimating Local yen for foreign goods, leading to increased international competitiveness of domestic goods, high export volume and reduced imports, all resulting in improved trade deficits. Among other things, the decline in local currency exchange rates can be accompanied by deflationary effects on the gross domestic product (GDP) through a decline in the purchase of export and import prices, which occurs in developing countries such as Algeria. This analysis, which delves into a crucial aspect of international trade, examined the impact of exchange rate fluctuations on imports in Algeria from 1990 to 2021. The methodology used was the self-slope technique, also known as Vector Autoregression (VAR), which relied on two crucial variables: the real exchange rate, which measures the amount of foreign goods needed to buy one unit of domestic goods. Similar to a market research analyst, it is important to consider the impact of imports at the local level. This includes goods and services sourced from foreign countries to meet domestic market and consumers' demands, especially during ongoing local protests. The analysis has found a negative and non-significant relationship between the real exchange rate and imports at a significance level of 5%, which means that the real exchange rate does not affect Algerian imports, as most Algerian imports are basic food commodities. These intermediate and productive goods cannot be dispensed without a local alternative. Hence, it indicates that fluctuations in exchange rates have no impact on Algerian imports.
- Published
- 2024
- Full Text
- View/download PDF
10. Analyzing the effect of bank performance on stock price returns: empirical evidence from European high-income countries
- Author
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Zefri Yenni, Eliza, Alpon Satrianto, and Akmil Ikhsan
- Subjects
bank performance ,exchange rates ,interest rates ,panel data ,stock price return ,Banking ,HG1501-3550 - Abstract
Banking performance has developed rapidly accompanied by technological advances that can simplify banking services and transactions by adopting a priority scale aimed at identifying dynamically moving stock price returns and exploring banking quality and capacity as a manifestation of well-organized bank performance. This research aims to determine the effect of bank performance on stock price returns in European high-income countries. The analysis of the panel data method using the Common Effect Model (CEM) approach is considered capable of answering the objectives of this research. Research data were obtained from the World Bank and International Monetary Fund for 10 European countries (Denmark, Finland, France, Italy, Norway, Poland, Spain, Sweden, Switzerland and the UK) from 2002 to 2021. The research results prove that return on assets significantly affects stock price returns, while bank deposits to GDP, bank branches per 100,000 adults, and bank Z-score do not significantly affect stock returns. The control variables: exchange rate and interest rates do not significantly affect stock prices. The results of this research provide empirical evidence that bank performance through return on assets tends to have a positive impact on share price returns, which indicates that investors pay attention to this indicator. These findings underline the importance of bank management, and macroeconomic conditions and monetary policy must be considered in a broader context to provide long-term benefits for shareholders through overall market trust mechanisms so that high stock price returns can be achieved.
- Published
- 2024
- Full Text
- View/download PDF
11. Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock.
- Author
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Boehm, Christoph E. and Kroner, T. Niklas
- Subjects
MONETARY policy ,INTEREST rates ,FOREIGN exchange rates ,ASSET management ,MARKET volatility - Abstract
Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock raises stock prices in the U.S. and around the globe, and depreciates the dollar against all major currencies. The non-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong effects on the VIX and other risk-related measures point towards a dominant risk premium channel. We show that the non-yield shock can be related to Fed communications and that its existence has implications for the identification of structural monetary policy shocks. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
12. Exchange Rate Disconnect and the Trade Balance.
- Author
-
Bodenstein, Martin, Cuba-Borda, Pablo, Goernemann, Nils, and Presno, Ignacio
- Subjects
FOREIGN exchange rates ,BALANCE of trade ,BUSINESS cycles ,INTERMEDIATION (Finance) ,RISK sharing - Abstract
We propose a model with costly international financial intermediation that links exchange rate movements to shifts in the demand for domestically produced goods relative to the demand for imported goods (trade rebalancing). Our model is consistent with stylized facts of exchange rate dynamics, including those related to the trade balance, which is typically overlooked in the literature on exchange rate determination. In a quantitative assessment, trade rebalancing explains nearly 50 percent of exchange rate fluctuations over the business cycle, whereas exogenous deviations from the uncovered interest rate parity— the primary source of exchange rate fluctuations in the literature—account for just above 20 percent. Using data on trade flows or the trade balance is key to properly identifying the determinants of the exchange rate. Thus, our model overcomes the sharp dichotomy between the real exchange rate and the macroeconomy embedded in other models of exchange rate determination. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
13. Monetary policy in practice: do central banks respond to movements in exchange rate and credit growth?
- Author
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Le, Hai and Nguyen, Phuong
- Published
- 2024
- Full Text
- View/download PDF
14. Cointegration Analysis of the Interaction Between Changes in the Exchange Rates of the Us Dollar and Azerbaijani Manat With the Turkish Lira
- Author
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N. G. Burjaliyeva
- Subjects
exchange rates ,non-stationary series ,engle-granger cointegration test ,error correction ,johansen test ,Economics as a science ,HB71-74 - Abstract
Purpose of the study. The article scrutinizes the prerequisites for the manifestation of cointegration associations amid the fluctuations in the AZN/TL and USD/TL exchange rates during the initial half of 2023, under the circumstances characterized by the precipitous depreciation of the Turkish lira.Materials and methods. The study employs contemporary econometric methodologies, encompassing the Johansen cointegration test, Granger causality test, vector error correction, and other pertinent approaches.Results. The research dynamically scrutinizes the underlying causes of the Turkish lira’s devaluation, its impact on the economy of the Republic of Azerbaijan, and its influence on the AZN/TL exchange rate. A cointegration model of reciprocal influence was established through the accurate application of econometric tests. The imbalance recovery coefficient was found to be -0.933745, ensuring that the trajectory reverts to its original state in the subsequent moment after deviating from the equilibrium state. In the case of USD/TL the first order differences, this coefficient is -0.242442, albeit statistically insignificant. The interpretation of the established model indicates that the depreciation of the Turkish lira against the dollar does not exert a significant impact on the fluctuations in the AZN/TL exchange rate.Conclusion. The findings of the research indicate that while the USD/TL does exert an influence on the AZN/TL, the devaluation of the Turkish lira does not significantly impact the economy of the Republic of Azerbaijan.
- Published
- 2024
- Full Text
- View/download PDF
15. Monetary policy frameworks since Bretton Woods, across the world and its regions.
- Author
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Cobham, David
- Abstract
The Comprehensive Monetary Policy Framework (CMPF) project, which considers de jure and de facto, domestic (money, inflation) and external (exchange rate), monetary policy targets, has now classified 186 countries/currency areas from 1974 to 2017. This means that it is now possible to track the evolution of monetary policy frameworks across the world and its regions. This paper outlines the methodology of the classification and analyses the trends at global, regional and sub-regional levels. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
16. Pass‐through of shocks into different U.S. prices.
- Author
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Yilmazkuday, Hakan
- Subjects
PRICES ,VECTOR autoregression model ,PRICE regulation ,EXCHANGE rate pass-through ,WHOLESALE prices ,UNITED States economy ,INDEX numbers (Economics) ,FOREIGN exchange rates - Abstract
This article estimates the pass‐through of different shocks into different U.S. prices that are important for policy makers. The investigation is based on a structural vector autoregression model, where quarterly data are used. The empirical results depict oil price pass‐through, exchange rate pass‐through, import‐price pass‐through, and producer price pass‐through into import prices, producer prices, and consumer prices for the U.S. economy. Policy implications suggest that achieving and sustaining consumer price stability highly depend on monitoring the developments in oil prices, followed by import prices and producer prices. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
17. The Monetary Model of Exchange Rate Determination for South Africa.
- Author
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Msomi, Simiso and Ngalawa, Harold
- Subjects
INTEREST rates ,ECONOMIC uncertainty ,MONETARY theory ,PREDICTION theory ,ECONOMIC policy ,FOREIGN exchange rates - Abstract
The disconnect between the exchange rate and its macroeconomic fundamentals has been extensively discussed in the literature. It nonetheless continues to pose theoretical and empirical challenges in the literature. This study examines the relationship between the exchange rate and its fundamentals. This study used the monetary model of exchange rate determination developed in the 1970s. The study used the TAR to estimate the exchange change rate behaviour in response to variations in monetary variables. We found that the exchange rates respond to the interest rate differential, consistent with the predictions of the monetary model of exchange rate determination. Furthermore, in all the regimes, the sizes of coefficients are different, which shows that the exchange rate behaviour is non-linear (asymmetric). While the impact of the interest rate differential in regime 1 and 2 leads to exchange rates appreciating although in regime 2 the results are insignificant, this occurs when the exchange rates fluctuate below 0.87 percentage points. In regime 3, on average, a marginal increase in interest rate deferential leads to an exchange rate depreciation. In some instances, the exchange rates respond to the monetary variables' changes in line with the predictions of the monetary theory of exchange rate determination. An increase in interest rates in some instances leads to an improvement in the value of the exchange rate. However, the conditions are not constant—they vary depending on the state of exchange rate fluctuation. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
18. An Econometric Study of the Impact of Exchange Rate Changes on Imports.
- Author
-
Chahrazed, Bourdache, Yousra, Chabani Amina, Djillali, Marouf, and Eddine, Hammami Raid Imade
- Subjects
BUSINESS cycle accounting ,DEPRECIATION ,CURRENCY exchanges (Domestic) ,IMPORT credit ,INTERNATIONAL trade - Abstract
Changes in the exchange rate affect many macroeconomic variables, where the depreciation of the exchange rate leads to the effects of economic activity through the rise in the prices of foreign goods, "imports" for domestic goods, which leads to the reluctance of the decimating Local yen for foreign goods, leading to increased international competitiveness of domestic goods, high export volume and reduced imports, all resulting in improved trade deficits. Among other things, the decline in local currency exchange rates can be accompanied by deflationary effects on the gross domestic product (GDP) through a decline in the purchase of export and import prices, which occurs in developing countries such as Algeria. This analysis, which delves into a crucial aspect of international trade, examined the impact of exchange rate fluctuations on imports in Algeria from 1990 to 2021. The methodology used was the self-slope technique, also known as Vector Autoregression (VAR), which relied on two crucial variables: the real exchange rate, which measures the amount of foreign goods needed to buy one unit of domestic goods. Similar to a market research analyst, it is important to consider the impact of imports at the local level. This includes goods and services sourced from foreign countries to meet domestic market and consumers' demands, especially during ongoing local protests. The analysis has found a negative and non-significant relationship between the real exchange rate and imports at a significance level of 5%, which means that the real exchange rate does not affect Algerian imports, as most Algerian imports are basic food commodities. These intermediate and productive goods cannot be dispensed without a local alternative. Hence, it indicates that fluctuations in exchange rates have no impact on Algerian imports. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
19. Forecasting exchange rates: An iterated combination constrained predictor approach.
- Author
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Alexandridis, Antonios K., Panopoulou, Ekaterini, and Souropanis, Ioannis
- Subjects
FOREIGN exchange rates ,FORECASTING ,DIMENSION reduction (Statistics) - Abstract
Forecasting exchange rate returns is of great interest to both academics and practitioners. In this study, we forecast daily exchange rate returns of six widely traded currencies using combination and dimensionality reduction methods. We propose a hybrid iterated combination with constrained predictor approach. In addition, we examine the impact of positivity constraints on the forecasting ability of each method. Our results indicate that the proposed hybrid method outperforms the simple linear bivariate method and both the iterated combination and the predictor constrained approaches. Positivity constraints significantly improve the forecasting ability of all methods. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
20. Pengaruh Inflasi, Nilai Tukar dan Tingkat Suku Bunga terhadap Indeks Harga Saham di Lima Negara ASEAN.
- Author
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Tri Maharani, Firga Ayu, Yuliani, Yuliani, Malinda, Shelfi, and Andriana, Isni
- Subjects
STOCK price indexes ,INTEREST rates ,FOREIGN exchange rates ,PRICE inflation ,DATA analysis - Abstract
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- Published
- 2024
- Full Text
- View/download PDF
21. Analisis Faktor-Faktor yang Mempengaruhi Impor Kapas di Indonesia.
- Author
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Yuniandini, Nevira Refli, Imaningsih, Niniek, and Wijaya, Riko Setya
- Abstract
The purpose of this study is to determine and examine if cotton imports into Indonesia are influenced by cotton prices, cotton consumption, cotton production and exchange rate.. This study falls under the category of quantitative research. Data on cotton prices, cotton consumption, cotton production, exchange rate, and cotton imports make up this study population. The study sample consists of yearly data from Indonesia organized into timeseries that are consecutive and span the years 2003 through 2020. The secondary data documentation approach is the data gathering strategy used in this study. The analysis technique used is multiple linear regression analysis which meets the BLUE (Best Linear Unbiased Estimate) assumption. Based on the statistical t test results, the variable Cotton Prices (X1) 3,299 > ttable 2,160, Cotton Consumption (X2) = 6,398 > ttable 2,160, Cotton Production (X3) = 4,324 > ttable 2,160, and that the Exchange Rate (X4) = 3,128 > ttable 2,160 has an effect on Cotton Imports (Y) in Indonesia. The result of statistical testing indicates that H0 is rejected when Fcount > Ftable. The research found that although the four variables Cotton Prices (X1), Cotton Consumption (X2), Cotton Production (X3), and Exchange Rates (X4) had a simultaneous and limited influence on Imports of Cotton (Y), the Cotton Prices (X1) variable had the most impact. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
22. THE EFFECT OF INFLATION, INTEREST RATES AND EXCHANGE RATES ON COMPANY VALUE (CASE STUDY ON REGISTERED BANKING INSTITUTIONS ON THE INDONESIA STOCK EXCHANGE).
- Author
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Hiendrawati, Mas'ud, Arifuddin, Kalsum, Ummy, and Nur, Muh.
- Subjects
- *
STOCK exchanges , *FOREIGN exchange rates , *INTEREST rates , *PRICE inflation , *BANKING industry - Abstract
This research aims to determine the effect of inflation, interest rates and exchange rates on company value using data from the financial reports of companies listed on the Indonesia Stock Exchange for the 2019-2023 period. The type of data used is quantitative data. The data source used is secondary data. The analytical tool used in panel data linear regression is EViews version 10. Simultaneous research results of the variables Inflation, Interest Rates and Exchange Rates have no influence on Company Value. Meanwhile, in partial testing, the variables inflation, interest rates and exchange rates have no effect on company value in banking institutions listed on the Indonesian Stock Exchange for the 2019-2023 period. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
23. Resource Price Interconnections and the Impact of Geopolitical Shocks Using Granger Causality: A Case Study of Ukraine–Russia Unrest.
- Author
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Kostaridou, Eirini, Siatis, Nikolaos, and Zafeiriou, Eleni
- Subjects
PRICES ,GRANGER causality test ,GEOPOLITICS ,TIME series analysis ,FARM produce - Abstract
Political events significantly impact economic indices, including agricultural commodities. While Granger causality is a well-established method for analyzing interdependencies between time series data, its traditional application can be challenging to interpret across multiple periods. This research enhances the Granger causality method to quantify changes in the interlinkages among variables over time, offering a more intuitive framework for analyzing how political events affect economic indices. The proposed method involves conducting Granger causality tests across different periods, forming vectors from the results to capture transitions from Granger-causing to non-Granger-causing variables. These vector amplitudes provide quantitative measures of changes with explanatory power over time. The dataset includes eight variables over a decade, focusing on the following major geopolitical events: the Russian occupation of Crimea in 2014 and the invasion of Ukraine in 2022, with an intermediate "no-shocks" period as the reference. The results show significant changes in the interlinkages among the variables during crisis periods compared to stable periods. This enhanced method provides valuable insights, informing trading strategies and risk management during periods of geopolitical instability. This innovative approach offers a novel tool for market participants to better understand and respond to economic shocks caused by political events. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
24. The Relationship between Inflation and Stock Market Return, An Applied study at Damascus Stock Exchange (DSE) For the period (2010-2020).
- Author
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ALSAYEGH, Carol FARID
- Subjects
PRICE inflation ,STOCK exchanges ,INVESTMENTS ,ECONOMIC development ,FINANCIAL markets - Abstract
The rapid economic developments and successive crises prompted many researchers to search for ways to confront the obstacles facing investment in the financial markets, with the aim of mitigating the impact of economic variables on investment in them. Hence, this study deals with the impact of inflation on financial markets, by studying the impact of inflation on returns Stocks Because stocks are a good hedge against inflation risks, they also provide an important indicator to contribute to making decisions about the optimal diversification of assets. According to results of the analysis, the research concluded that the Inflation rate (M-OM) significant with (RDWX) (0.05) which is equal the significance level of (0.05), since that the correlation coefficient (r) was positive and weak with RDWX (0.212), according to this result we can say that there is a positive and weak relation between Inflation rate (M-O-M) and Stock market return at DSE. [ABSTRACT FROM AUTHOR]
- Published
- 2024
25. Analysis of Indian Foreign Exchange Markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) Approach
- Author
-
Radhika Prosad Datta
- Subjects
Multifractal ,exchange rates ,fluctuation analysis ,long-range correlation ,fat-tailed distributions ,Economics as a science ,HB71-74 - Abstract
The objectives of this paper are to analyse the presence of multifractality in daily exchange rates of the US dollar (USD), British Pound (GBP), Euro (EUR), and Japanese Yen (JPY) relative to the Indian Rupee (INR) for a specific period (1999–2018) and to investigate the source of the observed multifractality in these exchange rates. The research examines the multifractal spectra of logarithmic returns (daily price changes) for the four currencies. To investigate the origins of this multifractality, we conduct two transformations on the return series: (a) random shuffling of the original time series of logarithmic returns which disrupts any long-range correlations within the data. And (b) application of phase randomisation on the unaltered series which aims to preserve frequency information while altering timing-related characteristics of the data. We then look at the impact of these transformations on the multifractality. Our findings indicate that all four exchange rates exhibit multifractal characteristics in their return series. The source of multifractality differs between currencies: The USD is primarily driven by the “fat tail” of the distribution (extreme fluctuations). For the GBP and EUR, a combination of long-range correlations and fat tails contributed to multifractality. The JPY is mainly influenced by the broad tail of the distribution (more frequent but smaller fluctuations). These results have implications for policymakers and market participants. Based on these findings, policymakers should consider the specific characteristics of each currency when designing risk management strategies or regulatory interventions.
- Published
- 2024
- Full Text
- View/download PDF
26. The Impact of Macroeconomic Indicators on Exchange Rates of the Visegrad Group
- Author
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Klacsánová, Kitty, Bohdalová, Mária, Haberer, Nico, Tsounis, Nicholas, editor, and Vlachvei, Aspasia, editor
- Published
- 2024
- Full Text
- View/download PDF
27. The International Monetary System in the (Very) Long Run
- Author
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Eichengreen, Barry, Sussman, Nathan, Diebolt, Claude, editor, and Haupert, Michael, editor
- Published
- 2024
- Full Text
- View/download PDF
28. Analysis of Factors Affecting Indonesia's Foreign Exchange Reserves from 2001 to 2020
- Author
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Shobriyani, M. Wafdan, Setyowati, Eni, Appolloni, Andrea, Series Editor, Caracciolo, Francesco, Series Editor, Ding, Zhuoqi, Series Editor, Gogas, Periklis, Series Editor, Huang, Gordon, Series Editor, Nartea, Gilbert, Series Editor, Ngo, Thanh, Series Editor, Striełkowski, Wadim, Series Editor, Maulana, Huda, editor, Sholahuddin, Muhammad, editor, Anas, Muhammad, editor, and Zulfikar, Zulfikar, editor
- Published
- 2024
- Full Text
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29. Determinants of Macroeconomic Effects on the Stability of Indonesia’s Foreign Exchange Reserve
- Author
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Sa’adah, Nurus, Faridatussalam, Sitti Retno, Appolloni, Andrea, Series Editor, Caracciolo, Francesco, Series Editor, Ding, Zhuoqi, Series Editor, Gogas, Periklis, Series Editor, Huang, Gordon, Series Editor, Nartea, Gilbert, Series Editor, Ngo, Thanh, Series Editor, Striełkowski, Wadim, Series Editor, Maulana, Huda, editor, Sholahuddin, Muhammad, editor, Anas, Muhammad, editor, and Zulfikar, Zulfikar, editor
- Published
- 2024
- Full Text
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30. What keeps stablecoins stable?
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Lyons, Richard K and Viswanath-Natraj, Ganesh
- Subjects
Cryptocurrency ,Stablecoins ,Tether ,Arbitrage ,Exchange rates ,Applied Economics ,Econometrics ,Banking ,Finance and Investment ,Finance - Published
- 2023
31. Essays in monetary economics and international finance
- Author
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Ostry, Daniel and Corsetti, Giancarlo
- Subjects
Monetary Policy ,US Safety ,Exchange Rates ,Convenience Yields ,Disaster Risk ,Firm Heterogeneity - Abstract
The rapid rise of U.S. interest rates over the past year has important implications for firms' borrowing costs and investment decisions, for global financial stability and the U.S. dollar exchange rate, and for investors' pricing of the U.S. safety premium across asset classes. These three themes are, respectively, the subject of the three chapters of this thesis. They are bound together by a focus on the role of (U.S.) monetary policy for financial intermediation and asset pricing. Chapter 1, Firm Financial Conditions and the Transmission of Monetary Policy, is co-authored with Thiago Ferreira and John Rogers. We investigate how a firm's investment response to monetary policy depends on its financial conditions, finding a major role for its excess bond premium (EBP)--the component of its credit spread in excess of default risk. Strikingly, while monetary policy easings compress credit spreads more for firms with higher EBPs--i.e. for firms faced with tighter financial conditions--it is lower-EBP firms that invest more. We rationalize these findings with a model in which lower-EBP firms have flatter marginal benefit curves for capital, reflecting their more-resilient investment prospects. Consistent with our model, we show that the pass-through of monetary policy to aggregate investment depends on the distribution of firm EBPs, which varies over time. Chapters 2 and 3 study different aspects of the relationship between monetary policy and the U.S. dollar's safe-haven status. In Chapter 2, entitled Tails of Foreign Exchange at Risk (FEaR), I investigate this relationship during periods of severe stress in global financial markets (disasters). I first develop a model in which the unwinding of carry trades by speculators and a flight-to-liquidity by hedgers jointly determine exchange rate dynamics in disasters. Reflecting these two forces, the dollar experiences an amplified appreciation against high-interest-rate currencies in disasters, and a dampened depreciation, or even an appreciation, against low-interest-rate ones. I then test these predictions by assessing the relative importance of interest differentials and Treasury liquidity premia for explaining the tails of both the exchange rate distribution and the distribution of speculators' and hedgers' portfolio positions. Overall, my analysis quantifies the extent of, and substantiates a mechanism for, the dollar's safe-haven status in disasters. In Chapter 3, U.S. Risk and Treasury Convenience, which is co-authored with Giancarlo Corsetti, Simon Lloyd and Emile Marin, we investigate whether U.S. monetary policy has eroded the U.S.'s safety premium over time and across asset classes. We first document that, over the past two decades, investors in equity markets revised-up their assessment of U.S. risk relative to other advanced economies, driven by perceptions of greater long-run risk. Analytically, we use a no-arbitrage framework to link U.S. relative long-run risk, which we infer from bond and equity premia, to long-run exchange-rate risk and the convenience (liquidity) premium on long-maturity U.S. Treasuries. Taking theory to the data, we find that an increase in U.S. long-run risk leads to a persistent fall in the long-run convenience of U.S. Treasuries, in line with a (perceived) worsening of U.S. fundamentals. Further, we show that expansionary (unconventional) U.S. monetary policy induces both an increase in U.S. long-run risk and a decrease in the Treasury premium. Overall, our results suggest that the rise and fall, respectively, of U.S. long-run risk and long-maturity Treasury convenience yields over the past 20 years may be two sides of the same coin and may be the consequence of easy U.S. monetary policy.
- Published
- 2023
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32. THE MACROECONOMIC DETERMINANTS OF THE STOCK MARKET RETURNS OF TURKISH MANUFACTURING FIRMS: THE COVID-19 PANDEMIC PERIOD
- Author
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Bilge Canbaloğlu
- Subjects
stock market ,exchange rates ,consumer confidence ,oil prices ,bist ,hisse senedi piyasası ,döviz kuru ,tüketici güveni ,petrol fiyatları ,Social sciences (General) ,H1-99 - Abstract
ABSTRACT: This study explores the impacts of the exchange rate, consumer confidence, oil prices on the stock returns of the Borsa Istanbul (BIST) manufacturing firms for the timeline aftermath of the Covid-19 pandemic (March 2020 – September 2022). As the manufacturing companies comprise the majority of the stock market of the BIST, the composite index of these industrial companies (XUSIN) is selected as the response variable. Implementing the autoregressive distributed lag (ARDL) bounds-testing methodology on the monthly time series data, the cointegration existence is detected among the series. The empirical results also show that oil price is the most significant determinant among these variables affecting manufacturing companies’ returns for the long-run. When considering oil as a vital production input in industries, the decreases in stock prices resulting from oil price rises (i.e. increases in production costs) are inevitable. However, the significant long-run effects of exchange rates and the consumer confidence index on stock returns of this industry cannot be detected for the Covid-19 period. ÖZ: Bu çalışma Borsa Istanbul (BIST) bünyesinde işlem gören imalat sektöründe yer alan şirketlerin hisse senedi getirileri üzerindeki döviz kurunun, tüketici güveninin ve petrol fiyatlarının etkilerini Covid-19 pandemi dönemi ve sonrası (Mart 2020 – Eylül 2022) için araştırmaktadır. İmalat sektöründeki firmalar, BIST hisse senedi piyasasının büyük bir bölümünü oluşturduğu için bu şirketlerin kompozit endeksi olan BISTSINAI endeksi bağımlı değişken olarak seçilmiştir. Gecikmesi dağıtılmış otoregresif (autoregressive distributed lag - ARDL) sınır testi yönteminin aylık zaman serilerine uygulanması ile değişkenler arasında eşbütünleşme ilişkisi tespit edilmiştir. Ampirik bulgular aynı zamanda uzun dönemde petrol fiyatlarının hisse senedi getirileri üzerinde en çok etkiyi yapan değişken olduğuna işaret etmektedir. İmalat sektöründe petrolün en önemli üretim girdilerinden biri olduğu göz önüne alındığında, petrol fiyatlarında oluşan artış dolayısıyla üretim maliyetlerinde meydana gelen artışın hisse senedi fiyatlarını olumsuz yönde etkilemesi kaçınılmaz olmaktadır. Diğer taraftan, bu sektörün hisse senedi getirileri üzerinde döviz kurunun ve tüketici güveninin uzun dönemli ve istatistiksel olarak anlamlı etkileri bulunamamıştır.
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- 2024
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33. Investigating Statistical Features of the FX Bid Ask Series in a Small Economy with a Sizeable Informal Economy
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Elmira Kushta, Erarda Vuka, Dode Prenga, and Ines Dika
- Subjects
exchange rates ,q-gaussian ,autoregressive model ,informal economy. ,Human ecology. Anthropogeography ,GF1-900 ,Meteorology. Climatology ,QC851-999 - Abstract
The assessment of the effect of the informal use of a foreign currency on the corresponding FX rates toward the national currency is a very difficult task, requiring direct calculation and modeling. It comes mostly because of the unknown quantity of foreign money used in the informal sector, but also because of the lack of quantitative calculation models. To overcome this gap and to realize a qualitative description of this effect in a concrete economic environment, we propose herein a comparative analysis between the behavior of two typical FX rate series recorded in the Albanian currency market, the Euro-ALL and USD-ALL, providing that the Euro is used commonly as a national currency substitute in the informal economy and the USD is not. So, we have evidenced that the un-stationarity degree of the Bid and Ask spread distribution for the Euro-ALL FX series is higher than for the corresponding USD-ALL case, but with a lower variance. Those features occurring simultaneously can be explained by assuming that informal use of the Euro acts as an additional perturbation on the FX system, imposing high nonstationary, but at the same time it provides reservoir or source features for the money disbalances, reducing the average fluctuations. Next, the depth of the market measured by the average Bid-Ask Spread has resulted in a smaller price for the Euro currency, indicating a lower cost of the transactions and reinforcing the assumption regarding the distribution’s in-stationarity features. Based on those indicatory findings, we propose to realize indirect evidence for our assumptions by comparing the reproduction of the corresponding distribution using autoregressive models. In this case, we have evidenced that the distribution of the FX Euro-ALL spread can be reproduced better if we include in standard ARCHX (m, n, p) models a term that mimics the informality measure. When applying the same procedure for the USD-ALL spread, the resulting distribution has not matched equally well with the original ones. Those findings have been discussed in the framework of an alternative description of the effect of the informal use of foreign currency in a small economy with a sizeable informal sector, which convene our current system under analysis, but we believe that they can be applicable for similar economic environments. Doi: 10.28991/HEF-2024-05-01-02 Full Text: PDF
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- 2024
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34. Drivers of FDI inflows in Africa: do trade openness, market size, and institutional quality matter?
- Author
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Abdikafi Hassan Abdi, Ibrahim Abdukadir Sheik-Ali, Farhia Hassan Mohamed, and Salman Sh. Adem Mohamoud
- Subjects
FDI ,institutional quality ,domestic investment ,exchange rates ,trade openness ,inflation rates ,Finance ,HG1-9999 ,Economic theory. Demography ,HB1-3840 - Abstract
Foreign direct investment serves as a cornerstone for economic development, particularly in lower- and middle-income countries, where it brings crucial capital, technology, and expertise. Despite institutional challenges in many African nations, there is controversy over the effects of macroeconomic variables and institutional quality on FDI flows within diverse economic landscapes. Given the persistent challenges faced by Africa’s least FDI-receiving countries, it is essential to focus on understanding the specific factors that hinder or promote FDI in these nations. Therefore, this study investigates the impact of macroeconomic stability and institutional quality on attracting foreign capital in 24 African economies from 2004 to 2022. Utilizing the pooled mean group (PMG) method, validated by the fully modified ordinary least squares (FMOLS) cointegration technique, the study findings indicate that GDP per capita and domestic investment positively enhance FDI in the long run. This highlights the importance of economic growth and local investment in attracting foreign investment. Institutional quality has also emerged as a significant long-run determinant of FDI. Additionally, currency depreciation is identified as crucial for sustaining increased FDI inflows in African countries. Conversely, trade openness and high inflation hamper FDI inflows in the long-run. Considering these findings, policymakers should focus on maintaining economic stability, improving governance, balancing trade openness, and stabilizing exchange rates.
- Published
- 2024
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- View/download PDF
35. Exchange rates convergence in ECOWAS: WAMZ and WAEMU analysis on frequency time domains
- Author
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Richard Eshun and George Tweneboah
- Subjects
ECOWAS ,exchange rates ,convergence ,West African monetary zone ,West African economic and monetary union ,wavelet multiple correlation ,Business ,HF5001-6182 ,Management. Industrial management ,HD28-70 - Abstract
This study explores the interdependence of exchange rates between the West African Monetary Zone and the West African Economic and Monetary Union countries using monthly data from 2000 to 2021. Employing wavelet multiple correlation and wavelet multiple cross-correlation by Fernando-Macho, we generally uncovered low degrees of integration between the two blocs at higher frequencies, but the level of integration gradually becomes stronger as it navigates from higher a frequency (lower scale) to a lower frequency (higher scale). This implies that ex-ante convergence of exchange rates is difficult; however, in the long time horizon, exchange rate convergence is possible. Evidence from cross-correlation analysis shows that lead (lag) effects is time-varying and heterogeneous, showing no particular country’s exchange rates as leaders or followers. Different currencies have the potential to lead or lag on varying scales. These results suggest that member states establish a regional surveillance mechanism that can monitor macroeconomic indicators in the region. The effective implementation of this mechanism can aid in identifying macroeconomic imbalances and potential risks to macroeconomic stability and convergence.
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- 2024
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- View/download PDF
36. Relationship among macroeconomic factors and stock prices: cointegration approach from the Indian stock market
- Author
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Sarika Keswani, Veerma Puri, and Rimjhim Jha
- Subjects
Disposable income ,economic growth (GDP) ,exchange rates ,FII ,government policies ,interest rate ,Finance ,HG1-9999 ,Economic theory. Demography ,HB1-3840 - Abstract
The performance of a stock market is intrinsically linked to the broader financial and economic landscape of a country. Stock prices, as integral indicators, not only mirror the financial health and collective economic circumstances of a nation but also serve as crucial barometers of tangible financial activities. This research paper aims to undertake a comprehensive exploration of the intricate relationship between specific macroeconomic determinants and the stock market within the context of India. Moreover, this study conducts an exhaustive analysis to assess the relative significance of these variables and their contributions to the predictive capacity of stock prices. This investigation harnesses a dataset consisting of monthly observations of the chosen macroeconomic variables. The outcomes of the cointegration analysis illuminate a robust and statistically significant long-term association between Indian stock prices and the selected macroeconomic factors. The results of the cointegration test affirm a lasting nexus between stock returns and crucial economic indicators, namely Gross Domestic Product (GDP), disposable income, and the participation of Foreign Institutional Investors (FII) in the market. Furthermore, this study underscores the enduring negative relationship between stock returns and factors, such as interest rates, government policies, exchange rates, and inflation. These findings provide valuable insights into the interplay between the stock market and macroeconomic forces in the Indian context.
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- 2024
- Full Text
- View/download PDF
37. Identifying long-run relationships between the exchange rate, interest rates and stock prices.
- Author
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Wong, Douglas Kai Tim and MacDonald, Ronald
- Subjects
STOCK prices ,INTEREST rates ,FOREIGN exchange rates ,TIME-based pricing - Abstract
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]
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- 2024
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38. تقييم السياسة النقدية للبنك المركزي التركي لخفض التضخم.
- Author
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حبيب سيف عبده محم
- Abstract
Copyright of Journal of Scientific Development for Studies & Research (JSD) is the property of Journal of Scientific Development for Studies & Research (JSD) 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
- 2024
- Full Text
- View/download PDF
39. Pass-through with volatile exchange rates and inflation targeting.
- Author
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Alexius, Annika and Holmberg, Mikaela
- Subjects
EXCHANGE rate pass-through ,DEPRECIATION ,INFLATION targeting ,PRICE inflation ,RUSSIAN invasion of Ukraine, 2022- ,FOREIGN exchange rates - Abstract
As central banks struggle against high inflation in the aftermath of the Covid-19 pandemic and the war in the Ukraine, it is essential to understand the open economy aspects of inflation determination. Using a Bayesian VAR with time-varying parameters and stochastic volatility, we analyze the behavior of pass-through across time and in relation to macroeconomic variables. Pass-through increases with the size of the volatility of the exchange rate and the level, variance and persistence of shocks to domestic prices, which is in line with theory. The persistence of exchange rate shocks is associated with higher pass-through only for observations with low inflation. Furthermore, the effect of inflation persistence on pass-through is much higher for exchange rate appreciations than for depreciations. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
40. Analysts versus the random walk in financial forecasting: evidence from the Czech National Bank's Financial Market Inflation Expectations survey.
- Author
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Kladívko, Kamil and Österholm, Pär
- Subjects
BUSINESS forecasting ,RANDOM walks ,FINANCIAL markets ,STANDARD deviations ,FOREIGN exchange rates ,PRICE inflation ,INTEREST rate swaps - Abstract
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]
- Published
- 2024
- Full Text
- View/download PDF
41. The Impact of the Measure Used to Calculate the Distance between Exchange Rate Time Series on the Topological Structure of the Currency Network.
- Author
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Andrzejak, Joanna, Chmielewski, Leszek J., Landmesser-Rusek, Joanna, and Orłowski, Arkadiusz
- Subjects
- *
PEARSON correlation (Statistics) , *RUSSIAN invasion of Ukraine, 2022- , *FOREIGN exchange rates , *TIME series analysis , *EUCLIDEAN distance , *FOREIGN exchange market , *RANK correlation (Statistics) - Abstract
Structural properties of the currency market were examined with the use of topological networks. Relationships between currencies were analyzed by constructing minimal spanning trees (MSTs). The dissimilarities between time series of currency returns were measured in various ways: by applying Euclidean distance, Pearson's linear correlation coefficient, Spearman's rank correlation coefficient, Kendall's coefficient, partial correlation, dynamic time warping measure, and Kullback–Leibler relative entropy. For the constructed MSTs, their topological characteristics were analyzed and conclusions were drawn regarding the influence of the dissimilarity measure used. It turned out that the strength of most types of correlations was highly dependent on the choice of the numeraire currency, while partial correlations were invariant in this respect. It can be stated that a network built on the basis of partial correlations provides a more adequate illustration of pairwise relationships in the foreign exchange market. The data for quotations of 37 of the most important world currencies and four precious metals in the period from 1 January 2019 to 31 December 2022 were used. The outbreak of the COVID-19 pandemic in 2020 and Russia's invasion of Ukraine in 2022 triggered changes in the topology of the currency network. As a result of these crises, the average distances between tree nodes decreased and the centralization of graphs increased. Our results confirm that currencies are often pegged to other currencies due to countries' geographic locations and economic ties. The detected structures can be useful in descriptions of the currency market, can help in constructing a stable portfolio of the foreign exchange rates, and can be a valuable tool in searching for economic factors influencing specific groups of countries. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
42. Large Spillover Networks of Nonstationary Systems.
- Author
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Chen, Shi and Schienle, Melanie
- Subjects
FOREIGN exchange market ,ECONOMIC systems ,SAMPLE size (Statistics) ,FOREIGN exchange rates - Abstract
This article proposes a vector error correction framework for constructing large consistent spillover networks of nonstationary systems grounded in the network theory of Diebold and Y ilmaz. We aim to provide a tailored methodology for the large nonstationary (macro)economic and financial system application settings avoiding technical and often hard to verify assumptions for general statistical high-dimensional approaches where the dimension can also increase with sample size. To achieve this, we propose an elementwise Lasso-type technique for consistent and numerically efficient model selection of VECM, and relate the resulting forecast error variance decomposition to the network topology representation. We also derive the corresponding asymptotic results for model selection and network estimation under standard assumptions. Moreover, we develop a refinement strategy for efficient estimation and show implications and modifications for general dependent innovations. In a comprehensive simulation study, we show convincing finite sample performance of our technique in all cases of moderate and low dimensions. In an application to a system of FX rates, the proposed method leads to novel insights on the connectedness and spillover effects in the FX market among the OECD countries. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
43. THE IMPACT OF MONEY SUPPLY ON INFLATION: AN EMPIRICAL ANALYSIS OF THE IRAQI ECONOMY.
- Author
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Abu-Alshaeer, Mahmood Jawad, Abbas, Saad Qasim, Jawad, Nibras Wafaa, and Chornomordenko, Dmytro
- Subjects
- *
MONEY supply , *PRICE inflation , *FOREIGN exchange rates , *PRICE regulation , *MONETARY policy - Abstract
This article examines the relationship between inflation and Iraq's currency supply. In order to better inform monetary policy, this research investigates the connection between money supply and inflation. The article aims to provide policymakers with a better understanding of the factors contributing to inflation in Iraq. This research incorporates an econometric analysis of data acquired from the Central Bank of Iraq and other sources. The data covers a period from 2011 to 2022. Inflation and money supply are the focus of the time series regression model shown here. Inflation in Iraq may be linked to the country's money supply, the results suggest. Rapid and immediate responses to changes in the money supply are characteristic of inflation. The research shows additional factors in Iraq's inflation besides government policies and currency rates. The results of this study provide substantial knowledge of the origins of Iraq's inflation. According to the results, regulating the money supply is essential for controlling inflation. The analysis also shows how important it is to have a broader view of inflation and its causes. This information helps build effective methods to stabilise the economy and sustain price stability in Iraq. [ABSTRACT FROM AUTHOR]
- Published
- 2024
44. DETERMINAN INDEKS HARGA SAHAM SYARIAH DI JAKARTA ISLAMIC INDEX (JII) PERIODE 2019-2023.
- Author
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Zulkarnaen, Mohamad Iskandar, Wartoyo, and Sudrajat, Anton
- Abstract
The growth of the Islamic capital market in Indonesia during the period 2019-2023 witnessed rapid expansion in the Indonesian Islamic capital market. Factors such as transparency, ethical business practices, and adherence to Shariah rulings also have significant impacts. Technological advancements and innovations in the financial industry, including within the context of the Islamic capital market, can also be crucial determinants in the movement of the Jakarta Islamic Index (JII). This includes the utilization of fintech, electronic trading platforms, and technology-based financial products. The objective of this research is to determine the short-term and long-term relationships between inflation and the Shariah stock price index on the JII, to identify the short-term and long-term relationships between interest rates and the Shariah stock price index on the JII, and to ascertain the short-term and long-term relationships between exchange rates and the Shariah stock price index on the JII. This research employs a quantitative method, with the research object being secondary data in the form of time series. The research sample consists of 60 observations taken from time series data spanning from 2019 to 2023. The findings of this research are as follows: 1). Inflation in the long term affects the prices of Shariah stocks on the Jakarta Islamic Index. This condition is evidenced in the ECM test with a Probability value of 0.0002 below the level of significance of 0.05. However, in the short term, the inflation variable does not affect the prices of Shariah stocks on the Jakarta Islamic Index. This condition is evidenced in the ECM test with a Probability value of 0.3823, which is greater than the alpha level of 0.05.2). Interest rates in the long term affect the prices of Shariah stocks on the Jakarta Islamic Index. This condition is evidenced in the ECM test with a Probability value of 0.0023 below the level of significance of 0.05. However, in the short term, the interest rate variable does not affect the prices of Shariah stocks on the Jakarta Islamic Index. This condition is evidenced in the ECM test with a Probability value of 0.7889, which is greater than the alpha level of 0.05. 3). Exchange rates, both in the long term and the short term, affect the prices of Shariah stocks on the Jakarta Islamic Index. This condition is evidenced in the ECM test with a Probability value of 0.0000 below the level of significance of 0.05. [ABSTRACT FROM AUTHOR]
- Published
- 2024
45. Exchange rate expectations and exchange rate behaviour in the South African context.
- Author
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Msomi, S. and Ngalawa, H.
- Abstract
The literature maintains that exchange rate movements are largely dependent on expectations formed by economic agents. The study attempts to understand the impact of exchange rate expectations on the behaviour of the exchange rates. We use the Markov Switch Model to estimate the probability of the exchange rates transitioning from regime-to-regime. The study finds that the exchange rate movement is asymmetric to its expectations. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
46. Gold Smuggling in India and Its Effect on the Bullion Industry.
- Author
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Susai, Maria Immanuvel and Daniel, Lazar
- Subjects
SMUGGLING ,GOLD sales & prices ,PRECIOUS metals ,GRANGER causality test ,GOLD ,STOCK price indexes - Abstract
This study strives to examine when and where most of the gold smuggling takes place in India. It further analyses the causal relationship between smuggled gold and other macroeconomic variables. Finally, it analyses how the smuggled gold affects the Indian bullion industry. The data related to gold smuggling has been sourced from the website of the Directorate Revenue Intelligence and analysed using graphs and the Granger causality test. The variables used in the study are the quantity of smuggled gold, exchange rates, the major stock indices in the world, the number of auspicious days in a month, domestic and international gold prices, India's jewellery export, the GDP, customs duty, and the domestic gold supply. The results revealed that most of the gold smuggling takes place on Fridays and mostly occurs in the months of October, November, and December. The states of West Bengal, Delhi, Maharashtra, and Tamil Nadu account for most of the gold smuggling in India. A positive correlation is observed between the smuggled gold, India's gold demand, the number of auspicious days in the month, India's jewellery export, India's GDP, India's domestic gold supply, and stock indices such as SENSEX, FTSE100, DFMGI. Gold smuggling in India is caused by India's gold demand, the level of jewellery export, the GDP, domestic and international gold prices, and India's customs duty. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
47. The Causal Effects of Economic Policy Uncertainty on Changes in Exchange Rates and Volatility: Empirical Evidence from Türkiye.
- Author
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ÇAKAR, Recep
- Abstract
Copyright of Afyon Kocatepe University Journal of Social Sciences / Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi is the property of Afyon Kocatepe University (AKU) Sosyal Bilimler Enstitusu 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
- 2024
- Full Text
- View/download PDF
48. Currency market volatility during the COVID-19 pandemic
- Author
-
Mykola Benko, Oleksandra Kononova, Olena Prokopova, Olena Kuzmenko, and Tetiana Vlasenko
- Subjects
Volatility ,Volatility Index ,Exchange Rates ,Currency Market ,COVID-19 Pandemic ,Business ,HF5001-6182 - Abstract
The currency market is one of the main markets of the world's modern financial and economic systems. With respect to the availability of information, this market is the most data-rich and public. These two features allow it to be viewed as volatile. This study aims to assess the dependence of the currency market's volatility on the conditions and factors that formed during the COVID-19 pandemic. The research used statistical and correlation analysis and general scientific methods. Correlation analysis revealed an insignificant effect of the dollar index on the change in currency market volatility during the COVID-19 pandemic (r = 0.09). The outcomes indicated the impact of the disease factor on currency trading at the 0.8% level (r2 = 0.0081). The research conclusions suggest that the effects of information on the currency market differed during 2015-2019 and deviated in response to various political and economic events. The study highlights that the COVID-19 pandemic and its aftermath did not significantly influence the currency pairs' volatility. In the future, if crisis trends re-emerge, the findings of this study may influence the behavior of investors and participants in global trade. This could affect their investment decisions, currency reserve diversification, insurance strategies, and capital migration.
- Published
- 2024
- Full Text
- View/download PDF
49. The Influence of Foreign Exchange Policy from Export Proceeds, Import Payments, Inflation Rate, and Rupiah Exchange Rate on Foreign Direct Investment in Indonesia
- Author
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Dyka Setyo Prayoga and Didit Purnomo
- Subjects
Foreign Direct Investment ,Exports ,Imports ,Inflation ,Exchange Rates ,Islam ,BP1-253 ,Economics as a science ,HB71-74 - Abstract
Various factors influence foreign direct investment in Indonesia. This study's main objective is to determine the influence of foreign exchange policies resulting from exports, imports, inflation rates, and exchange rates on foreign direct investment (FDI) in Indonesia in 2018-2022. This data was obtained from the Central Statistics Agency, Bank Indonesia, Ministry of Finance and Trade. The analysis technique used in this research is multiple linear regression. Apart from that, a t-test can be carried out to determine the significance of the influence of the independent variable on the dependent variable. The calculation results show that the Export, Import, and Inflation variables in the short term and long term have a positive and significant effect on foreign direct investment in Indonesia, while the exchange rate does not have a positive and significant effect on Foreign Direct Investment. Variables This research is quantitative research using time series financial data from 2018-2022.
- Published
- 2024
- Full Text
- View/download PDF
50. Short-run dynamics and long-run effects of monetary policy on residential property prices in South Africa
- Author
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Mwanyepedza, Robert and Mishi, Syden
- Published
- 2023
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