WorldWideScience

Sample records for currency exchange rates

  1. Currency Exchange Rates.

    Science.gov (United States)

    Siler, Carl R.

    This curriculum unit of the Muncie (Indiana) Southside High School is to simulate the dynamics of foreign currency exchange rates from the perspectives of: (1) a major U.S. corporation, ABB Power T & D Company, Inc., of Muncie, Indiana, a manufacturer of large power transformers for the domestic and foreign markets; and (2) individual…

  2. DOES CURRENCY SUBSTITUTION AFFECT EXCHANGE RATE VOLATILITY?

    Directory of Open Access Journals (Sweden)

    Hisao Kumamoto

    2014-10-01

    Full Text Available This study investigates the impacts of the degree of currency substitution on nominal exchange rate volatility in seven countries (Indonesia, the Philippines, the Czech Republic, Hungary, Poland, Argentina, and Peru. We use the Threshold ARCH model to consider the ratchet effect of currency substitution and sample periods in the 2000s, during which time the economies of the sample countries stabilized, while the U.S. dollar and euro depreciated against other major currencies following the recent global financial crisis. The presented empirical analyses show that the degree of currency substitution has significant positive effects on the conditional variance of the depreciation rate of the nominal exchange rate in most sample countries. Moreover, a shock to the depreciation rate of the nominal exchange rate has asymmetric effects on the conditional variance, depending on the sign. One possible explanation for these differential effects is the existence of the ratchet effect of currency substitution.

  3. World currency exchange rate cross-correlations

    Science.gov (United States)

    Droå¼dż, S.; Górski, A. Z.; Kwapień, J.

    2007-08-01

    World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the period December 1998 May 2005. Such a dynamics turns out to predominantly involve one outstanding eigenvalue of the correlation matrix. The magnitude of this eigenvalue depends however crucially on which currency is used as a base currency for the remaining ones. Most prominent it looks from the perspective of a peripheral currency. This largest eigenvalue is seen to systematically decrease and thus the structure of correlations becomes more heterogeneous, when more significant currencies are used as reference. An extreme case in this later respect is the USD in the period considered. Besides providing further insight into subtle nature of complexity, these observations point to a formal procedure that in general can be used for practical purposes of measuring the relative currencies significance on various time horizons.

  4. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets

    OpenAIRE

    Ledenyov, Dimitri O.; Ledenyov, Viktor O.

    2015-01-01

    The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the qua...

  5. Forecasting Foreign Currency Exchange Rates for Air Force Budgeting

    Science.gov (United States)

    2015-03-26

    Corte et al., 2008). Artificial neural networks (self- learning algorithms trained on historical data) show robust exchange rate predictions in midst...original study. Auction theory provides another method of forecasting exchange rates. The international exchange market for currencies acts as an... auction , and the future options on currencies may give insight into forecasting the exchange rate. If there are many traders for the currency, the

  6. 38 CFR 3.32 - Exchange rates for foreign currencies.

    Science.gov (United States)

    2010-07-01

    ... foreign currencies. 3.32 Section 3.32 Pensions, Bonuses, and Veterans' Relief DEPARTMENT OF VETERANS... Exchange rates for foreign currencies. When determining the rates of pension or parents' DIC or the amounts... entitled, income received or expenses paid in a foreign currency shall be converted into U.S....

  7. MODELING THE CURRENCY EXCHANGE RATE. METHODS AND PRINCIPLES

    OpenAIRE

    Suslov, Mark; Tregub, Ilona

    2015-01-01

    Since currency market is strongly and rapidly developing then it becomes more attractive area for investments, but, also, economic conditions force almost everyone be more financially educated and ready for changes in economic conditions. Currency is the money we pay for the goods and services in our country, but some of them are importing to our country or expressed in foreign currency values. Unfortunately, nobody can predict exact exchange rate, but there is a possibility to get ready for ...

  8. Commodity Currencies and the Real Exchange Rate

    OpenAIRE

    Paul Cashin; Luis Felipe Céspedes; Ratna Sahay

    2003-01-01

    This paper examines whether the real exchange rates of commodity-exporting countries and the real prices of their commodity exports move together over time. Using IMF data on the world prices of 44 commodities and national commodity export shares, we construct new monthly indices of national commodity export prices for 58 commodity-exporting countries over 1980-2002. Evidence of a longrun relationship between national real exchange rate and real commodity prices is found for about onethird of...

  9. The Interaction between Technical Currency Trading and Exchange Rate Fluctuations

    OpenAIRE

    Schulmeister, Stephan

    2005-01-01

    This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of exchange-rate trends and not from taking winning positions relatively frequently. I then show that technical models exert an excess demand pressure on currency markets. When these models produce trading signal...

  10. Forecasting of Foreign Currency Exchange Rate Using Neural Network

    Directory of Open Access Journals (Sweden)

    Dr. S. Kumar Chandar

    2015-02-01

    Full Text Available Foreign exchange market is the largest and the most important one in the world. Foreign exchange transaction is the simultaneous selling of one currency and buying of another currency. It is essential for currency trading in the international market. In this paper, we have investigated Artificial Neural Networks based prediction modelling of foreign exchange rates using five different training algorithms. The model was trained using historical data to predict four foreign currency exchange rates against Indian Rupee. The forecasting performance of the proposed system is evaluated by using statistical metric and compared. From the results, it is confirmed that the new approach provided an improve technique to forecast foreign exchange rate. It is also an effective tool and significantly close prediction can be made using simple structure. Among the five models, Levenberg-Marquardt based model outperforms than other models and attains comparable results. It also demonstrates the power of the proposed approach and produces more accurate prediction. In conclusion, the proposed scheme can improve the forecasting performance significantly when measured on three commonly used metrics.

  11. Neural Network Based Forecasting of Foreign Currency Exchange Rates

    Directory of Open Access Journals (Sweden)

    S. Kumar Chandar

    2014-06-01

    Full Text Available The foreign currency exchange market is the highest and most liquid of the financial markets, with an estimated $1 trillion traded every day. Foreign exchange rates are the most important economic indices in the international financial markets. The prediction of them poses many theoretical and experimental challenges. This paper reports empirical proof that a neural network model is applicable to the prediction of foreign exchange rates. The exchange rates between Indian Rupee and four other major currencies, Pound Sterling, US Dollar, Euro and Japanese Yen are forecast by the trained neural networks. The neural network was trained by three different learning algorithms using historical data to find the suitable algorithm for prediction. The forecasting performance of the proposed system is evaluated using three statistical metrics and compared. The results presented here demonstrate that significantly close prediction can be made without extensive knowledge of market data.

  12. Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates

    Science.gov (United States)

    Muniandy, S. V.; Lim, S. C.; Murugan, R.

    2001-12-01

    In this paper, we investigate the fractal scaling behaviors of foreign currency exchange rates with respect to Malaysian currency, Ringgit Malaysia. These time series are examined piecewise before and after the currency control imposed in 1st September 1998 using the monofractal model based on fractional Brownian motion. The global Hurst exponents are determined using the R/ S analysis, the detrended fluctuation analysis and the method of second moment using the correlation coefficients. The limitation of these monofractal analyses is discussed. The usual multifractal analysis reveals that there exists a wide range of Hurst exponents in each of the time series. A new method of modelling the multifractal time series based on multifractional Brownian motion with time-varying Hurst exponents is studied.

  13. Impact of Exchange Rate Fluctuation to the Romanian Foreign Currency Reserve

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    Lavinia Diana Vasile

    2006-10-01

    Full Text Available In this article, we intend to indentify the impact of the currency rate of exchange variation of the two main currencies which represent Romania’s foreign currency reserve and the stress test it submits the latter. Up to the present moment there not established a cause-effect relationship or correlation between the foreign currency exchage rate was variation and the foreign currency reserve. In this respect we used an econometrics model based on cointegration analysis of the three series of data corresponding to the period of time 31.01.1995-31.06.2006 (the EURO exchange rate, the USD exchange rate and the foreign currency reserve.

  14. Currency Allocation of Public External Debt and Synchronization Indicators of Exchange Rate Volatility

    OpenAIRE

    Martin Melecky

    2010-01-01

    This paper uses synchronization indicators of domestic and foreign fundamentals to choose suitable currency allocation of public external debt. The selection of explanatory variables for exchange rate volatility is motivated using a New Keynesian Policy model that predicts that not only traditional optimum currency area (OCA) variables, but also variables considered by the literature on currency preferences, such as money velocity, should be relevant for explaining exchange rate volatility. I...

  15. Testing of currency substitution effect on exchange rate volatility in Serbia

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    Petrović Predrag

    2016-01-01

    Full Text Available Despite numerous different definitions existing in the literature, currency substitution is generally understood as a phenomenon when domestic residents prefer to use foreign currency rather than domestic currency. The main reasons for such phenomenon include high and volatile inflation, strong depreciation of national currency and high interest rate differential in favour of foreign currency. Currency substitution, as a monetary phenomenon, is widely spread in Latin American, Eastern European and some Asian countries. This paper is dedicated to the influence of currency substitution on exchange rate volatility in Serbia. The research included testing of three hypotheses: (i currency substitution positively affects depreciation rate volatility, (ii depreciation rate volatility has stronger responses to the past negative than to the past positive depreciation shocks, and (iii currency substitution positively affects expected depreciation rate. The analysis was implemented for the period 2002:m1-2015:m12 (2004:m1- 2015:m12, applying modified EGARCH-M model. Based on the obtained results, all three hypotheses have been supremely rejected regardless of the manner of quantification of currency substitution.

  16. Some stylised facts about the exchange rate behaviour of Central European currencies

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    Jan Vejmělek

    2016-04-01

    Full Text Available The paper investigates developments of exchange rate time series of Central European currencies and tries to find evidence of some stylised facts. Statistical methods and an econometric approach to the univariate time series modelling of high-frequency data, i.e., daily, are used. The main conclusions are as follows: (1 All the CE nominal exchange time series are not stationary: nevertheless, stationarity of all the return time series was confirmed. (2 Volatility clustering was proven and the GARCH modelling approach was successfully applied, including asymmetric modelling of volatility. (3 The more flexible an exchange rate regime is, the more volatile the respective currency. This is true for both nominal and real exchange rates. While nominal volatility is lower than real volatility in a system of fixed or less flexible exchange rates, the opposite is true for flexible systems: exchange rate volatility is higher in nominal terms than in real terms.

  17. Chaoticity in the time evolution of foreign currency exchange rates in Turkey

    Science.gov (United States)

    Cakar, O.; Aybar, O. O.; Hacinliyan, A. S.; Kusbeyzi, I.

    Tools from chaos theory that have found recent use in analysing financial markets have been applied to the US Dollar and Euro buying and selling rates against the Turkish currency. The reason for choosing the foreign exchange rate in this analysis is the fact that foreign currency is an indicator of not only the globalization of economy but also savings and investment. In order to test the globality assumption and to ascertain the degree of involvement of local conditions in Turkey, the Euro and US dollar exchange rates have been subjected to the same analysis.

  18. THE CHOICE OF THE EXCHANGE RATE REGIMES OF THE EUROPEAN UNION ACCESSION COUNTRIES INFLUENCED BY THE WORLD CURRENCY CONSOLIDATION

    Directory of Open Access Journals (Sweden)

    Marin Frâncu

    2004-05-01

    Full Text Available The pressure of the currency consolidation increased in the years 1990 as the world currency system became obviously too complicated and too costly. There are too many national currencies that generate artificial barriers and avoidable transaction costs, both for the domestic economies and for the world economy. The high costs and great vulnerability of the national currencies determined the financial and economic business of small open economies to move into the major currencies of the world. The world needs fewer national currencies, but does it need fewer central banks too? Or it needs central banks capable to pursuit sound monetary policies? What kind of institutional arrangements and international financial architecture are most suitable for the prospective environment of a greatly reduced multiplicity of currencies? A regional currency consolidation may be a good answer but a regional currency union is a better answer. Though, until membership of the Euro zone, what kind of the exchange rate regime is more suitable for Romania and other European Union accession countries? The hard peg regimes seem not to be a good solution. The best solution lays probable between managed floating regimes and intermediate regimes. This may be because emerging markets have both “fear of floating” and “fear of fixing”. But there is no ideal exchange rate regime”to suit everybody”. Once the exchange rate regime chosen, it evolves in time. So is the case with the exchange rate benchmarks for the national currency.

  19. The impact of currency clause and exchange rate on Serbian economy

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    Popov Đorđe

    2012-01-01

    Full Text Available In nineties Serbia survived the disintegration of the former Yugoslavia, intense UN sanctions, and 1999 78 days of bombing by NATO. This has resulted in a drop in production and hyperinflation. The confidence in the national currency the dinar has been lost. In order to do business in Serbia returned to normal framework the Law on Foreign Exchange imposed the possibility of nomination the loans in foreign currencies. This prompted the business, but it meant a de facto legalization of dual currency system. The logical consequence was the high degree of dollarization. It is important to mention that the dual currency system limited the possibilities of monetary policy of the National Bank of Serbia. Dollarization after the first positive results showed their expected bad sides. Appreciation of the dinar was one of the consequences. The trade deficit and foreign debt grew. Due to the appreciation production rate remained at 40% of its 1989 level, and unemployment has risen to 27%. The benefit of the appreciation had only importers and foreign-owned banks. They take out the capital abroad. Therefore, it is necessary to make changes to the Foreign Exchange Law and abolish foreign currency clause at least for a new loans.

  20. The importance of corporate foreign debt as an alternative to currency derivatives in actual management of exchange rate exposures

    DEFF Research Database (Denmark)

    Aabo, Tom

    This empirical study of the exchange rate exposure management of Danish non-financial firms listed on the Copenhagen Stock Exchange shows that debt denominated in foreign currency ("foreign debt") is a very important alternative to the use of currency derivatives. The results show that the relati...

  1. Does implied volatility of currency futures option imply volatility of exchange rates?

    Science.gov (United States)

    Wang, Alan T.

    2007-02-01

    By investigating currency futures options, this paper provides an alternative economic implication for the result reported by Stein [Overreactions in the options market, Journal of Finance 44 (1989) 1011-1023] that long-maturity options tend to overreact to changes in the implied volatility of short-maturity options. When a GARCH process is assumed for exchange rates, a continuous-time relationship is developed. We provide evidence that implied volatilities may not be the simple average of future expected volatilities. By comparing the term-structure relationship of implied volatilities with the process of the underlying exchange rates, we find that long-maturity options are more consistent with the exchange rates process. In sum, short-maturity options overreact to the dynamics of underlying assets rather than long-maturity options overreacting to short-maturity options.

  2. Currency Substitution and the Fluctuations of Foreign-Exchange Reserves with Credibly Fixed Exchange Rates

    OpenAIRE

    Alberto Giovannini

    1991-01-01

    A fixed-exchange-rate system is characterized by two pillars: monetary policy coordination and foreign exchange reserves. This paper concentrates on the fluctuation of foreign exchange reserves by taking monetary policy coordination as given: the sustainability of the fixed exchange rate regime is insured via a cointegration restriction on the path of money supplies. The paper considers three types of cash-in-advance models of money demand. The first two types are more traditional models wher...

  3. The Effect of Monetary Policy on Exchange Rates During Currency Crises : The Role of Debt, Institutions and Financial Openness

    NARCIS (Netherlands)

    Eijffinger, S.C.W.; Goderis, B.V.G.

    2007-01-01

    This paper examines the effect of monetary policy on the exchange rate during currency crises. Using data for a number of crisis episodes between 1986 and 2004, we find strong evidence that raising the interest rate: (i) has larger adverse balance sheet effects and is therefore less effective in cou

  4. The Effect of Monetary Policy on Exchange Rates during Currency Crises; The Role of Debt, Institutions and Financial Openness

    NARCIS (Netherlands)

    S.C.W. Eijffinger (Sylvester); B. Goderis

    2007-01-01

    textabstractThis paper examines the effect of monetary policy on the exchange rate during currency crises. Using data for a number of crisis episodes between 1986 and 2004, we find strong evidence that raising the interest rate: (i) has larger adverse balance sheet effects and is therefore less effe

  5. The Effect of Monetary Policy on Exchange Rates During Currency Crises : The Role of Debt, Institutions and Financial Openness

    NARCIS (Netherlands)

    Eijffinger, S.C.W.; Goderis, B.V.G.

    2007-01-01

    This paper examines the effect of monetary policy on the exchange rate during currency crises. Using data for a number of crisis episodes between 1986 and 2004, we find strong evidence that raising the interest rate: (i) has larger adverse balance sheet effects and is therefore less effective in

  6. The importance of corporate foreign debt as an alternative to currency derivatives in actual management of exchange rate exposures

    DEFF Research Database (Denmark)

    Aabo, Tom

    This empirical study of the exchange rate exposure management of Danish non-financial firms listed on the Copenhagen Stock Exchange shows that debt denominated in foreign currency ("foreign debt") is a very important alternative to the use of currency derivatives. The results show that the relative...... importance of foreign debt is positively related to (1) the extent of foreign subsidiaries, (2) the relative value of assets in place, (3) the size of the firm, and (4) the debt ratio. The pivotal role of time horizon is emphasized. These findings are important to firms in other countries with open economies....

  7. Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies

    NARCIS (Netherlands)

    D.E. Allen (David); M.J. McAleer (Michael); S. Peiris (Shelton); A.K. Singh (Abhay)

    2015-01-01

    textabstractThis paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non- linear models, including smooth transition regression models

  8. Currency Risk Management under Floating Rates

    Directory of Open Access Journals (Sweden)

    Nicu Duret

    2016-09-01

    Full Text Available As for the research into this subject, we find, therefore, that one of the most important indicators that quantify the international competitiveness is the exchange rate, together with other fundamental macroeconomic variables such as the size of the potential GDP, the equilibrium real exchange rate, gives a certain insight into the functioning of the fundamental macroeconomic mechanisms and their regulation. Commercial and financial operations imply relationships between partners from different currency countries or areas that involve conversion operations, of replacement of a currency to another. Exchange rate fluctuations of one currency create currency risk, to the extent that it is used to carry out international transactions. These operations are subjected to currency risk as exchange rates change frequently from one period to another and, on the other hand, speculations in the forex market influence the exchange rate by the interventions of those who perform them.

  9. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies

    Directory of Open Access Journals (Sweden)

    David E. Allen

    2016-03-01

    Full Text Available This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models, nonlinear autoregressive models, and additive nonlinear autoregressive models, plus Neural Network models. The models are evaluated on the basis of error metrics for twenty day out-of-sample forecasts using the mean average percentage errors (MAPE. The results suggest that there is no dominating class of time series models, and the different currency pairs relationships with the US dollar are captured best by neural net regression models, over the ten year sample of daily exchange rate returns data, from August 2005 to August 2015.

  10. Exchange Rate Expectations, Currency Crises, and the Pricing of American Depositary Receipts

    OpenAIRE

    Eichler, Stefan

    2012-01-01

    I.1 Motivation Exchange rates are a key issue in international economics and politics. While the determinants of exchange rates have been extensively studied in previous works, this dissertation contributes to the literature by deriving exchange rate expectations from stock market (ADR) data and analyzing their determinants. This exercise is done for three cases where one has to resort to exchange rate expectations since the national exchange rate is either manipulated by the central bank...

  11. EXCHANGE RATE VS. INTEREST RATE: HOW MUCH DOES UIP WORK FOR ROMANIA? (STUDY CASE ON THE EUR/RON CURRENCY

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    Haulica Dana

    2015-07-01

    Full Text Available This paper is part of a larger research that aims to analyze the deviation between the Real Exchange Rate and the Equilibrium Exchange Rate in Romania (EUR/RON currency and to come up with conclusions regarding this deviation and with solutions to minimize it, if the case. Because this is the most important discussion after having the empirical results: what do emergent markets like Romania need to do to keep up with the EU trend? Which are the concessions they have to make in order to maintain a sustainable growth? Do these concessions include breaking the present equilibrium for a future BETTER? Starting with the most well-known methods to calculate the Equilibrium Exchange Rate, this article`s purpose is to create an accurate overview on the UIP model in Romania (the interest rate differential, to verify, using the latest data if the economic environment has brought any changes on the results of this model in the latest years. Is the UIP model a trustworthy equation to establish the Equilibrium Exchange Rate? In order to verify if the UIP model was more reliable in returning a value for the Equilibrium Exchange rate in the latest years on the Romanian market, this paper presents an empirical study containing recent compiled data from the last 10 years, analyzing the 2005 – 2014 period. The NEW in this article is that the used data is very fresh, currently, most probably the only study that verifies the UIP model in Romania for this specific period of time. Why is it useful? Why is it important? Because it doesn`t only bring a confirmation of weather the UIP works for Romania or not but comes up with hints and conclusions regarding the current economic situation of Romania. We can see what has been changed in the local market in the last ten years in terms of monetary policy and what has this change brought with it – if the results are those expected or not and also, what would be the direction for the next years – to most suitable

  12. THE EVOLUTION OF CURRENCY RELATIONS IN THE LIGHT OF MAJOR EXCHANGE RATE ADJUSTMENT THEORIES

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    Sergiy TKACH

    2014-07-01

    Full Text Available This paper examines the impact of major exchange rate adjustment theories on the global monetary system. The reasons of the previous organization forms of monetary relations collapse at the global level are defined. The main achievements and failures of major exchange rate theories are described.

  13. Forecasting of currency exchange rates using an adaptive ARMA model with differential evolution based training

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    Minakhi Rout

    2014-01-01

    Full Text Available To alleviate the limitations of statistical based methods of forecasting of exchange rates, soft and evolutionary computing based techniques have been introduced in the literature. To further the research in this direction this paper proposes a simple but promising hybrid prediction model by suitably combining an adaptive autoregressive moving average (ARMA architecture and differential evolution (DE based training of its feed-forward and feed-back parameters. Simple statistical features are extracted for each exchange rate using a sliding window of past data and are employed as input to the prediction model for training its internal coefficients using DE optimization strategy. The prediction efficiency is validated using past exchange rates not used for training purpose. Simulation results using real life data are presented for three different exchange rates for one–fifteen months’ ahead predictions. The results of the developed model are compared with other four competitive methods such as ARMA-particle swarm optimization (PSO, ARMA-cat swarm optimization (CSO, ARMA-bacterial foraging optimization (BFO and ARMA-forward backward least mean square (FBLMS. The derivative based ARMA-FBLMS forecasting model exhibits worst prediction performance of the exchange rates. Comparisons of different performance measures including the training time of the all three evolutionary computing based models demonstrate that the proposed ARMA-DE exchange rate prediction model possesses superior short and long range prediction potentiality compared to others.

  14. Forecasting of magnitude and duration of currency crises based on the analysis of distortions of fractal scaling in exchange rate fluctuations

    Science.gov (United States)

    Uritskaya, Olga Y.

    2005-05-01

    Results of fractal stability analysis of daily exchange rate fluctuations of more than 30 floating currencies for a 10-year period are presented. It is shown for the first time that small- and large-scale dynamical instabilities of national monetary systems correlate with deviations of the detrended fluctuation analysis (DFA) exponent from the value 1.5 predicted by the efficient market hypothesis. The observed dependence is used for classification of long-term stability of floating exchange rates as well as for revealing various forms of distortion of stable currency dynamics prior to large-scale crises. A normal range of DFA exponents consistent with crisis-free long-term exchange rate fluctuations is determined, and several typical scenarios of unstable currency dynamics with DFA exponents fluctuating beyond the normal range are identified. It is shown that monetary crashes are usually preceded by prolonged periods of abnormal (decreased or increased) DFA exponent, with the after-crash exponent tending to the value 1.5 indicating a more reliable exchange rate dynamics. Statistically significant regression relations (R=0.99, p<0.01) between duration and magnitude of currency crises and the degree of distortion of monofractal patterns of exchange rate dynamics are found. It is demonstrated that the parameters of these relations characterizing small- and large-scale crises are nearly equal, which implies a common instability mechanism underlying these events. The obtained dependences have been used as a basic ingredient of a forecasting technique which provided correct in-sample predictions of monetary crisis magnitude and duration over various time scales. The developed technique can be recommended for real-time monitoring of dynamical stability of floating exchange rate systems and creating advanced early-warning-system models for currency crisis prevention.

  15. Tassi di cambio fluttuanti, deprezzamento valutario e domanda effettiva (Floating exchange rates, currency depreciation and actual demand

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    Julio López

    2012-04-01

    Full Text Available Il presente articolo esamina i vantaggi relativi dei tassi di cambio fluttuanti nei confronti di un regime di tassi di cambio a parità rigidamente ancorate (hard peg, ponendo particolare enfasi sulle implicazioni per la domanda effettiva. In particolare, esso valuta se un deprezzamento della valuta abbia un effetto benefico sulla domanda aggregata e dunque sull’occupazione. Si sostiene che tale questione è centrale per il principio della domanda effettiva, e che l’idea che un deprezzamento valutario sia in grado di stabilizzare la domanda effettiva, equivale in larga misura a sostenere che la flessibilità (verso il basso dei salari nominali (e reali possa assicurare la piena occupazione. Coerentemente con ciò, viene analizzata la relazione tra la flessibilità verso il basso dei salari e la domanda effettiva, e viene valutata criticamente (dal punto di vista sia teorico sia empirico l’ipotesi che la flessibilità del tasso di cambio possa avere proprietà stabilizzanti quando si tenga conto di shock esogeni di varia natura. L’articolo si chiude con brevi deduzioni di teoria e di politica economiche.   This paper examines the relative advantages of floating exchange rates against a system of exchange rates for the same rigidly anchored (hard peg, with particular emphasis on the implications for effective demand. In particular, it will assess whether a currency depreciation has a beneficial effect on aggregate demand and hence employment. It is argued that this issue is central to the principle of effective demand, and that the idea that a currency depreciation is able to stabilize the effective demand, is equivalent to a large extent to support that flexibility (down in nominal wages (and real to ensure full employment. Consistent with this, we analyze the relationship between the downward flexibility of wages and effective demand, and is critically evaluated (in terms of both theoretical and empirical hypothesis that the flexibility

  16. Forecasting of Indian Rupee (INR) / US Dollar (USD) Currency Exchange Rate Using Artificial Neural Network

    CERN Document Server

    Perwej, Yusuf; 10.5121/ijcsea.2012.2204

    2012-01-01

    A large part of the workforce, and growing every day, is originally from India. India one of the second largest populations in the world, they have a lot to offer in terms of jobs. The sheer number of IT workers makes them a formidable travelling force as well, easily picking up employment in English speaking countries. The beginning of the economic crises since 2008 September, many Indians have return homeland, and this has had a substantial impression on the Indian Rupee (INR) as liken to the US Dollar (USD). We are using numerational knowledge based techniques for forecasting has been proved highly successful in present time. The purpose of this paper is to examine the effects of several important neural network factors on model fitting and forecasting the behaviours. In this paper, Artificial Neural Network has successfully been used for exchange rate forecasting. This paper examines the effects of the number of inputs and hidden nodes and the size of the training sample on the in-sample and out-of-sample...

  17. Ters Para İkamesi Süreci ve Döviz Kuru Oynaklığı: Türkiye Örneği = Reverse Currency Substitution Process and Exchange Rate Volatility: The Turkish Case

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    Burak DARICI

    2009-01-01

    Full Text Available Theoretical and empirical literature shows that there is a significant relation between currency substitution and exchange rate volatility, and this volatility affects money demand significantly. This study examines the relation between reverse currency substitution and the volatility in exchange rate as well as the effects of this volatility on the demand for money. We used monthly data covering the period of 2001/04-2006/12, which started with the implementation of Program for Transition to a Strong Economy. Following the literature, we employed E-GARCH method in exchange rate volatility modeling and Pesaran et al (2001 bounds test approach in the estimation of money demand function. In accordance with the theoretical expectations, we found that with the increase in reverse currency substitution the exchange rate volatility decreased. Moreover, the decline in the volatility of exchange rate increased the money demand, i.e. accelerated the reverse currency substitution process.

  18. Foreign currency exchange network topology across the 2008 credit crisis

    Science.gov (United States)

    Sharif, Shamshuritawati; Ap, Nuraisah Che; Ruslan, Nuraimi

    2017-05-01

    A stable world currency exchange rate is a very important aspect to be considered for a developed country, i.e Malaysia. A better understanding about the currencies itself is needed nowadays. This project is about to understanding the fluctuation and to identify the most influential world currencies in the three different cases; before credit crisis, during credit crisis and after credit crisis. A network topology approach is use to examine the interrelationship between currencies based on correlation analysis. With this point of view, those relationships can be measured by a correlation structure among the currencies. The network can be analyse by filtering the important information using minimum spanning tree (MST) and interpret it using degree centrality as the centrality measure. This topology will give a useful guide to understand the behaviour and determine the most influential currency in the network as a part of a complex system. All currencies are compared among the three different cases; before credit crisis, during credit crisis and after credit crisis period. The result of this project shows that Unites State Dollar (USD), Brazilian Real (BRL), United Kingdom Pound (EUR) and Danish Krone (DKK) are the most influential currencies before the credit crisis period. With respect to during the credit crisis, New Zealand Dollar (NZD) dominates the network and it is followed by Singapore Dollar (SGD) for after the credit crisis period.

  19. Scale free effects in world currency exchange network

    Science.gov (United States)

    Górski, A. Z.; Drożdż, S.; Kwapień, J.

    2008-11-01

    A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (MST) graphs are constructed for each of those currencies used as reference for the remaining ones. It is shown that multiplicity of the MST graphs' nodes to a good approximation develops a power like, scale free distribution with the scaling exponent similar as for several other complex systems studied so far. Furthermore, quantitative arguments in favor of the hierarchical organization of the world currency exchange network are provided by relating the structure of the above MST graphs and their scaling exponents to those that are derived from an exactly solvable hierarchical network model. A special status of the USD during the period considered can be attributed to some departures of the MST features, when this currency (or some other tied to it) is used as reference, from characteristics typical to such a hierarchical clustering of nodes towards those that correspond to the random graphs. Even though in general the basic structure of the MST is robust with respect to changing the reference currency some trace of a systematic transition from somewhat dispersed - like the USD case - towards more compact MST topology can be observed when correlations increase.

  20. The Impact of Currency Exchange Rates and Canadian and U.S. Unemployment Rates on Non-Immigrant Visas from Canada to the U.S.

    Directory of Open Access Journals (Sweden)

    Boisvert, Jennifer A.

    2009-01-01

    Full Text Available AbstractChanges in immigration rates by Canadians from 1989 to 2006 were examinedfor three non-immigrant visa categories. Cross correlation functions (CCFwere calculated relating changes in numbers of visas to changes in Canada-U.S.currency exchange and unemployment rates. Regression analyses tested Han-Ibbott’s (2005 model of immigration decision-making and a variation ofHerrnstein’s (1961 matching law. CCF analysis found that currency exchangeand unemployment rates were predictive of changes in immigration rates.Regression analyses indicated that a devalued Canadian dollar discouragedmigration to the U.S. These findings have implications for Canada-U.S.inequities in bilateral immigration under NAFTA, with Canada experiencing agreater drain in human capital.RésuméNous avons examiné les changements dans les taux d’immigration chez lesCanadiens entre 1989 et 2006 dans trois catégories de visas de non-immigrant.Les fonctions de corrélation croisée (FCC ont étés calculées en reliant lesnombres de changements de visas aux changements dans les taux d’échangecanado-américains et le taux de chômage. Nous nous sommes servis d’analysesde régression pour tester le modèle de décision des politiques d’immigration deHan-Ibbott (2005 ainsi qu’une variation de la loi correspondante de Herrnstein(1961. L’analyse FCC a trouvé que le taux d’échange et le taux de chômagepouvaient prédire les changements de taux d’immigration. Les analyses derégression indiquent qu’un dollar canadien dévalué décourage la migrationvers les États-Unis. Ces constatations ont des implications pour les iniquitésdans les immigrations bilatérales canado-américaines sous l’ALENA, avec le

  1. EXCHANGE RATE - REGIMES AND POLICIES

    Directory of Open Access Journals (Sweden)

    Novak Lučić

    2014-12-01

    Full Text Available Exchange rate of one currency is the price of the currency expressed in units of other currency. It is formed by the interaction of supply and demand in the foreign exchange market. Given that the exchange rate has a direct impact on the competitiveness of a country in terms of features of its exports and imports, in its balance of payments, and indirectly the overall economic and social development, in addition to acting in market principles - supply and demand in the formation of the equilibrium exchange rate, exchange rate is subject to different, stronger or weaker, more or less, forms of intervention. In the search for the optimal exchange rate policy of the national currency, the monetary authorities are positioned between the two extremes - the complete abandonment of the exchange rate to the market laws of supply and demand, or fixing the exchange rate for any of the selected anchor currency.

  2. 49 CFR 583.14 - Currency conversion rate.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 7 2010-10-01 2010-10-01 false Currency conversion rate. 583.14 Section 583.14... conversion rate. For purposes of calculations of content value under this part, manufacturers and suppliers shall calculate exchange rates using the methodology set forth in this section. (a) Manufacturers....

  3. Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations

    Directory of Open Access Journals (Sweden)

    Brdyś Mietek A.

    2016-03-01

    Full Text Available The paper considers the forecasting of the euro/Polish złoty (EUR/PLN spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-day-ahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econometric forecast combinations, a non-parametric prediction technique which does not make any distributional assumptions regarding the underlying input variables. Both methods can be used as forecasting tools in portfolio investment management, asset valuation, IT security and integrated business risk intelligence in volatile market conditions.

  4. The Characteristics and Heterogeneity of the Conduction on the Exchange Rate and Foreign Currency Liabilities to Currency Mismatch:Empirical Test of China and ASEAN Countries%汇率和外币负债对货币错配传导特征及其异质性——中国和东盟各国的经验实证

    Institute of Scientific and Technical Information of China (English)

    王中昭; 易扬

    2012-01-01

    文章在分析中国和东盟各国汇率对货币错配传导特征、差异性和金融危机与货币错配风险的关联性的基础上,通过构建动态面板模型和面板VAR模型,对传导的边际效应、敏感程度的异质性作了深入分析,考察了货币错配对汇率和外币负债冲击的响应程度,并提出了我国汇率机制选择的建议。研究表明:大规模外币负债、外汇储备不足和本币汇率的大幅贬值触发了债务型货币错配风险;货币错配对汇率变动的敏感性的强弱和波动幅度取决于汇率制度的改革和国家的经济发展水平;货币错配受汇率冲击响应的方向和持续的时间与该国汇率是否稳定和激烈波动密切相关;扩张性的外币负债对货币错配积累起到加重的作用,外币负债对货币错配的影响和解释能力持续时间较长。%Based on the analysis of the characteristics and heterogeneity of the conduction on the exchange rate to currency mismatch in China and ASEAN countries and the relevance between financial crisis and the currency mismatch risk, the article analyzes the marginal effects of conduction and the heterogeneity of sensitive degree through building a dynamic panel model and the panel VAR model, and reviews the response degree of impact from currency mismatch to ex- change rates and foreign currency liabilities, and finally puts forward the propos- al of Chinas exchange rate mechanism options. Research shows that: large-scale foreign currency debt, the shortage of foreign exchange reserves and the sharp de- preciation of local currency exchange rate trigger the risk of debt type currency mismatch; the sensitivity and fluctuated range of the conduction from currency mismatch to the exchange rate change depend on the reform of exchange rate system and development of national economy level; the direction and duration of impact on currency mismatch from the exchange rate is closely related to the

  5. Exchange Rate in Focus

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    China announced the reform of its decade-old RMB exchange rate regime last July, linking the RMB to a basket of currencies rather than the U.S. dollar alone, and allowing the RMB to appreciate 2 percent against the U.S. currency. Since then, different viewpoints on the new regime have been voiced. The People's Bank of China, the central bank, said in a statement in late March that it would further improve the system, broadening the foreign exchange market, increasing the flexibility of the RMB exchange r...

  6. The Analysis on the Dynamic Correlation of the Foreign Exchange Rate of RMB and Currencies of ASEAN Countries%人民币与东盟国家货币汇率动态关联性分析

    Institute of Scientific and Technical Information of China (English)

    陈文慧

    2014-01-01

    Using VAR-MGARCH-BEKK model, from the perspective of rewards spillover and volatility spillover, the paper makes the empirical research on the dynamic correlation of the foreign exchange rate of RMB and currencies of ASEAN countries. The paper finds that compared with the secondary foreign exchange reform, there exists the bidirectional volatility spillover effect be-tween RMB and Philippine peso and Thai baht, while there doesn’t exist the volatility spillover effect with currencies of other ASEAN countries. That is to say, the correlation of the foreign exchange rate of RMB and currencies of ASEAN countries is obviously strengthened after the secondary foreign exchange reform. At last, the paper puts forward corresponding policy recommendations on attempting to deepen the foreign exchange rate cooperation of RMB with currencies of ASEAN countries to promote the process of re-gionalization of RMB in ASEAN countries.%本文运用VAR-MGARCH-BEKK模型,从报酬溢出和波动溢出的角度,对人民币与东盟国家货币汇率间动态关联性进行实证研究,发现相比二次汇改前,人民币与菲律宾比索、泰铢之间存在双向波动溢出效应而对东盟其他国家货币汇率不存在波动溢出效应,二次汇改后人民币与大部分东盟国家货币汇率之间联动有明显增强。最后,本文尝试对人民币深化与东盟国家货币汇率合作,提出相应的政策建议以推动人民币在东盟国家的区域化进程。

  7. Yuan Exchange Rate 'Properly Adjusted'

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

      The currency exchange rate was "properly adjusted" this year and takes into account effects on the country's neighbors and the world, Premier Wen Jiabao said at a regional meeting in Malaysia.……

  8. Cooperation and Inspiration on Exchange Rate Changes of Main International Currencies Internationalization%主要国际货币国际化期间汇率变化的比较及启示

    Institute of Scientific and Technical Information of China (English)

    卜国军

    2015-01-01

    This paper selects the dollar,Deutsche Mark,yen three international currency and analyses the chang-es of their exchange rate. From the international experience,the main international currency in the world in the process of internationalization has experienced the process of currency appreciation. The appreciation is the result of the country ’s more rapid economic growth,and it is a necessary condition for the currency internationalization. During the interna-tionalization, the exchange rate of RMB should keep rise steadily, the current account should maintain surplus, the impact of US monetary policy should be pay close attention and in order to make a reference to manage the exchange rate of RMB.%本文选取美元、德国马克、日元三种国际货币,分析、比较三种货币国际化进程中汇率变化的特点,发现从国际经验来看,世界主要国际货币在其国际化进程中都经历了升值过程,货币升值是该国货币国际化的必要条件。人民币国际化进程中应保持汇率稳中有升、维持经常项目顺差、关注美国货币政策影响,并根据国际化的不同阶段灵活实施汇率管理政策。

  9. OPPORTUNITIES FOR DECREASING EXCHANGE RISKS OF FOREIGN CURRENCY TRANSACTIONS IN ENTERPRISES WITH A SPECIAL REGARD ON CHANGING-OVER FOREIGN CURRENCY BOOKING

    Directory of Open Access Journals (Sweden)

    ROZSA ATTILA

    2014-07-01

    Full Text Available The profitability of the operation of an enterprise is influenced by several factors. Besides the tendency of market demand and supply, taking the changes of inflation, interest rate and exchange rate into consideration is necessary, as all these are risks. Since the start of the economic crisis in the autumn of 2008, changes in the exchange rate have been more and more emphasized. The article deals with methods for decreasing exchange risks of foreign currency transactions, without the need of completeness. In international trade due to the growth of the number of currency loans the significance of managing financial risks coming from the changes in exchange rates has increased. One of its tools is the currency based booking, which may make the effect of the change more predictable.

  10. Change-Exchange Currency based Vending Machine using VHDL

    Directory of Open Access Journals (Sweden)

    Nikita Khandelwal

    2013-01-01

    Full Text Available A vending machine is a coin-operated, automatic device which dispenses items such as snacks, beverages, lottery tickets, consumer products and even gold and gems to customers automatically, after the customer inserts currency or credit into the machine. These are more accessible and practical than the convention purchasing method. It is for the reason that vending machines provide us for our necessities almost instantly and with high quality, that people consider it as a very much reliable choice. In this paper a new approach is proposed to design a Vending Machine with automatic currency change or exchange multi select feature using which user can get a change of its currency or can exchange its currency to other available currency options. The machine also supports a cancel feature which means that the user can withdraw the request and the money will be returned back to him. This machine can be used at various places like Hotels, Restaurants, Stations and shopping centers. This reduces the time and cost. The proposed model is implemented using FPGA, the simulation results and circuit parameters are also presented.

  11. MANAGING CURRENCY RISKINTERMSOF FLOATINGRATES

    Directory of Open Access Journals (Sweden)

    Carmen SANDU (TODERASCU

    2014-06-01

    Full Text Available Exchange rate fluctuations of a currency generate currency risk to the extent that it isused to make international transactions. These operationsare subject to currency risk, as exchange rates change frequently from one period to another, and on the other hand, speculation in the foreign exchange market affect the exchange rate through interventions they perform. This paper explores a topic of great interest, especially as exchange rate fluctuations and the uncertainty regarding the future of a currency relative to major currencies is a big problem for most economic actors. Regardless of whether they are importers or exporters or have significant debt currency depreciation or appreciation causes significant losses. Proper management and active currency risk is a way to reduce the damage caused by exchange rate fluctuations.

  12. Exchange Rate Behavior and Exchange Rate Puzzles: Why the XVIII Century Might Help.

    OpenAIRE

    Torres-Sánchez, R. (Rafael); Gómez-Biscarri, J. (Javier); Pérez-de-Gracia, F. (Fernando)

    2005-01-01

    This article explores the behavior of exchange rates in Spain during the XVIII century. We posit that exchange rates were the result of both government intervention over nominal values of currencies and the estimate that the market of bills of exchange- gave to the value of the currency. We analyze the exchange rates quoted in London on three Spanish cities between 1699 and 1826. After a brief overview of the functioning of the Spanish monetary system and of exchange rate determination, we as...

  13. Studies on Increasing RMB Exchange Rate Flexibility and RMB Exchange Rate Formation Mechanism with Reference to a Basket of Currencies%人民币汇率增加弹性和参考一篮子货币汇率形成机制研究

    Institute of Scientific and Technical Information of China (English)

    陆前进

    2011-01-01

    在央行货币政策目标下,可以确定最优汇率水平及汇率水平的调整。我国外汇体制改革要建立以市场供求为基础的,参考一篮子货币的有管理的浮动汇率制度,央行的汇率目标应由人民币对美元稳定转变为参考人民币有效汇率目标,确保人民币币值的总体水平稳定。实际上,参考篮子货币,人民币对美元汇率的弹性将显著增加。央行应逐步放宽人民币对美元和非美元货币的波动幅度,人民币汇率最终将由市场供求来决定,发挥汇率配置资源的基础作用。%Under the monetary policy goal of the central bank, the optimal ex- change rate level and adjustment process can be determined. The target of China's foreign exchange system reform is to establish the managed floating exchange rate system on the basis of market supply and demand with reference to a basket of currencies. The exchange rate target of the central bank should be transferred from pegging to US Dollar to referring to RMB effective exchange rate, ensuring the overall currency level stability of RMB. In fact, RMB exchange rate flexibility will increase remarkably against US Dollar with reference to a basket of currencies. The central bank should gradually relax RMB exchange rate fluctuation range against US Dollar and non-dollar currencies. RMB exchange rate will be finally determined by market supply and demand, and will play an important role on the allocation of resources.

  14. Foreign currency rate forecasting using neural networks

    Science.gov (United States)

    Pandya, Abhijit S.; Kondo, Tadashi; Talati, Amit; Jayadevappa, Suryaprasad

    2000-03-01

    Neural networks are increasingly being used as a forecasting tool in many forecasting problems. This paper discusses the application of neural networks in predicting daily foreign exchange rates between the USD, GBP as well as DEM. We approach the problem from a time-series analysis framework - where future exchange rates are forecasted solely using past exchange rates. This relies on the belief that the past prices and future prices are very close related, and interdependent. We present the result of training a neural network with historical USD-GBP data. The methodology used in explained, as well as the training process. We discuss the selection of inputs to the network, and present a comparison of using the actual exchange rates and the exchange rate differences as inputs. Price and rate differences are the preferred way of training neural network in financial applications. Results of both approaches are present together for comparison. We show that the network is able to learn the trends in the exchange rate movements correctly, and present the results of the prediction over several periods of time.

  15. Fixed Exchange Rates and Trade

    OpenAIRE

    Michael W. Klein; Jay C. Shambaugh

    2004-01-01

    A classic argument for a fixed exchange rate is its promotion of trade. Empirical support for this, however, is mixed. While one branch of research consistently shows a small negative effect of exchange rate volatility on trade, another, more recent, branch presents evidence of a large positive impact of currency unions on trade. This paper helps resolve this disconnect. Our results, which use a new data-based classification of fixed exchange rate regimes, show a large, significant effect of ...

  16. On cross-currency models with stochastic volatility and correlated interest rates

    NARCIS (Netherlands)

    Grzelak, L.A.; Oosterlee, C.W.

    2010-01-01

    We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of

  17. On cross-currency models with stochastic volatility and correlated interest rates

    NARCIS (Netherlands)

    Grzelak, L.A.; Oosterlee, C.W.

    2010-01-01

    We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of Hull

  18. INTEREST RATES AND CURRENCIES EFFECTS ON ISLAMIC AND CONVENTIONAL BONDS

    Directory of Open Access Journals (Sweden)

    Ghazali Syamni

    2011-09-01

    Full Text Available Bond markets have not been well developed in emerging countries. Realizing its important role, especially after the 1997 crises and the islamic economics development, emerging countries have started to develop such markets. This research examines the effect of interest rates and currencies on Islamic and conventional bonds in Bursa Malaysia. The analysis on Islamic bonds shows that interest rates and currencies do not influence Islamic bonds, which supports the prohibition of interest in Islam. The analysis on conventional bonds finds evidence that both interest rates and currencies affect conventional bond. It also finds evidence of a negative association between interest rates and a conventional bond. Keywords: Interest rate, currency, conventional bond, Islamic bond JEL classification numbers: G11, G12, G15

  19. 73 Impact of Exchange Rate on Balance of Payment in Nigeria (Pp ...

    African Journals Online (AJOL)

    User

    2011-07-21

    Jul 21, 2011 ... Introduction. Exchange rate refers to the price of one currency (the domestic currency) in ... instrument is that our foreign trade structure did not satisfy the condition for ..... "Real response association with exchange rate action.

  20. NATIONAL CURRENCY INSTABILITY

    Directory of Open Access Journals (Sweden)

    Gherman Anca Maria

    2008-05-01

    Full Text Available The concept related to currency stability includes internal currency stability as intern price stability, the money demand and supply stability and the stability of the interest rate. Also it includes external currency stability through exchange rate mechanism. The equilibrium of national economy is determined by the evolution of inflation and by the evolution of nominal exchange rate mechanism as an expression of external stability.

  1. International trade and exchange rate volatility

    NARCIS (Netherlands)

    J.M.A. Viaene (Jean-Marie); C.G. de Vries (Casper)

    1992-01-01

    textabstractFor currencies with well developed forward markets several papers have investigated the conjectured negative relationship between trade and short term exchange rate volatility, without being very successful. A theoretical explanation for the empirical anomalies is provided by solving

  2. Tassi di cambio fluttuanti, deprezzamento valutario e domanda effettiva: un commento (Floating exchange rates, currency depreciation and effective demand: a review

    Directory of Open Access Journals (Sweden)

    Mario Sarcinelli

    2012-04-01

    Full Text Available Concordo certamente con gli autori sul punto principale, cioè che i tassi di cambio flessibili non danno luogo a un aggiustamento automatico che riporta all’equilibrio di piena occupazione. Ciò che vorrei sostenere è che i cambi flessibili, nondimeno, possono essere più vantaggiosi di quelli fissi e che la gestione del tasso di cambio per il conseguimento di obiettivi di politica economica interni, sebbene utile in alcune circostanze, non dovrebbe diventare la regola in un mondo in cui eventi finanziari influiscono di frequente sulle variabili reali.A mio avviso, l’intervento sul mercato dei cambi da parte della banca centrale dovrebbe avere una scarsa frequenza ed essere usato come segnale per bloccare una tendenza all’ingiù o all’insù, il che ovviamente richiede cooperazione e sostegno da parte di altre banche centrali. Quanto alle misure compatibili col mercato relative ai movimenti di capitale, il ricorso a esse dovrebbe essere ancora più cauto. Comunque, una gestione per (rara eccezione del tasso di cambio è certamente possibile.   I certainly agree with the authors on the main point, which is that flexible exchange rates do not result in an automatic adjustment that brings equilibrium with full employment. What I would argue is that flexible exchange rates, however, may be more advantageous than those fixed and that the management of the exchange rate to achieve domestic policy objectives, although useful in some circumstances, it should become the norm in a world in which financial events affect frequently on real variables.In my view, the intervention on the foreign exchange market by the central bank should have a low frequency and used as a signal to prevent upward or downward trend, which of course requires the cooperation and support from other banks central. With regard to the measures compatible with the market on the movement of capital, the use of them should be even more cautious. However, a management for (rare

  3. Diffusive and Arrestedlike Dynamics in Currency Exchange Markets

    Science.gov (United States)

    Clara-Rahola, J.; Puertas, A. M.; Sánchez-Granero, M. A.; Trinidad-Segovia, J. E.; de las Nieves, F. J.

    2017-02-01

    This work studies the symmetry between colloidal dynamics and the dynamics of the Euro-U.S. dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean-squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters and can be described by the theoretical model. We discuss the origin and implications of this analogy.

  4. WAYS OF REFLECTING THE FOREIGN EXCHANGE TRANSACTIONS MADE BY THE CURRENCY EXCHANGE OFFICES IN ROMANIA

    Directory of Open Access Journals (Sweden)

    Nicolae ECOBICI

    2011-09-01

    Full Text Available As in the practice of the currency exchange offices in Romania I found the lack of a consistent method for reflecting foreign exchange transactions, in this paper I will present a comparison aiming to shed light on the correct method to be used by such entities. In this respect, I will compare the daily determination method with the monthly method (for both revenues related to the turnover and for foreign exchange differences.

  5. Detecting a currency's dominance or dependence using foreign exchange network trees

    Science.gov (United States)

    McDonald, Mark; Suleman, Omer; Williams, Stacy; Howison, Sam; Johnson, Neil F.

    2005-10-01

    In a system containing a large number of interacting stochastic processes, there will typically be many nonzero correlation coefficients. This makes it difficult to either visualize the system’s interdependencies, or identify its dominant elements. Such a situation arises in foreign exchange (FX), which is the world’s biggest market. Here we develop a network analysis of these correlations using minimum spanning trees (MSTs). We show that not only do the MSTs provide a meaningful representation of the global FX dynamics, but they also enable one to determine momentarily dominant and dependent currencies. We find that information about a country’s geographical ties emerges from the raw exchange-rate data. Most importantly from a trading perspective, we discuss how to infer which currencies are “in play” during a particular period of time.

  6. Foreign Currency Exchange Problems Relating to the Book Trade

    Science.gov (United States)

    Moran, Michael

    1973-01-01

    In the purchase of books from foreign countries, the basic problem with regard to currency is to decide which currency will be used in these transactions, and how to reach agreement with vendors on this point. (11 references) (Author)

  7. Econophysics of Stock and Foreign Currency Exchange Markets

    CERN Document Server

    Ausloos, M

    2006-01-01

    Econophysics is a science in its infancy, born about ten years ago at this time of writing, at the crossing roads of physics, mathematics, computing and of course economics and finance. It also covers human sciences, because all economics is ultimately driven by human decision. From this human factor, econophysics has no hope to achieve the status of an exact science, but it is interesting to discover what can be achieved, discovering potential limits and trying try to push further away these limits. A few data analysis techniques are described with emphasis on the Detrended Fluctuation Analysis ($DFA$) and the Zipf Analysis Technique ($ZAT$). Information about the original data aresketchy, but the data concerns mainly the foreign currency exchange market. The robustness of the $DFA$ technique is underlined. Additional remarks are given for suggesting further work. Models about financial value evolutions are recalled, again without going into elaborate work discussing typical agent behaviors, but rather with ...

  8. Modeling And Forecasting Exchange-Rate Shocks

    OpenAIRE

    Andreou, A. S.; Zombanakis, George A.; Likothanassis, S. D.; Georgakopoulos, E.

    1998-01-01

    This paper considers the extent to which the application of neural networks methodology can be used in order to forecast exchange-rate shocks. Four major foreign currency exchange rates against the Greek Drachma as well as the overnight interest rate in the Greek market are employed in an attempt to predict the extent to which the local currency may be suffering an attack. The forecasting is extended to the estimation of future exchange rates and interest rates. The MLP proved to be highly ...

  9. The RMB Exchange Rate Keeps Increasing

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    @@ In July 2005, the People's Bank of China officially announced that it would adopt a manageable floating exchange rate, adjusted according to a basket of currencies based on market supply and demand. On that day, the exchange rate of the RMB to the U.S. Dollar increased by 21 percent, and since then the RMB exchange rate has gradually turned to a more flexible exchange rate convention, rather than focusing on the Dollar only.

  10. Exchange Rate Predictions

    OpenAIRE

    Yablonskyy, Karen

    2012-01-01

    The aim of this thesis is to analyze the foreign exchange currency forecasting techniques. Moreover the central idea behind the topic is to develop the strategy of forecasting by choosing indicators and techniques to make own forecast on currency pair EUR/USD. This thesis work is a mixture of theory and practice analyses. The goal during the work on this project was to study different types of forecasting techniques and make own forecast, practice forecasting and trading on Forex platform, ba...

  11. Exchange Rate Predictions

    OpenAIRE

    Yablonskyy, Karen

    2012-01-01

    The aim of this thesis is to analyze the foreign exchange currency forecasting techniques. Moreover the central idea behind the topic is to develop the strategy of forecasting by choosing indicators and techniques to make own forecast on currency pair EUR/USD. This thesis work is a mixture of theory and practice analyses. The goal during the work on this project was to study different types of forecasting techniques and make own forecast, practice forecasting and trading on Forex platform, ba...

  12. Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model

    Directory of Open Access Journals (Sweden)

    Petra Posedel

    2006-12-01

    Full Text Available The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly important. Once the derivatives market is formed, the use of the Black-Scholes option pricing model is also expected. However, contrary to the assumptions of the Black-Scholes model, research in the field of option markets worldwide suggests that the volatility of the time-series returns is not constant over time. The present study analyzes the implications of volatility that changes over time for option pricing. The nonlinear-in-mean asymmetric GARCH model that reflects asymmetry in the distribution of returns and the correlation between returns and variance is recommended. For the purpose of illustration, we use the NGARCH model for the pricing of foreign currency options. Possible prices for such options having different strikes and maturities are then determined using Monte Carlo simulations. The improvement provided by the NGARCH model is that the option price is a function of the risk premium embedded in the underlying asset. This contrasts with the standard preference-free option pricing result that is obtained in the Black-Scholes model.

  13. Evaluating China's Exchange Rate Regime

    Institute of Scientific and Technical Information of China (English)

    Charlie Xiao Feng

    2008-01-01

    @@ In 1994 China established a de facto currency peg.1 The dollar-RMB exchange rate was fixed at 8.28.The People's Bank of China(PBC) allowed the rate a narrow band of around .01 to .02 percent in which it could shift daily.The exchange rate program did not become newsworthy until U.S.Treasury Secretary John Snow's visit in 2003.In fact as a study by Frankel and Wei (2007)showed, the RMB's forward was actually selling at a discount against the dollar prior to Secretary Snow's visit to China and his subsequent report, signaling that investors were anticipating RMB depreciation.

  14. Forecasting Exchange Rates with Commodity Convenience Yields

    OpenAIRE

    Beutler, Toni

    2012-01-01

    This paper investigates whether commodity convenience yields - the yields that accrue to the holders of physical commodities - can predict the exchange rate of commodity-exporters' currencies. Predictability is a consequence of the fact that i) convenience yields are useful predictors for commodity prices and ii) commodity currencies have a strong relationship with commodity prices. The empirical evidence indicates that there is a significant relationship between aggregate measures of conveni...

  15. Market Sentiment and Exchange Rate Directional Forecasting

    OpenAIRE

    Vasilios Plakandaras; Theophilos Papadimitriou; Periklis Gogas; Konstantinos Diamantaras

    2014-01-01

    The microstructural approach to the exchange rate market claims that order flows on a currency can accurately reflect the short-run dynamics its exchange rate. In this paper, instead of focusing on order flows analysis we employ an alternative microstructural approach: we focus on investors' sentiment on a given exchange rate as a possible predictor of its future evolution. As a proxy of investors' sentiment we use StockTwits posts, a message board dedicated to finance. Within StockTwits inve...

  16. Assessing Asian Equilibrium Exchange Rates as Policy Instruments

    OpenAIRE

    MASUJIMA Yuki

    2015-01-01

    This paper attempts to estimate the quarterly equilibrium exchange rates (EER) of nine Asian currencies (Japan, China, Korea, Hong Kong, Singapore, Thailand, Indonesia, Malaysia, and Philippines) with the Behavioral Equilibrium Exchange Rates (BEER) from 2006 to 2014. The BEER was compared with the Fundamental Equilibrium Exchange Rates (FEER) published biannually by the Peterson Institute for International Economics. While four Asian currencies tend to be undervalued in the Peterson's FEER a...

  17. Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree

    Science.gov (United States)

    Jang, Wooseok; Lee, Junghoon; Chang, Woojin

    2011-02-01

    We examined the time series properties of the foreign exchange market for 1990-2008 in relation to the history of the currency crises using the minimum spanning tree (MST) approach and made several meaningful observations about the MST of currencies. First, around currency crises, the mean correlation coefficient between currencies decreased whereas the normalized tree length increased. The mean correlation coefficient dropped dramatically passing through the Asian crisis and remained at the lowered level after that. Second, the Euro and the US dollar showed a strong negative correlation after 1997, implying that the prices of the two currencies moved in opposite directions. Third, we observed that Asian countries and Latin American countries moved away from the cluster center (USA) passing through the Asian crisis and Argentine crisis, respectively.

  18. Statistical Analysis Regarding the Evolutions of the Euro Exchange Rate and the Dollar Exchange Rate, in Romania

    Directory of Open Access Journals (Sweden)

    Gabriela OPAIT

    2016-04-01

    Full Text Available This paper reflects a the statistical modeling of the values concerning the annual averages of the euro exchange rate, respectively the dollar exchange rate in Romania, through by means of the „Least Squares Method”. The exchange rate represents the price regardinga monetary unit from the currency which belongs to a country, expressed in the monetary unit of the another country. Also, the exchange rate takes into consideration the type of quotation which linking the two currencies involved at the exchange ratio. The exchange rates have been more volatile over time, then relative price levels and rates of inflation.

  19. On the spillover of exchange rate risk into default risk

    Directory of Open Access Journals (Sweden)

    Božović Miloš

    2009-01-01

    Full Text Available In order to reduce the exchange-rate risk, banks in emerging markets are typically denominating their loans in foreign currencies. However, in the event of a substantial depreciation of the local currency, the payment ability of a foreign-currency borrower may be reduced significantly, exposing the lender to additional default risk. This paper analyses how the exchange-rate risk of foreign currency loans spills over into default risk. We show that in an economy where foreign currency loans are a dominant source of financing economic activity, depreciation of the local currency establishes a negative feedback mechanism that leads to higher default probabilities, reduced credit supply, and reduced growth. This finding has some important implications that may be of special interest for regulators and market participants in emerging economies.

  20. The evolutionary synchronization of the exchange rate system in ASEAN+6

    Science.gov (United States)

    Feng, Xiaobing; Hu, Haibo; Wang, Xiaofan

    2010-12-01

    Although there are extensive researches on the behavior of the world currency network, the complexity of the Asian regional currency system is not well understood regardless of its importance. Using daily exchange rates this paper examines exchange rate co-movements in the region before and after the China exchange rate reform. It was found that the correlation between Asian currencies and the US Dollar, the previous regional key currency has become weaker and intra-Asia interactions have increased. Cross sample entropy and cross entropy approaches are also applied to examine the synchrony behavior among the Asian currencies. The study also shows that the Asian exchange rate markets featured are neither stochastic nor efficient. These findings may shed some light on the in-depth understanding of collective behaviors in a regional currency network; they will also lay a theoretical foundation for further policy formulation in Asian currency integration.

  1. Dynamic Global Currency Hedging

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Varneskov, Rasmus T.

    2016-01-01

    This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign currency exchange rate returns. In particular, the vector of optimal currency exposures is shown to be given by the negative realized regression coefficients from a one......-period conditional expectation of the intra-period quadratic covariation matrix for portfolio and foreign exchange rate returns. These are labelled the realized currency betas. The model, hence, facilitates dynamic hedging strategies that depend exclusively on the dynamic evolution of the ex-post quadratic...

  2. A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives with Target Redemption Features

    Science.gov (United States)

    Christara, Christina C.; Minh Dang, Duy; Jackson, Kenneth R.; Lakhany, Asif

    2010-09-01

    We propose a general framework for efficient pricing via a partial differential equation (PDE) approach for exotic cross-currency interest rate (IR) derivatives, with strong emphasis on long-dated foreign exchange (FX) IR hybrids, namely Power Reverse Dual Currency (PRDC) swaps with a FX Target Redemption (FX-TARN) provision. The FX-TARN provision provides a cap on the FX-linked PRDC coupon amounts, and once the accumulated coupon amount reaches this cap, the underlying PRDC swap terminates. Our PDE pricing framework is based on an auxiliary state variable to keep track of the total accumulated PRDC coupon amount. Finite differences on uniform grids and the Alternating Direction Implicit (ADI) method are used for the spatial and time discretizations, respectively, of the model-dependent PDE corresponding to each discretized value of the auxiliary variable. Numerical examples illustrating the convergence properties of the numerical methods are provided.

  3. The determinants of exchange rate in Croatia

    Directory of Open Access Journals (Sweden)

    Manuel BENAZIC

    2016-06-01

    Full Text Available The dilemma for every country with an independent monetary policy is which kind of exchange rate arrangement should be applied. Through the exchange rate policy, countries can influence their economies, i.e. price stability and export competiveness. Croatia is a new EU member state, it has its own monetary policy and currency but it is on the way to euro introduction. Regarding the experiences from the beginning of the 1990s when Croatia was faced with serious monetary instabilities and hyperinflation, the goal of Croatian National Bank (CNB is to ensure price stability and one way to do so is through exchange rate policy. Croatia, as a small and open economy, has applied a managed floating exchange rate regime. The exchange rate is determined primarily by the foreign exchange supply and demand on the foreign exchange market, with occasional market interventions by the CNB. Therefore, in order to maintain exchange rate stability, policymakers must be able to recognize how changes in these factors affect changes in the exchange rate. This research aims to find a relationship among the main sources of foreign currency inflow and outflow and the level of exchange rate in Croatia. The analysis is carried out by using the bounds testing (ARDL approach for co-integration. The results indicate the existence of a stable co-integration relationship between the observed variables, whereby an increase in the majority of variables leads to an exchange rate appreciation.

  4. Forecasting the Euro exchange rate using vector error correction models

    NARCIS (Netherlands)

    Aarle, B. van; Bos, M.; Hlouskova, J.

    2000-01-01

    Forecasting the Euro Exchange Rate Using Vector Error Correction Models. — This paper presents an exchange rate model for the Euro exchange rates of four major currencies, namely the US dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on the monetary approach of ex

  5. Statistical Analysis of the Exchange Rate of Bitcoin: e0133678

    National Research Council Canada - National Science Library

    Jeffrey Chu; Saralees Nadarajah; Stephen Chan

    2015-01-01

      Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar...

  6. An Empirical Test of Efficiency of Exchange-Traded Currency Options in India

    Directory of Open Access Journals (Sweden)

    Aparna Bhat

    2015-12-01

    Full Text Available The objective of this paper is to examine efficiency of the exchange-traded currency options market in India. Put-call-futures parity for the USD-INR currency options is studied by analyzing daily closing prices of options and futures for thirty two months on the National Stock Exchange. The study reveals frequent violations of the put-call-futures parity creating significant arbitrage opportunities. The pattern of mispricing varies when examined for time to maturity, option moneyness, liquidity and volatility of the underlying asset. These observations are consistent with those of studies of other young markets.

  7. Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons

    OpenAIRE

    Hui Jun ZHANG; Dufour, Jean-Marie; Galbraith, John W.

    2013-01-01

    Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for interpreting exchange rate movements, financial market monitoring and monetary policy. Basic economic reasoning on currency demand suggests that the currencies of countries whose exports depend heavily ...

  8. 17 CFR 1.1 - Fraud in or in connection with transactions in foreign currency subject to the Commodity Exchange...

    Science.gov (United States)

    2010-04-01

    ... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Fraud in or in connection with transactions in foreign currency subject to the Commodity Exchange Act. 1.1 Section 1.1 Commodity and... ACT Definitions § 1.1 Fraud in or in connection with transactions in foreign currency subject to...

  9. Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

    OpenAIRE

    Chin Diew Lai; Penm, Jack H. W.; Tim Brailsford

    2006-01-01

    One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of ...

  10. Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

    OpenAIRE

    2006-01-01

    One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Phil...

  11. Currency Substitution in Turkey

    Directory of Open Access Journals (Sweden)

    Ismail H. Genc

    2005-01-01

    Full Text Available We investigated whether the recent depreciations in the Turkish currency (Lira resulted in the currency substitution away from Lira by using quarterly data over the period from 1987:1 to 2000: 2 with M1 and M2 monetary aggregates and income, interest rate and exchange rate. Other than the variety of monetary aggregates, we tried different ways of including the interest rate into the models to ensure the robustness of our results. Our analysis shows that the currency substitution in fact happened with Lira.

  12. In Search for a Measure of Currency Misalignment: the Case of the 1997 Asian Currency Crisis

    Directory of Open Access Journals (Sweden)

    Daekeun Park

    2000-03-01

    Full Text Available The paper searches for an appropriate measure of currency misalignment in light of the 1997 Asian currency crisis. A couple of measures of currency misalignment, one based on purchasing power parity and the other based on equilibrium real exchange rate that is consistent with internal and external equilibrium are used to estimate the degree of currency misalignment for Korea, Indonesia, Malaysia, and Thailand before the 1997 currency crisis. The paper finds that the purchasing power parity based methods show that the Asian currencies were not significantly overvalued on the eve of the crisis. On the other hand, measures based on the equilibrium real exchange rate concept demonstrate that the Asian currencies were significantly overvalued. In consequence, the equilibrium real exchange rate based method seems to be a useful candidate for a measure of currency misalignment.

  13. Bitcoin as a decentralized currency

    Directory of Open Access Journals (Sweden)

    Dinić Vladimir

    2014-01-01

    Full Text Available Bitcoin is the first decentralized peer-to-peer crypto-currency founded in 2009. Its main specificity is the fact that there is no issuer of this currency. On the other hand, the supply of this currency is software-programmed and limited. Among other things, its main features are relatively secure payments, low transaction costs, anonymity, inability of counterfeiting, irreversibility of transactions, but also extremely unstable exchange rate. Despite many advantages, the use of this currency is subject of numerous discussions, as this currency offers the possibility of performing various abuses and criminal activities. The future of this and other currencies in this regard depends on both security and privacy of these currencies, and legal regulation of such payments.

  14. RMB Exchange Rate Reform: Past and Future

    Institute of Scientific and Technical Information of China (English)

    Li Zhen

    2009-01-01

    @@ With the deepening of China's financial reform, economic development and the enforcement of market roles, the RMB exchange rate needs to become more flexible and become a more sensitive reflection of the changes in market supply and demand. Under such circumstances, on July 21, the People's Bank of China announced that the previous system where China's RMB was pegged to the U.S. Dollar would be changed to include a basket of foreign currencies, shifting China's exchange rate system into a managed floating exchange rate regime based on market supply and demand.

  15. Currency substitution, portfolio diversification, and money demand

    OpenAIRE

    Freitas, Miguel Lebre de; Veiga, Francisco José

    2006-01-01

    We extend the Thomas (1985) dynamic optimising model of money demand and currency substitution to the case in which the individual has restricted or no access to foreign currency denominated bonds. In this case Currency Substitution decisions and Asset Substitution decisions are not separable. The results obtained suggest that the significance of an expected exchange rate depreciation term in the demand for domestic money provides a valid test for the presence of currency subst...

  16. Exchange-Rate Unification with Black Market Leakages; Russia 1992

    OpenAIRE

    Goldberg, L. S.

    1993-01-01

    In 1992 Russia unified the multiple exchange rates that had applied to international transactions. This paper describes the multiple exchange rate system that existed in Russia prior to mid-1992 and undertakes a theoretical exploration of the effects of the exchange rate unification that took place in July 1992. The model developed here allows for leakages between official and black markets and permits flexibility of the exchange rates in both official and parallel currency markets. Within th...

  17. CURRENCY LINKAGES AMONG ASEAN

    OpenAIRE

    CHIN LEE; M. Azali

    2010-01-01

    The purpose of this study is to examine the potential linkages among ASEAN-5 currencies, in particular the possibility of a Singapore dollar bloc during the pre- and post-crisis periods by using the Johansen multivariate cointegration test and the Granger causality test. Significant nonstationarity and the presence of unit roots were documented for each currency under both study periods. Using ASEAN-4 exchange rates against the Singapore dollar, the Johansen cointegration test showed that the...

  18. Do Exchange Rates Really Help Forecasting Commodity Prices?

    DEFF Research Database (Denmark)

    Bork, Lasse; Kaltwasser, Pablo Rovira; Sercu, Piet

    Chen et al. (2010) report that for ‘commodity currencies’, the exchange rate predicts the country’s commodity index but not vice versa. The commodity currency hypothesis is consistent with the Engle and West (2005) exchange rate model if the fundamental is chosen to be the country’s key export pr...

  19. Restarted Exchange Rate Reform Raises New Doubts on RMB Appreciation

    Institute of Scientific and Technical Information of China (English)

    Zhang Xueqing

    2010-01-01

    @@ The de-pegging of RMB exchange rate from the US dol-lar does not lead to a substantial change in the exchange rate in the short term. Considering the future regime, if the European financial crisis was not lessened, the Euro and other major currencies would continue to devalue against the U.S dollar and the RMB would probably follow suit.

  20. Currencies, National Images and National Identities: Public Relations for and against Currencies – Historical Experiences from Germany, the Case of the Euro and the Role of Rating Agencies

    Directory of Open Access Journals (Sweden)

    Michael Kunczik

    2013-06-01

    Full Text Available My thesis is that, in the “age of markets” in Europe the Euro is of central importance for creating (or destroying already established structures of European identity (at least in parts of Europe – with Great Britain taking a very remote position. I emphasize the theoretical aspects (Aftalion´s Psychological Theory of Exchange Rates; Simmel: Philosophie des Geldes to emphasize the importance of PR. I concentrate on historical cases – mainly German experiences – e.g. the campaign against the Rubel; the ideas of Ivy Lee; the PR-campaigns of the Nazi-government to fight inflation. The introduction of the German Mark (“die Deutsche Mark”, which became a central aspect of German national identity, and the campaign to give up this currency (“harte Währung” in order to introduce the “weak” Euro. In this context I discuss campaigns against the Euro (“only idiots want the Euro”. In the final remarks I refer to the role of rating agencies and trust in currencies and countries. It is my thesis that the analysts of the rating agencies live in a “world of literary images” and are acting in a completely irresponsible way (but even more incompetent are the politicians accepting the ratings without knowing anything about the problem of commensuration.

  1. New Chapter in Exchange Rate Reform

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    Introduction of new trading model has multiple significance China's central bank invited public bidding among 10 major domestic commercial banks to carry out one-year-long currency swap transactions last November. This move, according to Zuo Xiaolei, Chief Economist of China Galaxy Securities Co. Ltd., not only enables financial derivatives to become an operational instrument for implementing monetary policy, but also represents another action of the marketization of the exchange rate regime after an ear...

  2. Forecasting Exchange Rate Using Neural Networks

    OpenAIRE

    Raksaseree, Sukhita

    2009-01-01

    The artificial neural network models become increasingly popular among researchers and investors since many studies have shown that it has superior performance over the traditional statistical model. This paper aims to investigate the neural network performance in forecasting foreign exchange rates based on backpropagation algorithm. The forecast of Thai Baht against seven currencies are conducted to observe the performance of the neural network models using the performance criteria for both ...

  3. ANALYSIS OF MACROECONOMIC DETERMINANTS OF EXCHANGE RATE VOLATILITY IN INDIA

    Directory of Open Access Journals (Sweden)

    Anita Mirchandani

    2013-01-01

    Full Text Available The Foreign Exchange Market in India has undergone substantial changes over last decade. It is imperative by the excessive volatility of Indian Rupee causing its depreciation against major dominating currencies in international market. This research has been carried out in order to investigate various macroeconomic variables leading to acute variations in the exchange rate of a currency. An attempt has been made to review the probable reasons for the depreciation of the Rupee and analyse different macroeconomic determinants that have impact on the volatility of exchange rate and their extent of correlation with the same.

  4. MEANING OF THE BITCOIN CRYPTOGRAPHIC CURRENCY AS A MEDIUM OF EXCHANGE

    Directory of Open Access Journals (Sweden)

    Łukasz Dopierała

    2014-06-01

    Full Text Available This article presents one of the new elements of virtual reality, which is the Bitcoin cryptocurrency. This thesis focuses on the condition and perspectives on development of the trading function of this instrument. The authors discuss the legal aspects of functioning of the Bitcoin, conduct a SWOT analysis of this cryptocurrency as a medium of exchange, and examin the scale of use of Bitcoin in transaction purposes. As of March 1, 2014 the trading system gradually develops and the strengths of this cryptographic currency outweigh its weaknesses, but the future of Bitcoin as a medium of exchange is difficult to determine.

  5. Exchange rate arrangements: From extreme to "normal"

    Directory of Open Access Journals (Sweden)

    Beker Emilija

    2006-01-01

    Full Text Available The paper studies theoretical and empirical location dispersion of exchange rate arrangements - rigid-intermediate-flexible regimes, in the context of extreme arrangements of a currency board, dollarization and monetary union moderate characteristics of intermediate arrangements (adjustable pegs crawling pegs and target zones and imperative-process "normalization" in the form of a managed or clean floating system. It is established that de iure and de facto classifications generate "fear of floating" and "fear of pegging". The "impossible trinity" under the conditions of capital liberalization and globalization creates a bipolar view or hypothesis of vanishing intermediate exchange rate regimes.

  6. Bank Liquidity and Exchange Rate Regimes

    OpenAIRE

    Bunda, Irina; Desquilbet, Jean-Baptiste

    2003-01-01

    International audience; Combining panel data on bank liquidity at the individual level and data on their macroeconomic environment, for a sample of commercial banks in emerging countries between 1995 and 2000, we show that their exists a “bank liquidity smile across exchange rate regimes”. In extreme regimes at both ends of the line, i.e. for pure floating exchange rate regimes at one end and currency boards and dollarized economies at the other end, bank assets are more liquid than in interm...

  7. Where Would the EUR/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy?

    DEFF Research Database (Denmark)

    Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex

    2015-01-01

    Since its announcement made on September 6, 2011, the Swiss National Bank (SNB) has been pursuing the goal of a minimum EUR/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate from falling below this level.We use a compound option pricing approach...... to estimate the latent exchange rate that would prevail in the absence of the SNB’s interventions, together with the market’s confidence in the SNB’s commitment to this policy. © 2014 Wiley Periodicals, Inc....

  8. Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors?

    Directory of Open Access Journals (Sweden)

    Marcelo Cunha Medeiros

    2006-12-01

    Full Text Available The forward exchange rate is widely used in international finance whenever the analysis of the expected depreciation is needed. It is also used to identify currency risk premium. The difference between the spot rate and the forward rate is supposed to be a predictor of the future movements of the spot rate. This prediction is hardly precise. The fact that the forward rate is a biased predictor of the future change in the spot rate can be attributed to a currency risk premium. The bias can also be attributed to systematic errors of the future depreciation of the currency. This paper analyzes the nature of the risk premium and of the prediction errors in using the forward rate. It will look into the efficiency and rationality of the futures market in Brazil from April 1995 to December 1998, a period of controled exchange rates.

  9. A Weibull distribution with power-law tails that describes the first passage time processes of foreign currency exchanges

    Science.gov (United States)

    Sazuka, Naoya; Inoue, Jun-Ichi

    2007-03-01

    A Weibull distribution with power-law tails is confirmed as a good candidate to describe the first passage time process of foreign currency exchange rates. The Lorentz curve and the corresponding Gini coefficient for a Weibull distribution are derived analytically. We show that the coefficient is in good agreement with the same quantity calculated from the empirical data. We also calculate the average waiting time which is an important measure to estimate the time for customers to wait until the next price change after they login to their computer systems. By assuming that the first passage time distribution might change its shape from the Weibull to the power-law at some critical time, we evaluate the averaged waiting time by means of the renewal-reward theorem. We find that our correction of tails of the distribution makes the averaged waiting time much closer to the value obtained from empirical data analysis. We also discuss the deviation from the estimated average waiting time by deriving the waiting time distribution directly. These results make us conclude that the first passage process of the foreign currency exchange rates is well described by a Weibull distribution with power-law tails.

  10. Effects of Exchange Rate Instability on Imports and Exports of Pakistan

    Directory of Open Access Journals (Sweden)

    Atif Kafayat

    2014-04-01

    Full Text Available The instability in exchange rate (appreciation and depreciation in home currency is an important factor indetermination of trade balance of a country. Fluctuating exchange rates impacts the decision making of investors and traders, it shatters their confidence which ultimately leads to the slowness of trade process. In this research paper the effect of exchange rate instability is measured on imports and exports of Pakistan. For this purpose Regression analysis is used and it is calculated that if instability is created due to depreciation in home currency (Pak rupee then it has positive impact on Pakistan‘s exports, while it has absolutely no effect on imports of Pakistan. Since Pak rupee has very limited appreciation during last 20 years so appreciation effect of home currency can not be calculated on Imports and exports of Pakistan. In theoretical prospective the devaluation of home currency should decrease the volume of imports, because it will cost more for Pakistan to import goods from other countries. But our empirical findings show that, this is not the case between exchange rate and imports of Pakistan. The imports of Pakistan grew even in large figure as the home currency depreciated against other currencies. So this shows that depreciation of home currency do not effect the imports in of Pakistan. Our findings through regression analysis show that by decrease in value of home currency imports of Pakistan increase. So depreciation in home currency has no effect on imports volume.

  11. Chinese Yuan after Chinese Exchange Rate System Reform

    Institute of Scientific and Technical Information of China (English)

    Eiji Ogawa; Michiru Sakane

    2006-01-01

    In this paper, the actual exchange rate policy conducted by the Chinese government after the Chinese exchange rate system reform on 21 July 2005 is investigated. Also, the long-run effect is investigated, including the Balassa-Samuelson effect on the Chinese yuan. It was found that the Chinese government generated a statistically significant but small change in exchange rate policy during the sample period until 25 January 2006. It was not identifted that the Chinese monetary authority is adopting the currency basket system because the change is too small in the economic sense. It is indicated that the Chinese government should take account of the productivity growth of countries composing the currency basket in order to operate a currency basket regime.

  12. Modeling and predicting historical volatility in exchange rate markets

    Science.gov (United States)

    Lahmiri, Salim

    2017-04-01

    Volatility modeling and forecasting of currency exchange rate is an important task in several business risk management tasks; including treasury risk management, derivatives pricing, and portfolio risk evaluation. The purpose of this study is to present a simple and effective approach for predicting historical volatility of currency exchange rate. The approach is based on a limited set of technical indicators as inputs to the artificial neural networks (ANN). To show the effectiveness of the proposed approach, it was applied to forecast US/Canada and US/Euro exchange rates volatilities. The forecasting results show that our simple approach outperformed the conventional GARCH and EGARCH with different distribution assumptions, and also the hybrid GARCH and EGARCH with ANN in terms of mean absolute error, mean of squared errors, and Theil's inequality coefficient. Because of the simplicity and effectiveness of the approach, it is promising for US currency volatility prediction tasks.

  13. Exchange rate regime choice

    Directory of Open Access Journals (Sweden)

    Beker Emilija

    2006-01-01

    Full Text Available The choice of an adequate exchange rate regime proves to be a highly sensitive field within which the economic authorities present and confirm themselves. The advantages and disadvantages of fixed and flexible exchange rate regimes, which have been quite relativized from the conventional point of view, together with simultaneous, but not synchronized effects of structural and external factors, remain permanently questioned throughout a complex process of exchange rate regime decision making. The paper reflects the attempt of critical identification of the key exchange rate performances with emphasis on continuous non-uniformity and (uncertainty of shelf life of a relevant choice.

  14. Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

    Directory of Open Access Journals (Sweden)

    Chin Diew Lai

    2006-09-01

    Full Text Available One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Philippines, and Thailand. For Malaysia, no significant causal relation is found from the rate of interest to exchange rates, as the authorities in Malaysia did not actively adopt a high interest rate policy to defend the currency.

  15. Do Exchange Rates Really Help Forecasting Commodity Prices?

    DEFF Research Database (Denmark)

    Bork, Lasse; Kaltwasser, Pablo Rovira; Sercu, Piet

    Chen et al. (2010) report that for ‘commodity currencies’, the exchange rate predicts the country’s commodity index but not vice versa. The commodity currency hypothesis is consistent with the Engle and West (2005) exchange rate model if the fundamental is chosen to be the country’s key export...... prices and if the latter are exogenous to the exchange rate dynamics. In our view, however, commodity prices are essentially financial asset prices that are set in a forward-looking way, exactly like exchange rates. If both the exchange rate and the commodity prices are based on discounted future...

  16. Characteristic time scales in the American dollar-Mexican peso exchange currency market

    Science.gov (United States)

    Alvarez-Ramirez, Jose

    2002-06-01

    Daily fluctuations of the American dollar-Mexican peso exchange currency market are studied using multifractal analysis methods. It is found evidence of multiaffinity of daily fluctuations in the sense that the qth-order (roughness) Hurst exponent Hq varies with changes in q. It is also found that there exist several characteristic time scales ranging from week to year. Accordingly, the market exhibits persistence in the sense that instabilities introduced by market events acting around the characteristic time scales (mainly, quarter and year) would propagate through the future market activity. Some implications of our results on the regulation of the dollar-mexpeso market activity are discussed.

  17. Correlation Networks Among Currencies

    CERN Document Server

    Mizuno, T; Takayasu, M

    2005-01-01

    By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countries in the world such as Asia or East Europe, the key currencies are generally given by major economic countries as expected.

  18. Correlation networks among currencies

    Science.gov (United States)

    Mizuno, Takayuki; Takayasu, Hideki; Takayasu, Misako

    2006-05-01

    By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countries in the world such as Asia or East Europe, the key currencies are generally given by major economic countries as expected.

  19. Sovereign Risk and Currency Returns

    DEFF Research Database (Denmark)

    Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik

    We empirically investigate the relation between sovereign risk and exchange rates for a broad set of currencies. An increase in the credit default swap (CDS) spread of a country is accompanied by a significant depreciation of the exchange rate. More generally, CDS spread changes have substantial...

  20. A Classroom Experiment on Exchange Rate Determination with Purchasing Power Parity

    Science.gov (United States)

    Mitchell, David T.; Rebelein, Robert P.; Schneider, Patricia H.; Simpson, Nicole B.; Fisher, Eric

    2009-01-01

    The authors developed a classroom experiment on exchange rate determination appropriate for undergraduate courses in macroeconomics and international economics. In the experiment, students represent citizens from different countries and need to obtain currency to purchase goods. By participating in an auction to buy currency, students gain a…

  1. A Classroom Experiment on Exchange Rate Determination with Purchasing Power Parity

    Science.gov (United States)

    Mitchell, David T.; Rebelein, Robert P.; Schneider, Patricia H.; Simpson, Nicole B.; Fisher, Eric

    2009-01-01

    The authors developed a classroom experiment on exchange rate determination appropriate for undergraduate courses in macroeconomics and international economics. In the experiment, students represent citizens from different countries and need to obtain currency to purchase goods. By participating in an auction to buy currency, students gain a…

  2. From the currency rate quotations onto strings and brane world scenarios

    Science.gov (United States)

    Horváth, D.; Pincak, R.

    2012-11-01

    In the paper, we study the projections of the real exchange rate dynamics onto the string-like topology. Our approach is inspired by the contemporary movements in the string theory. The string map of data is defined here by the boundary conditions, characteristic length, real valued and the method of redistribution of information. As a practical matter, this map represents the detrending and data standardization procedure. We introduced maps onto 1-end-point and 2-end-point open strings that satisfy the Dirichlet and Neumann boundary conditions. The questions of the choice of extra-dimensions, symmetries, duality and ways to the partial compactification are discussed. Subsequently, we pass to higher dimensional and more complex objects. The 2D-Brane was suggested which incorporated bid-ask spreads. Polarization by the spread was considered which admitted analyzing arbitrage opportunities on the market where transaction costs are taken into account. The model of the rotating string which naturally yields calculation of angular momentum is suitable for tracking of several currency pairs. The systematic way which allows one suggest more structured maps suitable for a simultaneous study of several currency pairs was analyzed by means of the Gâteaux generalized differential calculus. The effect of the string and brane maps on test data was studied by comparing their mean statistical characteristics. The study revealed notable differences between topologies. We review the dependence on the characteristic string length, mean fluctuations and properties of the intra-string statistics. The study explores the coupling of the string amplitude and volatility. The possible utilizations of the string theory approach in financial markets are slight.

  3. Public Debt Tipping Point Studies Ingnore How Exchange Rate Changes May Create A Financial Meltdowns

    OpenAIRE

    Pope, Robin; Selten, Reinhard

    2012-01-01

    In studies concluding that public debt may hamper GDP, the debt tipping effects are estimated as if there were a single world currency. This means that such studies ignore the likely biggest cause of changes in growth rates, namely damage from exchange rate liquidity shocks because we do not live in the fairyland of a single world currency. The conclusions of these studies are accordingly invalid. They deflect attention from a prime danger, namely an exchange-rate-precipitated global meltdown...

  4. Currency Crisis, Monetary Policy and Corporate Balance Sheet Vulnerabilities

    NARCIS (Netherlands)

    Eijffinger, S.C.W.; Goderis, B.V.G.

    2005-01-01

    This paper studies how the exposure of a country's corporate sector to interest rate and exchange rate changes affects the probability of a currency crisis.To analyze this question, we present a model that defines currency crisis as situations in which the costs of maintaining a fixed exchange rate

  5. Currency Crisis, Monetary Policy and Corporate Balance Sheet Vulnerabilities

    NARCIS (Netherlands)

    Eijffinger, S.C.W.; Goderis, B.V.G.

    2005-01-01

    This paper studies how the exposure of a country's corporate sector to interest rate and exchange rate changes affects the probability of a currency crisis.To analyze this question, we present a model that defines currency crisis as situations in which the costs of maintaining a fixed exchange rate

  6. The Effect of Monetary Policy on Exchange Rates : How to Solve the Puzzles

    NARCIS (Netherlands)

    Kumah, F.Y.

    1996-01-01

    Recent empirical research on the effects of monetary policy shocks on exchange rate fluctuations have encountered the exchange rate puzzle and th e forward discount bias puzzle.The exchange rate puzzle is the tendency of the domestic currency (of non-US G-7 countries) to depreciate against the US

  7. The Effect of Monetary Policy on Exchange Rates : How to Solve the Puzzles

    NARCIS (Netherlands)

    Kumah, F.Y.

    1996-01-01

    Recent empirical research on the effects of monetary policy shocks on exchange rate fluctuations have encountered the exchange rate puzzle and th e forward discount bias puzzle.The exchange rate puzzle is the tendency of the domestic currency (of non-US G-7 countries) to depreciate against the US do

  8. RMB's Exchange Rate Policy Shift Creates Opportunity for Neighboring Countries

    Institute of Scientific and Technical Information of China (English)

    Xiao Yingying

    2010-01-01

    @@ The Chinese Yuan showed a trend to rise against the U.S. Dollar after the announcement of the People's Bank of China, Chinas central bank, to proceed further with the reform of the Yuan's exchange rate regime. Other Asian currencies followed the upward move.

  9. Statistical Analysis of the Exchange Rate of Bitcoin.

    Science.gov (United States)

    Chu, Jeffrey; Nadarajah, Saralees; Chan, Stephen

    2015-01-01

    Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate.

  10. The effect of exchange rate on marketing margin

    OpenAIRE

    Leila Torki; AhmadAli Rezaei; Shekofeh Nagheli

    2014-01-01

    This study presents a new structural model that incorprates price linkage and marketing marketing margin identity into a common framework. The inclusiom of exchange rate expands the framework to include goods traded in different currencies. This allows emprical estimates to be made of how changes in domestic prices exchange rates and middlemen costs are transmitted to foreign prices and the international marketing margin. The framework is emprically applied to international marketing channel ...

  11. Statistical Analysis of the Exchange Rate of Bitcoin

    Science.gov (United States)

    Chu, Jeffrey; Nadarajah, Saralees; Chan, Stephen

    2015-01-01

    Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate. PMID:26222702

  12. Statistical Analysis of the Exchange Rate of Bitcoin.

    Directory of Open Access Journals (Sweden)

    Jeffrey Chu

    Full Text Available Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate.

  13. Short-run Exchange-Rate Dynamics: Theory and Evidence

    DEFF Research Database (Denmark)

    Carlson, John A.; Dahl, Christian Møller; Osler, Carol L.

    of currency markets, it accurately reflects the constraints and objectives faced by the major participants, and it fits key stylized facts concerning returns and order flow. With respect to macroeconomics, the model is consistent with most of the major puzzles that have emerged under floating rates.......Recent research has revealed a wealth of information about the microeconomics of currency markets and thus the determination of exchange rates at short horizons. This information is valuable to us as scientists since, like evidence of macroeconomic regularities, it can provide critical guidance...... for designing exchange-rate models. This paper presents an optimizing model of short-run exchange-rate dynamics consistent with both the micro evidence and the macro evidence, the first such model of which we are aware. With respect to microeconomics, the model is consistent with the institutional structure...

  14. The intraday effects of central bank intervention on exchange rate spreads

    DEFF Research Database (Denmark)

    Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman

    2013-01-01

    We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention...... purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from...... those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty...

  15. Currency speculation and dollar fluctuations

    Directory of Open Access Journals (Sweden)

    S. SCHULMEISTER

    2013-12-01

    Full Text Available In this study the reasons behind the wide fluctuations of the dollar exchange rate following the breakdown of the Bretton Woods system, for the most part unexplained by the prevailing exchange rate theories, are explored. The author investigates the exchange rate between the two most traded currencies, the dollar and the deutschemark, from 1973 to 1988. In the first part, the pattern of the daily exchange rate movements is examined to show that a sequence of upward and downward trends interrupted by non-directional movements is typical of exchange rate dynamics in the short run. This pattern is systemically exploited through currency speculation, particularly through the use of “technical analysis”. In the second part, the author focuses on the medium-term, arguing that fluctuations can be explained as the result of interacting disequilibria in the goods and asset markets. Although currency speculation has been systemically profitable for most currencies, it should be considered to be destabilising since the sequence of price runs caused large and persistent deviations of exchange rates from their equilibrium values (purchasing power parity.  

  16. Currency speculation and dollar fluctuations

    Directory of Open Access Journals (Sweden)

    Stephan Schulmeister

    1988-12-01

    Full Text Available In this study the reasons behind the wide fluctuations of the dollar exchange rate following the breakdown of the Bretton Woods system, for the most part unexplained by the prevailing exchange rate theories, are explored. To do so, the author investigates the exchange rate between the two most traded currencies, the dollar and the deutschemark, from 1973 to 1988. In the first part, the pattern of the daily exchange rate movements is examined to show that a sequence of upward and downward trends interrupted by non-directional movements is typical of exchange rate dynamics in the short run. Moreover, this pattern is systemically exploited through currency speculation, particularly through the use of “technical analysis”. In the second part, the author focuses on the medium-term, arguing that fluctuations can be explained as the result of interacting disequilibria in the goods and asset markets. Although currency speculation has been systemically profitable for most currencies, it should be considered to be destabilizing since the sequence of price runs caused large and persistent deviations of exchange rates from their equilibrium values (purchasing power parity.

  17. Which currency exchange regime for emerging markets?: Corner solutions under question

    Directory of Open Access Journals (Sweden)

    Allegret Jean-Pierre

    2007-01-01

    Full Text Available During the 90s, recurrent exchange rate crises in emerging markets have shown the extreme fragility of soft pegs, the so-called intermediate exchange rate regimes. As a result, numerous academic economists but also International institutions have promoted a new consensus: domestic authorities have to choose their exchange rate regime between only two solutions called corner solutions or extreme regimes: hard pegs or independent floating. This paper questions de relevance of this consensus. We stress the main advantages and costs of each corner solution. We conclude by stressing that intermediate regimes associated to an inflation targeting framework seem a better solution for emerging countries than corner solutions.

  18. Intertemporal adjustment and fiscal policy under a fixed exchange rate regime

    OpenAIRE

    Aloy, Marcel; Moreno-Dodson, Blanca; Nancy, Gilles

    2008-01-01

    The paper presents a dynamic model for small to medium open economies operating under a fixed exchange rate regime. The model provides a partial explanation of the channels through which fiscal and monetary policy affects the real exchange rate. An empirical investigation is conducted for the case of Argentina during the currency board period of 1991-2001. Empirical estimates show that fis...

  19. THE INFLUENCE OF THE CURRENCIES RATE ON THE COUNTRY’S ECONOMICS

    Directory of Open Access Journals (Sweden)

    Saprunova E. A.

    2015-06-01

    Full Text Available The main aspects of the financial market influencing the country’s economy are considered in the article. In this field certain historical facts connected with the financial market are outlined. These facts show the USA economy influence on the world’s economics space determining the countries’ ability to resist financial expansion and insure their economies securities. Sustainable economic system capable to reserve the country’s sovereignty and to resist outer economic and political pressure is required for this activity. The basic aspects of the world currency system are given, the essence of some of them is revealed, some proposals are made that could stabilize the economies of the dollar-dependent countries. Besides, the article highlights the necessity to own gold reserve which means some extent secures to the country’s sovereignty. The agriculture investing perspective in case of inflation rate alignment is highlighted. The factors that influence the rate of the currency are given. Competitive ability of domestic products that have great influence on the country’s foreign trade is pointed out as the main factor in the relevance of the topic. To confirm some ideas of the article the opinions of scholars, known throughout the world as economists and philosophers are given. The topic of the welfare of the citizens of the country in periods of currency fluctuations has been considered and the recommendations for the improvement of their own position have been made

  20. Real Exchange Rate Targets, Nominal Exchange Rate Policies, and Inflation Real Exchange Rate Targets, Nominal Exchange Rate Policies, and Inflation

    Directory of Open Access Journals (Sweden)

    J. Saúl Lizondo

    1991-03-01

    Full Text Available Real Exchange Rate Targets, Nominal Exchange Rate Policies, and Inflation Thh paper examines the implications of some nominal exchange rate policies aimed or attaining a given real exchange rate target. A policy rule that sets the rate of nominal depreciation as a function of the departures of the real exchange rate from its target level is unable to achieve the target. In contrast, a policv rule that sets the change in the rate of depreciation as a function of those departures may lead the economy to the target, under certain conditions. However, this policy could also lead the economy to a process of accelerating inflation.

  1. ANALISIS PERBANDINGAN PENGGUNAAN HEDGINGANTARA FORWARD CONTRACT DENGAN CURRENCY SWAP UNTUK MEMINIMASI RISIKO FOREIGN EXCHANGE

    Directory of Open Access Journals (Sweden)

    Ni Wayan Eka Mitariani

    2013-07-01

    Full Text Available This study aims is to identifying the differences between using forward contract hedging or currencyswap hedging. Paired Sample T-Test were used to answer the problems and to test the hypothesis. The findings showthat without paying attention to the time value of money, currency swap hedging generated higher income value than forward contract hedging, whereas by paying attention to the time value of money, forwardcontracthedging generated higher income value than currency swap hedging. Significant differences were foundas far as the use of forward contract hedging and currency swap hedging are concerned, both by paying or noattention to the time value of money.

  2. The Exchange Rate Forecasting Puzzle

    OpenAIRE

    Francis Vitek

    2005-01-01

    We survey and update the empirical literature concerning the predictability of nominal exchange rates using structural macroeconomic models over the recent floating exchange rate period. In particular, we consider both flexible and sticky price versions of the monetary model of nominal exchange rate determination. In agreement with the existing empirical literature, we find that nominal exchange rate movements are difficult to forecast, with a random walk generally dominating the monetary mod...

  3. Cross - Currency Hedging Using Options

    OpenAIRE

    Suri, Akshay

    2006-01-01

    In today's competitive global markets, most firms are vulnerable to increasing fluctuation in foreign exchange, which is leading them to make use of Currency Derivatives to hedge their risks. Among the several derivatives available, Currency Options are the second most popular instrument used to hedge currency risk. Options are a very distinctive set of instruments that are available to hedge Currency risk. This study provides empirical evidence on why companies employ Currency Options to hed...

  4. The Official Use of International Currencies – Assessments and Implications

    Directory of Open Access Journals (Sweden)

    Orăștean Ramona

    2015-12-01

    Full Text Available The paper analyses the official use of international currencies as reserve currency (store of value and anchor currency (unit of account. Examining the role as a reserve currency we note that the US dollar is the main reserve currency even if it recorded a decline given the decrease of the value of the US dollar reserve holdings and the gradual diversification of the currencies used. Since 2010, the euro's share decreased continuously may be due to the Eurozone crisis and the euro's depreciation against the US dollar. Then we show that the US dollar dominates as an anchor currency, though it was temporary abandoned during crisis time, having more than a regional dimension. At the same time, the use of the euro in exchange rate arrangements appears mainly in the regions that have close links with the euro area. Over the last few years, we have witnessed a gentle orientation towards a multimonetary world, especially regarding the use of the international currencies as reserve currency given the diversification of the currencies in which central banks understand to hold international reserves and the increasing share of the nontraditional currencies in total foreign exchange reserves.

  5. INTERNATIONAL FINANCE AND THE RISK OF EXCHANGE RATE

    OpenAIRE

    Garcia Villegas, Emilio; Facultad de Ciencias Contables, Universidad Nacional Mayor de San Marcos

    2014-01-01

    Three major aspects are highlighted in international finance), international risks b) international opportunities and c) market imperfections. International risk-financial risks become relevant and insids them the risk of exchange rate that during the last years due to constant fluctuations of currencies like the U.S. dollar, Japanese yen, pound sterling and the euro have impacted economic and financial situation of enterprises. In recent years has been real important to strengthen the senior...

  6. Imperfect Exchange Rate Passthrough: Strategic Pricing and Menu Costs

    OpenAIRE

    Ghosh, Atish; Wolf, Holger

    2001-01-01

    A large body of literature finds that exporters do not pass nominal exchange rate movements fully through to destination market prices over short time horizons. This imperfect passthrough has been widely attributed to strategic “pricing-to-market”, whereby exporters deliberately accept changes in the home currency value of export prices in order to gain or defend market share. We show that imperfect passthrough in the short run may also arise from simple menu costs. In contrast to strategic p...

  7. Currency Wars: Who Gains from the Battle?

    NARCIS (Netherlands)

    P. Cumperayot (Phornchanok); R.R.P. Kouwenberg (Roy)

    2016-01-01

    textabstractWe study the growth effects of currency undervaluation when countries employ active exchange rate management policies or impose capital controls, using a panel dataset of 185 countries. Applying two-stage regressions, we find that changes in undervaluation driven by exchange rate

  8. Modeling the Volatility of Exchange Rates: GARCH Models

    Directory of Open Access Journals (Sweden)

    Fahima Charef

    2017-03-01

    Full Text Available The modeling of the dynamics of the exchange rate at a long time remains a financial and economic research center. In our research we tried to study the relationship between the evolution of exchange rates and macroeconomic fundamentals. Our empirical study is based on a series of exchange rates for the Tunisian dinar against three currencies of major trading partners (dollar, euro, yen and fundamentals (the terms of trade, the inflation rate, the interest rate differential, of monthly data, from jan 2000 to dec-2014, for the case of the Tunisia. We have adopted models of conditional heteroscedasticity (ARCH, GARCH, EGARCH, TGARCH. The results indicate that there is a partial relationship between the evolution of the Tunisian dinar exchange rates and macroeconomic variables.

  9. Investigating existence of chaos in short and long term dynamics of Moroccan exchange rates

    Science.gov (United States)

    Lahmiri, Salim

    2017-01-01

    This paper proposes a new methodology to investigate presence of chaos in exchange rate time series by combining wavelet transform and Lyapunov exponent estimation. In particular, stationary wavelet transform (SWT) is applied to exchange rate original time series for decomposition purpose. As a result, approximation and details coefficients are extracted. They are used to represent long and short term dynamics of the original exchange rate time series. Then, largest Lyapunov exponent is estimated for each type of dynamics to check for presence of chaos. Our methodology is applied to several Moroccan exchange rate time series. The empirical results show that, in general, the hypothesis of chaotic structure is accepted for currency levels but it is rejected for currency returns on both long and short dynamics. In addition, long and short dynamics exhibit different chaotic patterns in some exchange rate time series. Our approach may be useful to understand chaotic behaviour in original exchange rate time series.

  10. Analysis of Linkage Effects among Currency Networks Using REER Data

    Directory of Open Access Journals (Sweden)

    Haishu Qiao

    2015-01-01

    Full Text Available We modeled the currency networks through the use of REER (real effective exchange rate instead of a bilateral exchange rate in order to overcome the confusion in selecting base currencies. Based on the MST (minimum spanning tree approach and the rolling-window method, we constructed time-varying and correlation-based networks with which we investigate the linkage effects among different currencies. In particular, and as the source of empirical data, we chose the monthly REER data for a set of 61 major currencies during the period from 1994 to 2014. The study demonstrated that obvious linkage effects existed among currency networks and the euro (EUR was confirmed as the predominant world currency. Additionally, we used the rolling-window method to investigate the stability of linkage effects, doing so by calculating the mean correlations and mean distances as well as the normalized tree length and degrees of those currencies. The results showed that financial crises during the study period had a great effect on the currency network’s topology structure and led to more clustered currency networks. Our results suggested that it is more appropriate to estimate the linkage effects among currency networks through the use of REER data.

  11. Real exchange rate fluctuations, endogenous tradability and exchange rate regime

    OpenAIRE

    Kanda Naknoi

    2005-01-01

    This paper, empirically and theoretically, studies variance decomposition of real exchange rate. We find that deviations from the law of one price for traded goods drive most real exchange rates. However, the relative price of nontraded goods is also important for some countries maintaining stable exchange rate. We propose an explanation based on dynamics of comparative advantage. Our model predicts that comovement of terms of trade and productivity differentials of the nontraded and the expo...

  12. Capital Flows, Exchange Rate Flexibility, and the Real Exchange Rate

    OpenAIRE

    Jean-Louis Combes; Patrick Plane; Tidiane Kinda

    2011-01-01

    This paper analyzes the impact of capital inflows and exchange rate flexibility on the real exchange rate in developing countries based on panel cointegration techniques. The results show that public and private flows are associated with a real exchange rate appreciation. Among private flows, portfolio investment has the highest appreciation effect-almost seven times that of foreign direct investment or bank loans-and private transfers have the lowest effect. Using a de facto measure of excha...

  13. Choice of optimal exchange rate system For the Republic of Croatia

    OpenAIRE

    Dražen Koški

    2008-01-01

    The aim of research whose results are presented in this article was to choose the optimal system of exchange rate for the Republic of Croatia, of course before its accession to EU. The analyzed exchange rate systems here range from free-floating exchange rate to system without domestic currency in circulation. Naturally, the classification of International Monetary Fond is included in it. After that, the comparison of basic economic advantages and disadvantages of the fixed exchan...

  14. Moscow Black Markets and Official Markets for Foreign Exchange: How Much Flexiblity in Flexible Rates?

    OpenAIRE

    Goldberg, L S

    1992-01-01

    Flexible exchange-rate systems often are not recommended for countries undergoing economic transition. In late 1989, the former Soviet Union instituted exchange-rate flexibility on the limited share of enterprise international transactions channelled through the auction and. later, interbank markets for foreign-currency trade. This paper details the regulatory evolution of this system and analyses the impact of announced and implemented policy initiatives on two sets of flexible exchange rate...

  15. Measuring real exchange rate misalignment in Croatia: cointegration approach

    Directory of Open Access Journals (Sweden)

    Irena Palić

    2014-12-01

    Full Text Available The purpose of the paper is to analyze misalignment of the real exchange rate in Croatia. The misalignment analysis is conducted using the permanent equilibrium exchange rate approach. The equilibrium real exchange rate is computed using the cointegration approach whereby the real exchange rate and its fundamentals, namely terms of trade, net foreign assets and the ratio of prices of tradables to non-tradables are included in cointegration analysis. The Hodrick and Prescott filter is used to obtain permanent values of the equilibrium real exchange rate. The real exchange rate misalignment is computed as the deviation of the RER from its permanent equilibrium level. Four overvaluation periods and three undervaluation periods are recorded in Croatia in the observed period. Overvaluation periods are more often and of longer duration than undervaluation periods. However, the real exchange rate does not deviate largely from its estimated equilibrium value in the observed period, and it is neither overvalued nor undervalued constantly, but the periods alternate. Considering the results of the analysis, together with the empirical characteristics of Croatian economy, namely the high foreign currency indebtedness, highly euroized economy and underdeveloped export oriented sector, the depreciation of the real exchange rate is not recommended to economic policy makers and the current Croatian exchange rate policy is appropriate.

  16. Exchange rate reform:progress,challenges and prospects

    Institute of Scientific and Technical Information of China (English)

    陈东琪; 张岸元; 王元

    2009-01-01

    For three decades China has followed an incremental approach in renminbi exchange rate reform.During this period,the exchange rate system has gone through five stages of evolution:i) a"basket peg"exchange rate regime;ii) a dual-track system;Hi) exchange rate convergence;iv) a"unitary pegged"exchange rate regime;and v) a managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. Reforming the exchange rate formation mechanism is a complex engineering project influenced by numerous factors such as the economic development mode,industrial structure,basic economic system,market system condition,financial and macroeconomic policy system as well as the new advantages arising from opening-up initiatives.Since 2005,China has achieved substantial success in reforming the exchange rate formation mechanism but still faces a plethora of issues.To address these issues,China should strengthen the role of the market in the exchange rate formation process and gradually push for the free convertibility of the renminbi under the capital account.Amidst the raging global financial crisis,China should further adapt to the diversification of the international monetary system and aggressively proceed with renminbi regionalization and internationalization.

  17. Currencies of Science: discussing disciplinary “exchange rates” for citations and Mendeley readership

    Energy Technology Data Exchange (ETDEWEB)

    Costas, R.; Perianes-Rodriguez, A.; Ruiz-Castillo, J.

    2016-07-01

    In 1998 Garfield stated that “[t]he Mertonian description of normal science describes citations as the currency of science. Scientists make payments, in the form of citations, to their preceptors”. The idea of citations as a currency of science was also discussed by Wouters (1999) who suggested that the “role of the citation might also be compared with that of money, especially if the evaluative use of scientometrics is taken into account. Whenever the value of an article is expressed in its citation frequency, the citation is probably the most important unit of a ‘currency of science’”. Thus, citations have been seen as currency able to reward scientists for their work and scientific merit, being an integral part, together with authorship and acknowledgements, of the so-called “reward triangle” (Cronin & Weaver, 1995)2. This role of citations as main currency in evaluative scientometrics has gone unchallenged until recently. The emergence of new ways of measuring the reception of scientific publications by different audiences in the form of the so-called “altmetrics” (Haustein, et al. 2015a; Priem, et al. 2010) probably represents the most important attempt of expanding the system of currencies of science. However, research on altmetrics suggest that there are critical differences with citations: in coverage (Thelwall, et al. 2013), main characteristics (Haustein, et al., 2015), correlations (Costas, et al. 2015b; Haustein, et al. 2014), and interpretation (Haustein et al., 2016). These results essentially highlight the limited potential of most of these metrics as realistic alternatives to citations. (Author)

  18. The effect of exchange rate on marketing margin

    Directory of Open Access Journals (Sweden)

    Leila Torki

    2014-03-01

    Full Text Available This study presents a new structural model that incorprates price linkage and marketing marketing margin identity into a common framework. The inclusiom of exchange rate expands the framework to include goods traded in different currencies. This allows emprical estimates to be made of how changes in domestic prices exchange rates and middlemen costs are transmitted to foreign prices and the international marketing margin. The framework is emprically applied to international marketing channel using farmed apple data to investigate how Iranian export prices exchange rates and middlemen costs affect turkey wholesale prices and the marketing margin. Results suggest that the markets are via complete price and exchange rate pass through purely competitive and that the marketing margin only increase when costs of marketing service increase.

  19. Exchange Rates, Innovations and Forecasting

    OpenAIRE

    Wolff, Christian C

    1987-01-01

    In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange rate determination. A general finding is that the "news" formulation of monetary exchange rate models leads to relatively accurate ex post exchange rate forecasts. Often the results compare favourably with those obtained from the naive random walk forecasting rule. Thus, the evidence presented in this paper supports the argument that the 1983 finding by Meese and Rogoff (that...

  20. Why Do Countries Peg the Way They Peg? The Determinants of Anchor Currency Choice

    OpenAIRE

    Christopher M. Meissner; Oomes, Nienke

    2006-01-01

    Conditional on choosing a pegged exchange rate regime, what determines the currency to which countries peg or “anchor” their exchange rate? This paper aims to answer this question using a panel multinomial logit framework, covering more than 100 countries for the period 1980-1998. We find that trade network externalities are a key determinant of anchor currency choice, implying that there are multiple steady states for the distribution of anchor currencies in the international monetary system...

  1. THE IMPLICATIONS OF VARYING EXCHANGE RATES FOR THE INTERNATIONAL TRADE

    Directory of Open Access Journals (Sweden)

    Sandu Carmen

    2011-07-01

    Full Text Available The benefit of international trade is a more efficient employment of the productive forces of the world. (John Stuart Mill The exchange rate is a primary factor that influences economy. This instrument is used by some countries in order to improve the lack of balance caused as a result of the financial crisis felt in many countries considered by then infallible. The negative effects of the financial crisis can also be found in the decreased volume of commodities involved in international trade exchanges, as a consequence of modified prices and decreased offer. The globalizing trend leads to a constant expansion of exchanges between countries and to the consolidation of international cooperation. Except that economic interdependence generates an increased risk under the influence of economic, financial, monetary or political factors. The currency risk can generate either a gain or loss during foreign trade operations. The long period of RON depreciation made possible the entry of Romanian products on the international markets due to their prices. Sheltered by the gain generated by the evolution of the exchange rate, most of the exporters were not concerned by the increase of product competitiveness or by avoiding the currency risk. The fact that, for many years, the evolution of the exchange rate generated substantial losses for the exporters shows that risk coverage in Romania is, in most cases, a purely theoretical concept.

  2. The US Wages A Currency War against China

    Institute of Scientific and Technical Information of China (English)

    Song Hongbing

    2010-01-01

    @@ What is exactly on behind the currency war that greatly makes the headlines of world media coverage?A race for exchange rates or trade protectionism?Rebalance of the world economy or internationalization of the US internal politics?

  3. Does an undervalued currency merit economic growth?: Evidence from Taiwan

    Directory of Open Access Journals (Sweden)

    Yan Ho-Don

    2012-01-01

    Full Text Available Whether an undervalued currency is an attainable industrial policy for developing countries’ sustained development has recently invoked many discussions. This paper studies the case of Taiwan after first determining the misalignment of Taiwan’s currency by estimating the fundamental equilibrium real exchange rate. Three sub-periods for Taiwan’s currency exchange rate misalignment are identified: undervaluation in the periods 1981-1986 and 1998- 2008 and overvaluation during 1987-1997. Second, we use a vector autoregression (VAR model to examine the Granger causality between exchange rate misalignment and GDP, by incorporating export and investment variables. The evidence shows that exchange rate misalignment does Granger cause GDP and it mainly comes from the third sub-period when the Taiwan dollar was undervalued. From past experience and the current economic doldrums of the last resort of global exports - the United States - currency undervaluation is not a validated strategy upon which emerging markets can wishfully impinge.

  4. The contribution of the ECU to exchange-rate stability. A comment

    Directory of Open Access Journals (Sweden)

    M. SARCINELLI

    2013-12-01

    Full Text Available The article is a brief note criticising some essential elements of Jager and De Jong’s The private ECU’s potential impact on Global and European exchange-rate stability (1988. The author provides three points of criticism which undermine that article’s analysis. Firstly, the ECU ought to be considered in all its functions of an international reserve currency and not only as an investment currency. Secondly, the restrictiveness of the assumptions underlying the portfolio approach make the authors’ outcome useless in practice. Thirdly, the outcome of their calculations favours the hypothesis that the ECU creates exchange-rate stability.

  5. A COMPARATIVE ANALYSIS OF ASEAN CURRENCIES USING A COPULA APPROACH AND A DYNAMIC COPULA APPROACH

    Directory of Open Access Journals (Sweden)

    CHUKIAT CHAIBOONSRI

    2012-12-01

    Full Text Available The ASEAN Economic Community (AEC will be shaped developing to be a single market and production base in 2015, moving towards regional Economic Integration, 2009. These developments in international financial markets do lead to some adverse cost for AEC country borrowers. The specific objective aims to investigate the dependent measures and the co-movement among selected ASEAN currencies. A Copula Approach was used to examine dependent measures of Thai Baht exchange rate among selected ASEAN currencies during the period of 2008-2011. Also, a Dynamic Copula Approach was tested to investigate the co-movement of Thai Baht exchange rate among selected ASEAN currencies during the period of 2008-2011. The results of the study based on a Pearson linear correlation coefficient confirmed that Thai Baht exchange rate and each of selected ASEAN currencies have a linear correlation during the specific period excluding Vietnam exchange rate. Furthermore, based on empirical Copula Approach, Thai Baht exchange rate had a dependent structure with each of the selected in ASEAN currencies including Brunei exchange rate, Singapore exchange rate, Malaysia exchange rate, Indonesia exchange rate, Philippine exchange rate, and Vietnam exchange rate respectively. The results of Dynamic Copula estimation indicated that Thai Baht exchange rate had a co-movement with selected ASEAN currencies. The research results provide an informative and interactive ASEAN financial market to all users, including Global financial market.

  6. GENERAL ASPECTS RELATED TO THE SALE AND PURCHASE OF FOREIGN CURRENCY IN THE FOREX MARKET IN MOLDOVA

    Directory of Open Access Journals (Sweden)

    Tatiana ŞEVCIUC

    2015-04-01

    Full Text Available The buying-selling currency activity is a specific kind of trade within which currency is considered to be a good. The result of this trade is a price (currency rate of exchange that depends on the demand-supply conditions existing on the market; this price may be limited from legal point of view. The purpose of this article is to define various transactions on the currency market including that of the Republic of Moldova and to single out currency transactions within foreign currency accounts of the residents and non-residents.

  7. The Pattern of Currency Substitution in Latin American: An Overview The Pattern of Currency Substitution in Latin American: An Overview

    Directory of Open Access Journals (Sweden)

    Miguel A. Savastano

    1992-03-01

    Full Text Available The Pattern of Currency Substitution in Latin American: An Overview This paper identifies the stylized facts and common features of recent currency substitution episodes in Bolivia, Mexico, Peru and Uruguay. It discusses the relationship between macroeconomic policies and the pattern of currency substitution in these countries and investigates the effects that the presence of foreign currency deposits had on their demand for domestic money and on their ability to conduct monetary and exchangh rate policy. The paper argues that the decision to allow foreign currency deposits in the domestic financial system tends to increase the inflationary impact of fiscal imbalances and exchange role adjustments and jeopardizes the susfainability of a managed exchange rate regime.

  8. Statistical properties of the yuan exchange rate index

    Science.gov (United States)

    Wang, Dong-Hua; Yu, Xiao-Wen; Suo, Yuan-Yuan

    2012-06-01

    We choice the yuan exchange rate index based on a basket of currencies as the effective exchange rate of the yuan and investigate the statistical properties of the yuan exchange rate index after China's exchange rate system reform on the 21st July 2005. After dividing the time series into two parts according to the change in the yuan exchange rate regime in July 2008, we compare the statistical properties of the yuan exchange rate index during these two periods. We find that the distribution of the two return series has the exponential form. We also perform the detrending moving average analysis (DMA) and the multifractal detrending moving average analysis (MFDMA). The two periods possess different degrees of long-range correlations, and the multifractal nature is also unveiled in these two time series. Significant difference is found in the scaling exponents τ(q) and singularity spectra f(α) of the two periods obtained from the MFDMA analysis. Besides, in order to detect the sources of multifractality, shuffling and phase randomization procedures are applied to destroy the long-range temporal correlation and fat-tailed distribution of the yuan exchange rate index respectively. We find that the fat-tailedness plays a critical role in the sources of multifractality in the first period, while the long memory is the major cause in the second period. The results suggest that the change in China's exchange rate regime in July 2008 gives rise to the different multifractal properties of the yuan exchange rate index in these two periods, and thus has an effect on the effective exchange rate of the yuan after the exchange rate reform on the 21st July 2005.

  9. The Importance of Corporate Foreign Debt in Managing Exchange Rate Exposure in Non-Financial Companies

    DEFF Research Database (Denmark)

    Aabo, Tom

    2006-01-01

    This empirical study of the exchange rate exposure management of Danish non-financial firms listed on the Copenhagen Stock Exchange shows that debt denominated in foreign currency (foreign debt) is a very important alternative to the use of currency derivatives. The results show that the relative...... importance of foreign debt is positively related to (1) the extent of foreign subsidiaries, (2) the relative value of assets in place, and (3) the debt ratio. The pivotal role of time horizon is emphasised. These findings are important to firms in other countries with open economies....

  10. The Importance of Corporate Foreign Debt in Managing Exchange Rate Exposure in Non-Financial Companies

    DEFF Research Database (Denmark)

    Aabo, Tom

    2006-01-01

    This empirical study of the exchange rate exposure management of Danish non-financial firms listed on the Copenhagen Stock Exchange shows that debt denominated in foreign currency (foreign debt) is a very important alternative to the use of currency derivatives. The results show that the relative...... importance of foreign debt is positively related to (1) the extent of foreign subsidiaries, (2) the relative value of assets in place, and (3) the debt ratio. The pivotal role of time horizon is emphasised. These findings are important to firms in other countries with open economies....

  11. Exchange Rates and Old People.

    Science.gov (United States)

    Dowd, James J.

    1980-01-01

    Extends earlier work on aging as a process of exchange by focusing on the issue of exchange rates and how they are negotiated. Access to power resources declines with age, placing the old person in the position of negotiating from weakness. (Author)

  12. The Choice of Exchange Rate Regime: The Relevance of International Experience to China's Decision

    Institute of Scientific and Technical Information of China (English)

    JohnWilliamson

    2005-01-01

    The Chinese exchange rate has been the focus of discussion for many months, with both internal and external considerations seemingly pointing to the desirability of a currency revaluation. This paper draws from the lessons of international experience with exchangerate regimes in the period since Worm War Two. It lays out the conditions necessary to validate a fixed exchange rate and some intermediate regimes that might work when a fixed rate is inappropriate. It then discusses what the analysis implies for contemporary China.

  13. The choice of exchange rate regimes: An empirical analysis for transition economies

    OpenAIRE

    von Hagen, Jürgen; Zhou, Jizhong

    2002-01-01

    We analyze the choice of exchange rate regimes of the 25 transition economies in Europe and the CIS after 1990. The empirical results show that the traditional Optimum Currency Area considerations provide relevant guidance for the exchange rate regime choices in these countries. Moreover, regime choices are influenced by inflation rates, cumulative inflation differentials, and the availability of international reserves. That is, macroeconomic stabilization and the ability to commit to a credi...

  14. HEDGER BEHAVIOUR AND ITS IMPACT ON ORDER FLOW AND EXCHANGE RATE ON FOREIGN EXCHANGE MARKETS

    Directory of Open Access Journals (Sweden)

    Skoupil Lubomír

    2015-12-01

    Full Text Available The paper introduces the author’s original model which describes the main behavioural traits of the foreign exchange hedger who is trying to minimise her FX market risk exposure and secure foreign currency liquidity, in order to be able to settle her liabilities in a  timely manner. This behaviour is then analysed in the context of several exogenous shocks to prices and exchange rates and implications of how order flow and exchange rates react to this behaviour are drawn based on the theoretical framework. In Chapter 2, the conclusions on expected patterns in exchange rate evolution reached in the theoretical part are tested using the fuzzy clustering technique. The hypotheses reached in the theoretical section were partially supported by the empirical analysis: some of the expected patterns were revealed by the data during shock periods of prices of Brent Oil, Dow Jones Industrial Index, Standard and Poor’s 500 and four currency pairs (EURUSD, USDJPY, USDCAD, EURCZK

  15. THE IMPACT OF POLITICAL AND ECONOMIC NEWS ON THE EURO/RON EXCHANGE RATE: A GARCH APPROACH

    Directory of Open Access Journals (Sweden)

    Mihai Niţoi

    2012-12-01

    Full Text Available Within this study we try to capture the impact of political news and economic news from euro area on the exchange rate between Romanian currency and euro. In order to do this we used a GARCH model. As we observed, both variables influence the exchange rate, this fact implying national currency depreciation and a volatility growth. The political news and the economic news positively affect the euro/ron exchange rate volatility. The two factors conjugation, as it has happened in the recent period is to be avoided because it can have financial and economic consequences with a very high cost for Romania.

  16. Is Asian Currency Unit Attractive to East Asian Economies?

    Institute of Scientific and Technical Information of China (English)

    Bin Zhang; Fan He

    2007-01-01

    Pegging the RMB exchange rate to the Asian currency unit (ACU) has not, at least in the short term, been proved a better solution than pegging to the US dollar or pegging to a G-3 (US$, Japaneseyen and euro) currency basket. Although the Asian currency unit can help Asian economies to keep the relative price of regional currencies stable, the cost of joining a formal regional monetary cooperation is the relinquishment of the autonomy of their domestic policies. Asian monetary cooperation needs to provide more potential benefits if it is to attract Asian economies. We argue that Asian monetary cooperation should be designed to solve the problem of regional trade imbalance, and regional exchange rate policy coordination should be adopted as the first step towards exchange rate cooperation.

  17. An Overview of Foreign Currency Exposure

    OpenAIRE

    Harris, Peter; Kaur, Simran

    2013-01-01

    Foreign exchange exposure is defined as the assessment of potential of a firm’s profitability, net cash flow, and market value to change due to unpredictable changes of foreign exchange rates, which can be financially unfavorable to the global firm. This paper discusses the three various types of major foreign exchange exposure which are, translation, transaction, and economic; the risks associated with each exposure, and how to minimize specific currency risks.

  18. Currency strategy of constructivism in Kazakhstan

    Directory of Open Access Journals (Sweden)

    Zoryana Lutsyshyn

    2014-08-01

    Full Text Available The strategy of constructivism is one of the most efficient ones for the countries which stand at the intersection of interests of large players in the global economy. The modern currency reformation and principles of positioning of Kazakhstan could be a bright example of how the internal policy should be implemented to ensure the interests of a socially oriented state, including definitions of the currency mechanism. All measures and actions of the central bank and the government have always been weighted, consistent and foreseeable: the logic and economic substantiation have always been adhered to in the exchange rate policy at simultaneous liberalization of the foreign exchange market

  19. The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing

    NARCIS (Netherlands)

    Bekiros, S.D.; Diks, C.

    2007-01-01

    The present study investigates the long-term linear and nonlinear causal linkages among six currencies, namely EUR/USD, GBP/USD, USD/JPY, USD/CHF, AUD/USD and USD/CAD. The prime motivation for choosing these exchange rates comes from the fact that they are the most liquid and widely traded, covering

  20. MODELING EXCHANGE RATE CHANGE BASED ON THE ANALYSIS OF FUNDAMENTAL INDICATORS

    Directory of Open Access Journals (Sweden)

    Sergey A. Timofeev

    2013-01-01

    Full Text Available The article deals with analysis of economic fundamental data and the issue of modeling of change in exchange rate EUR/USD. On the basis of statistical methods from the analysis was developed a model which helps to predict the range of currencies.

  1. The choice of exchange rate regimes in developing countries: A mulitnominal panal analysis

    OpenAIRE

    von Hagen, Jürgen; Zhou, Jizhong

    2004-01-01

    This paper analyses the choices of exchange rate regimes in developing countries since 1980. Static and dynamic random-effects multinominal panel models are estimated using simulation-based techniques. Explanatory variables include OCA fundamentals, stabilization considerations, currency crises factors, and political and institutional features. The results reveal strong state dependence in regime choices.

  2. The structure of public debt and the choice of exchange rate regime

    OpenAIRE

    Michael Bleaney; F Gulcin Ozkan

    2011-01-01

    This paper explores the relationship between the denomination of public debt and the choice of exchange rate regime. Three types of debt (nominal, indexed, and foreign) and two regimes (fixed and flexible) are considered. Indexed debt is insulated against unexpected inflation. The real (domestic-currency) value of foreign debt is subject to valuation effects from real exchange rate shocks. The `fear-of-floating' result, that foreign debt makes pegging more attractive, is shown to hold unambig...

  3. Exchange Rate Risk Measurement and Management: Issues and Approaches for Public Debt Managers

    OpenAIRE

    Michael G. Papaioannou

    2009-01-01

    This paper presents conventional and alternative exchange-rate risk measures for government bonds, and outlines liability management operations for dealing with currency exposure. These risk measures and liability management operations are analyzed from the perspective of a sovereign debt manager. In particular, we examine the VaR statistic as a prominent measure of exchange rate risk exposure, along with an integrated VaR approach for the simultaneous estimation of a bonded portfolio’s int...

  4. Exchange rates and individual good's price misalignment: Some preliminary evidence of long-horizon predictability

    OpenAIRE

    Dong, Wei; Nam, Deokwoo

    2011-01-01

    When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate. Although purchasing-power-parity fundamentals, in general, have only weak predictability, currency misalignment may be indicated by price differentials for some goods, which could then have predictive power for subsequent re-ev...

  5. On forecasting Exchange Rate Volatility.

    OpenAIRE

    Hafner, Christian

    2003-01-01

    In an efficient market, foreign exchange rates have to guarantee absence of triangular arbitrage. This note shows that the no-arbitrage condition can be exploited for forecasting the volatility of a single rate by using the information contained in the other rates. Linearly transforming the volatility forecasts of a bivariate model is shown to be more efficient than using a univariate model for the cross-rate.

  6. Choice of optimal exchange rate system For the Republic of Croatia

    Directory of Open Access Journals (Sweden)

    Dražen Koški

    2008-12-01

    Full Text Available The aim of research whose results are presented in this article was to choose the optimal system of exchange rate for the Republic of Croatia, of course before its accession to EU. The analyzed exchange rate systems here range from free-floating exchange rate to system without domestic currency in circulation. Naturally, the classification of International Monetary Fond is included in it. After that, the comparison of basic economic advantages and disadvantages of the fixed exchange rate in relation to floating exchange rate were carried out. Although the question is about the extreme systems, disregarding the system without domestic currency in circulation, their comparison makes possible completely satisfactory basis for the right conclusions on the choice of optimal exchange rate system for the Republic of Croatia. Considering its economic particularities, the system of managed-floating exchange rate without proclaimed exchange direction in advance is certainly optimal for the Republic of Croatia. Namely, within the framework of this system the limited floating exchange rates decrease the foreign exchange risk allowing to monetary authorities, at least partly, the independent monetary policy

  7. Currency Crises and Monetary Policy in an Economy with Credit Constraints

    DEFF Research Database (Denmark)

    Bergman, Ulf Michael; Hassan, Shakill

    to the threat of a currency crisis is restrictive. We demonstrate that this result is primarily due to the uncovered interest parity assumption. Assuming that the exchange rate is a martingale restores the case for expansionary reaction - even with foreign-currency debt in firms' balance sheets. The effect...... of lower interest rates on output can help restore the value of the currency due to increased money demand...

  8. Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?

    DEFF Research Database (Denmark)

    Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman

    This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to formulate...... exert a significant influence on the exchange rate spread, but in opposite directions: intervention purchases of the smaller currency, on average, reduce the spread while intervention sales, on average, increase the spread. We also show that intervention only affects the exchange rate spread when...

  9. Nominal exchange rate flexibility and real exchange rate adjustment : evidence from dual exchange rates in developing countries

    OpenAIRE

    Cheung, Yin-Wong; Lai, Kon-Sun

    2005-01-01

    This study investigates whether exchange rate flexibility aids real exchange rate adjustment based on intra-period data on dual exchange rates from developing countries. Specifically, it analyzes whether the flexible parallel market rate produces faster or slower real exchange rate adjustment than the much less flexible official rate does. Half-life estimates of adjustment speeds are obtained using fractional time series analysis. We find no systematic evidence that greater exchange rate flex...

  10. Exchange Rate Volatility and Trade among the Asia Pacific Countries

    Directory of Open Access Journals (Sweden)

    Saang Joon Baak

    2004-06-01

    Full Text Available The purpose of this paper is to investigate the impact of exchange rate volatility on exports among 14 Asia Pacific countries, where various measures to raise the intra-region trade are being implemented. Specifically, this paper estimates a gravity model, in which the dependent variable is the product of the exports of two trading countries. In addition, it also estimates a unilateral exports model, in which the dependent variable is not the product of the exports of two trading countries but the exports from one country to another. By doing this, the depreciation rate of the exporting country's currency value can be included as one of the explanatory variables affecting the volume of exports. As the explanatory variables of the export volume, the gravity model adopts the product of the GDPs of two trading counties, their bilateral exchange rate volatility, their distance, a time trend and dummies for the share of the border line, the use of the same language, and the APEC membership. In the case of the unilateral exports model, the product of the GDPs is replaced by the GDP of the importing country, and the depreciation rate of the exporting country's currency value is dded. In addition, considering that the export volume will also depend on various onditions of the exporting country, dummies for exporting countries are also included as an explanatory variable. The empirical tests, using annual data for the period from 1980 to 2002, detect a significant negative impact of exchange rate volatility on the volume of exports. In addition, various tests using the data for sub-sample periods indicate that the negative impact had been weakened since 1989, when APEC had launched, and surged again from 1997, when the Asian financial crisis broke out. This finding implies that the impact of exchange rate volatility is time-dependent and that it is significantlynegative at least in the present time. This phenomenon is noticed regardless which estimation

  11. Currency Manipulation versus Current Account Manipulation

    OpenAIRE

    Junning Cai

    2005-01-01

    It is said that a country’s currency peg can become currency manipulation representing protracted government intervention in the foreign exchange market that gives it unfair competitive advantage in international trade yet prevents effective balance of payments in its trade partners. Regarding this widespread fallacy, this paper explains why currency peg is not currency manipulation even when it keeps a country’s currency undervalued. We clarify that 1) government is inherently a major player...

  12. The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models

    Directory of Open Access Journals (Sweden)

    Daniela Spiesová

    2014-10-01

    Full Text Available Currency market is recently the largest world market during the existence of which there have been many theories regarding the prediction of the development of exchange rates based on macroeconomic, microeconomic, statistic and other models. The aim of this paper is to identify the adequate model for the prediction of non-stationary time series of exchange rates and then use this model to predict the trend of the development of European currencies against Euro. The uniqueness of this paper is in the fact that there are many expert studies dealing with the prediction of the currency pairs rates of the American dollar with other currency but there is only a limited number of scientific studies concerned with the long-term prediction of European currencies with the help of the integrated ARMA models even though the development of exchange rates has a crucial impact on all levels of economy and its prediction is an important indicator for individual countries, banks, companies and businessmen as well as for investors. The results of this study confirm that to predict the conditional variance and then to estimate the future values of exchange rates, it is adequate to use the ARIMA (1,1,1 model without constant, or ARIMA [(1,7,1,(1,7] model, where in the long-term, the square root of the conditional variance inclines towards stable value.

  13. SPECTRAL ANALYSIS OF EXCHANGE RATES

    Directory of Open Access Journals (Sweden)

    ALEŠA LOTRIČ DOLINAR

    2013-06-01

    Full Text Available Using spectral analysis is very common in technical areas but rather unusual in economics and finance, where ARIMA and GARCH modeling are much more in use. To show that spectral analysis can be useful in determining hidden periodic components for high-frequency finance data as well, we use the example of foreign exchange rates

  14. Explore the Application of Financial Engineering in the Management of Exchange Rate Risk

    Directory of Open Access Journals (Sweden)

    Yang Liu

    2015-01-01

    Full Text Available In the background where the domestic enterprises commonly have a weak protection consciousness against the exchange rate risk, this article makes a deep analysis based on the definition of exchange rate risk and its cause. By comparison of the traditional management method of exchange rate risk with another one based on financial engineering tools, it also deeply analyzes the method to use the financial engineering technology in the management of exchange rate risk, and concludes the primary purpose of exchange rate risk management is for hedging. This article proposes an optimal analysis method in two aspects, namely the minimum risk and maximum efficiency, for the forward-based optimal hedging, and proposes an optimal analysis method of dynamic hedging for the optimal hedging of option-based tools. Based on the description of the application of financial tools in foreign exchange futures, forward contract, currency exchange and foreign exchange option, it makes an empirical analysis on the management of foreign exchange risk by taking an assumed T company as the carrier and based on the trading tools of forward foreign exchange and currency option, which describes the operation procedure of financial tools in a more direct way and proves the efficiency of the optimal analysis method of this article.

  15. VaR: Exchange Rate Risk and Jump Risk

    Directory of Open Access Journals (Sweden)

    Fen-Ying Chen

    2010-01-01

    Full Text Available Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital for investors in highly integrated global financial markets. Second, in general, the analytical VaR solution is more accurate than historical simulations in terms of backtesting and Christoffersen's independence test (1998 for small portfolios and large portfolios. In other words, the proposed model is reliable not only for a portfolio on specific stocks but also for a large portfolio. Third, the model can be regarded as the extension of that of Kupiec (1999 and Chen and Liao (2009.

  16. THE IMPACT OF THE EXCHANGE RATE ON THE COMMERCIALS FLOWS

    Directory of Open Access Journals (Sweden)

    Mihaela IAVORSCHI

    2015-04-01

    Full Text Available The liberalization of capital movements between states and of the trade of goods and services, are one of the most important phenomena in the current world economy. The purpose of the present study, in the case of Romania, is to answer the question whether the interventions by means of the exchange rate of the national currency contributes to the fluidization and improvement of the commercial trades. The study demonstrates that the leu devaluation does not lead to a substantial increase of the exports. As a mechanism of influence of the commercials flows, the exchange rate has a short-term influence and the economy requires structural reforms, meant to stimulate the growth of the economic competitiveness.

  17. Exchange Rate Deregulation and Industrial Performance: An ...

    African Journals Online (AJOL)

    FIRST LADY

    Key Words: Exchange Rate, Deregulation, Industrial Performance, Co- integration ... and exchange risk there from. In fact ... factors underscore the importance of exchange rate to the economic well being of ..... Wearing. Apparel, Footwear,.

  18. CHANGES IN EXCHANGE RATE REGIMES

    Directory of Open Access Journals (Sweden)

    Carmen SANDU (TODERASCU

    2014-06-01

    Full Text Available The experience of recentyears showsthat it hasa fundamentalroleformation mechanismof the exchange rateinmacroeconomic stabilization. Global economiccrises, oil shockshave shownthe difficultyoffloatingsustainabilitybyparticipants in the system. EuropeanMonetary System, focused onconcertedfloatingcurrenciestoECU, was formedunder the conditionsin which somecountries have adoptedregional monetaryarrangements(EU countries, with suchbasescurrencyregimeshybridthat combinesspecific mechanismsto those offixedratefree floating. This paperaims to demonstratethe important role thatithasthe choice ofexchange rateregimeas abasic elementin thefoundationofmacroeconomic stabilizationinstruments. Consideredan expression of thestateof the domestic economyandinternationalcompetitiveness, the exchange rate is determined bya complex set ofexternal factorsorinternalstabilityisa prerequisite forthe crisis.

  19. The Effects of Exchange Rate Market in the Economy of Kosova

    Directory of Open Access Journals (Sweden)

    Argjira Kadrijaj Dushi

    2014-08-01

    Full Text Available From a conducted centralized economy, Kosovo‟s economy became a free market after 1999. This made the economy of Kosovo to face a lot of challenges. One of them and still a topic not studied among Kosovo economists is the Kosovo currency. Kosovo is not yet a member of EU but since 2002 is using euro currency. What are the advantages and disadvantages of using euro currency for the economy of Kosovo? This was not questionable in 2002, because Kosovo was still in the first steps of creating a financial system. But, today the importance of exchange rates in economy is crucial as a result of the internationalization of businesses, the constant increase of world trade with the national one and the rapid change of money transfer technology. In this research, through quantitative and qualitative methods is analyzed the development of exchange rate market in Kosovo and the effects of exchange rates movements in Kosovo economy, its GDP and inflation and in consumer price index. The research will point out the importance of exchange rates as an interest variable for some of Kosovo businesses and its effects in the transition economy of Kosovo which has not been exposed to exchange rates risk on macroeconomic variables.

  20. Floating Exchange Rate Regime and Changing Dynamics of the Foreign Exchange Market in Turkey

    Directory of Open Access Journals (Sweden)

    Senkan Aldemir

    2011-07-01

    Full Text Available The aim of this study was to determine the changes caused by the implementations of currency basket peg and floating exchange regime on domestic foreign exchange market dynamics through the estimation of weights for the reserve currencies in the currency basket. Elasticity coefficients of Turkish Lira against seven currencies were estimated for two sampling periods (1995:01-1999:07 and 2002:01-2008:01 using generalized vector autoregression method. The study focuses on Turkish economy. The scope of the study represents a quite new field of investigation which is analyzed only to a limited extent in the literature. The main contribution of the study was that the study extended the empirical model which was taken as a basis in the majority of the studies on currency basket and the analyses which estimated using vector autoregression method whose sampling was limited to Asia countries, using generalized impulse response normalization approach. The findings obtained from the first period support the weights of currencies in announced basket of currencies. It was observed that Pound Sterling had a significant weight in domestic foreign exchange market dynamics in the second period.

  1. Signatures of Currency Vertices

    Science.gov (United States)

    Holme, Petter

    2009-03-01

    Many real-world networks have broad degree distributions. For some systems, this means that the functional significance of the vertices is also broadly distributed, in other cases the vertices are equally significant, but in different ways. One example of the latter case is metabolic networks, where the high-degree vertices — the currency metabolites — supply the molecular groups to the low-degree metabolites, and the latter are responsible for the higher-order biological function, of vital importance to the organism. In this paper, we propose a generalization of currency metabolites to currency vertices. We investigate the network structural characteristics of such systems, both in model networks and in some empirical systems. In addition to metabolic networks, we find that a network of music collaborations and a network of e-mail exchange could be described by a division of the vertices into currency vertices and others.

  2. An analysis of exchange rate risk exposure related to the public debt portfolio of Tunisia: Beyond VaR approach

    Directory of Open Access Journals (Sweden)

    Omrane Samia

    2012-01-01

    Full Text Available The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appears as a source of risk for the Tunisian external debt but remains less risky than the yen, while, the euro constitutes a hedge currency for exchange risk management associated with the Tunisian public debt portfolio.

  3. An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach

    OpenAIRE

    Omrane Samia

    2012-01-01

    The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appea...

  4. Exchange rate volatility and oil prices shocks and its impact on economic sustainability

    Directory of Open Access Journals (Sweden)

    Khuram Shaf

    2015-01-01

    Full Text Available Impact of exchange rate volatility has received a great attention from the last century, its importance is certain in all sectors of the economy and it affects welfare as well as social life of the economy. Exchange rate between two currencies tells the value of one currency in terms of others one. Depreciation/Appreciation of exchange rate affects economic growth in terms of trade and shifts income to/from exporting countries from/to importing countries. The factors affecting exchange rate are inflation, interest rate, foreign direct investment, government consumption expenditure and balance of trade. This research study examines the impact of oil prices and exchange rate volatility on economic growth in Germany based on 40-year annual data. Cointegration technique is applied to check the impact of macroeconomic variables on exchange rate in the long run and short run. It is estimated that imports, exports, inflation, interest rate, government consumption expenditure and foreign direct investment had significant impacts on real effective exchange rate in the long run and short run. Sin addition, Engle Granger results indicate that relationship was significant for the long run and its error correction adjustment mechanism (ECM in short a run is significant and correctly signed for Germany.

  5. Contagion in the Brazilian interbank currency exchange market: an empirical analysis

    Directory of Open Access Journals (Sweden)

    Maria Tannuri-Pianto

    2006-06-01

    Full Text Available The risk of contagion is the possibility that the failure of a financial institution affected by an exogenous shock generates the failure of other institutions not initially affected by the shock. As pointed out by Upper and Worms (2002 and others, the domino effect in the payment system depends on the precise pattern of interbank linkages. This paper studies the occurrence of financial contagion after the exogenous failure of an institution authorized to operate in the Brazilian interbank currency market. The data contain information about all the actual transactions that occurred in this market from August 1st, 2000 to October 31st, 2002. The adopted methodology shows the occurrence of contagion propagation in several subsequent rounds after the initial failure. We quantify the number of institutions that breakdown and the financial losses of the market. There is a large increase in the number of failed institutions during the period of the presidential elections in 2002.O risco de contágio é a possibilidade de que a falência de uma instituição financeira afetada por algum choque exógeno gere a falência de outras instituições não afetadas pelo choque inicialmente. Como salienta Upper e Worms (2002 e outros, o efeito dominó no sistema de pagamentos depende do padrão das interligações bancárias. Este artigo estuda a ocorrência de contágio financeiro após a falência exógena de uma instituição autorizada a operar no mercado interbancário de câmbio no Brasil. Os dados contêm informações sobre todas as transações efetivamente realizadas no período 01/08/2000 a 31/10/2002. A metodologia adotada mostra a ocorrência da propagação do contágio após várias rodadas subseqüentes à falência inicial. O artigo quantifica o número de instituições que quebrariam e as perdas financeiras do mercado. Existe um aumento substancial no número de falências durante o período pré-eleitoral em 2002.

  6. Value-Added Exchange Rates

    OpenAIRE

    Rudolfs Bems; Robert C. Johnson

    2012-01-01

    This paper updates the conceptual foundations for measuring real effective exchange rates (REERs) to allow for vertical specialization in trade. We derive a value-added REER describing how demand for the value added that a country produces changes as the price of its value added changes relative to competitors. We then compute this index for 42 countries from 1970-2009 using trade measured in value added terms and GDP deflators. There are substantial differences between value-added and conven...

  7. 31 CFR 103.37 - Additional records to be made and retained by currency dealers or exchangers.

    Science.gov (United States)

    2010-07-01

    ... banks that offer services in dealing or changing currency to their customers as an adjunct to their..., career diplomatic or consular officers, or (B) Naval, military or other attaches of foreign embassies... to identify and reconstruct currency transactions with customers and foreign banks; (3) A record of...

  8. The Omitted Factor in Risk Management: Corporate Foreign Debt as an Alternative to Currency Derivatives

    DEFF Research Database (Denmark)

    Aabo, Tom

    Empirical surveys on exchange rate risk management in non-financial companies focus on the use of currency derivatives while omitting the use of corporate debt denominated in foreign currency ("foreign debt") even though the latter in risk management terms is identical to one or a series of forward...

  9. A single currency: utopia today? Reality tomorrow?

    Directory of Open Access Journals (Sweden)

    C. DE STRYCKER

    2013-12-01

    Full Text Available The collapse of the Bretton Woods international monetary system in 1971 inaugurated an era of highly fluctuating exchange rates. Part of the reason for this volatility has been the almost complete internationalisation of capital markets, with national currencies remaining subject to political influences and the vagaries of changing trade patterns. One possible solution to these problems would be the adoption of a single international currency unit. Although this would not remove the problem inherent in balance of payments disequilibrium, it would nevertheless impose greater market discipline on financial policies by removing the option of monetary adjustments.

  10. East Asia’s Foreign Exchange Rate Policies

    Science.gov (United States)

    2009-07-16

    At the other extreme, Japan, the Philippines, and South Korea have usually allowed their currencies to float freely in foreign exchange ( forex ...China, Indonesia, Malaysia, Singapore, Taiwan, Thailand, and Vietnam allow their currency to adjust in value in forex markets so long as the...There were also reports that Korea sold more dollars for won in early April 2008.7 At the time, some forex analysts claimed that the new South Korean

  11. Polish Toxic Currency Options

    Directory of Open Access Journals (Sweden)

    Waldemar Gontarski

    2009-04-01

    Full Text Available Toxic currency options are defined on the basis of the opposition to the nature (essence of an option contract, which is justified in terms of norms founded on the general law clause of characteristics (nature of a relation (which represents an independent premise for imposing restrictions on the freedom of contracts. So-understood toxic currency options are unlawful. Indeed they contravene iuris cogentis regulations. These include for instance option contracts, which are concluded with a bank, if the bank has not informed about option risk before concluding the contract; or the barrier options, which focus only on the protection of banks interests. Therefore, such options may appear to be invalid. Therefore, performing contracts for toxic currency options may be qualified as a criminal mismanagement. For the sake of security, the manager should then take into consideration filing a claim for stating invalidity (which can be made in a court verdict. At the same time, if the supervisory board member in a commercial company, who can also be a subject to mismanagement offences, commits an omission involving lack of reaction (for example, if he/she fails to notify of the suspected offence committed by the management board members acting to the companys detriment when the management board makes the company conclude option contracts which are charged with absolute invalidity the supervisory board member so acting may be considered to act to the companys detriment. In the most recent Polish jurisprudence and judicature the standard of a good host is treated to be the last resort for determining whether the managers powers resulting from criminal regulations were performed. The manager of the exporter should not, as a rule, issue any options. Issuing options always means assuming an obligation. In the case of currency put options it is an absolute obligation to purchase a given amount in euro at exchange rate set in advance. On the other hand issuing

  12. Negative Policy Rates, Banking Flows and Exchange Rates

    OpenAIRE

    Khayat, Anwar

    2015-01-01

    Setting negative nominal rates is one of the unconventional policies implemented after the Great Recession to overcome the Zero Lower Bound. Using data from the euro area and Denmark, I assess the impact of introducing a negative interest rate on reserves. I find that it did put a depreciation pressure on the currency due to a reversal in banking flows. This effect is not only caused by policy differentials, but also by a distinct impact of going into negative territory from lowering interest...

  13. Are pound and euro the same currency?

    Energy Technology Data Exchange (ETDEWEB)

    Matsushita, Raul [Department of Statistics, University of Brasilia, 70910900 Brasilia DF (Brazil); Gleria, Iram [Department of Physics, Federal University of Alagoas, 57072970 Maceio (Brazil); Figueiredo, Annibal [Department of Physics, University of Brasilia, 70910900 Brasilia DF (Brazil); Silva, Sergio da [Department of Economics, Federal University of Santa Catarina, 88049970 Florianopolis (Brazil)], E-mail: professorsergiodasilva@gmail.com

    2007-08-20

    Based on long-range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [M. Ausloos, K. Ivanova, Physica A 286 (2000) 353; K. Ivanova, M. Ausloos, False EUR exchange rates vs DKK, CHF, JPY and USD. What is a strong currency? in: H. Takayasu (Ed.), Empirical Sciences in Financial Fluctuations: The Advent of Econophysics, Springer-Verlag, Berlin, 2002, pp. 62-76]. They conclude that pound and euro are in practice the same currency. We assess the long-range dependence over time through Hurst exponents of pound-dollar and extended euro-dollar exchange rates employing three alternative techniques, namely rescaled range analysis, detrended fluctuation analysis, and detrended moving average. We find the result above (which is based on detrended fluctuation analysis) not to be robust to the changing techniques and parameterizing.

  14. Who Pulls the Trigger? Evidence on Corporate Currency Speculation

    DEFF Research Database (Denmark)

    Aabo, Tom; Hansen, Marianna Andryeyeva; Pantzalis, Christos

    This empirical study of non-financial firms is based on a survey of 186 medium-sized, non-financial Danish firms with operating revenues and/or costs in foreign currency. We find that the involvement of non-finance departments in the management of exchange rate risks has a positive impact...... on currency speculation whether in the form of selective hedging or active speculation. This result adds to the literature and is important given the increasing focus on an integrated perspective on risk management in non-financial firms. We furthermore find and confirm previous studies that currency...

  15. MEANING OF THE BITCOIN CRYPTOGRAPHIC CURRENCY AS A MEDIUM OF EXCHANGE

    OpenAIRE

    Łukasz Dopierała; Adam Borodo

    2014-01-01

    This article presents one of the new elements of virtual reality, which is the Bitcoin cryptocurrency. This thesis focuses on the condition and perspectives on development of the trading function of this instrument. The authors discuss the legal aspects of functioning of the Bitcoin, conduct a SWOT analysis of this cryptocurrency as a medium of exchange, and examin the scale of use of Bitcoin in transaction purposes. As of March 1, 2014 the trading system gradually develops and the strengths ...

  16. 31 CFR 100.6 - Destroyed paper currency.

    Science.gov (United States)

    2010-07-01

    ... 31 Money and Finance: Treasury 1 2010-07-01 2010-07-01 false Destroyed paper currency. 100.6 Section 100.6 Money and Finance: Treasury Regulations Relating to Money and Finance EXCHANGE OF PAPER CURRENCY AND COIN Exchange of Mutilated Paper Currency § 100.6 Destroyed paper currency. No relief will...

  17. 31 CFR 100.5 - Mutilated paper currency.

    Science.gov (United States)

    2010-07-01

    ... 31 Money and Finance: Treasury 1 2010-07-01 2010-07-01 false Mutilated paper currency. 100.5 Section 100.5 Money and Finance: Treasury Regulations Relating to Money and Finance EXCHANGE OF PAPER CURRENCY AND COIN Exchange of Mutilated Paper Currency § 100.5 Mutilated paper currency. (a) Lawfully...

  18. EXCHANGE RATE DIFFERENCES-THE ACCOUNTING TREATMENT AND ITS INFLUENCE ON THE FINANCIAL PERFORMANCE OF AN ECONOMIC ENTITY

    Directory of Open Access Journals (Sweden)

    Nicoleta Cristina MATEI

    2016-06-01

    Full Text Available Currency rate differences arise when there are certain debt rights or obligations in foreign currency of an economic entity which are collected, i.e. paid for at a different course from the one displayed by the Romanian National Bank on the date of their establishment. Such differences, according to the situation, generate expenditure or revenue which affects a company's financial result and, consequently, the accountant result as well. The results registered by an economic entity presented in the Profit and Loss Account provide information about its financial performance. This performance can be influenced by the favorable or unfavorable exchange rate differences existing when an economic entity carries out transactions or has incurred foreign currency loans having a significant share in the total amount of transactions or in capitals. The present paper shows the accounting treatment of the exchange rate differences and its impact on the financial performance.

  19. Exchange rate rebounds after foreign exchange market interventions

    Science.gov (United States)

    Hoshikawa, Takeshi

    2017-03-01

    This study examined the rebounds in the exchange rate after foreign exchange intervention. When intervention is strongly effective, the exchange rate rebounds at next day. The effect of intervention is reduced slightly by the rebound after the intervention. The exchange rate might have been 67.12-77.47 yen to a US dollar without yen-selling/dollar-purchasing intervention of 74,691,100 million yen implemented by the Japanese government since 1991, in comparison to the actual exchange rate was 103.19 yen to the US dollar at the end of March 2014.

  20. Exchange Rate Regimes – A periodical overview and a critical analysis of exchange rate regimes in Kosovo

    Directory of Open Access Journals (Sweden)

    Flamur Bunjaku

    2015-03-01

    Full Text Available Exchange rate regimes and the monetary policy are the key instruments governments use to achieve their economic and financial objectives. Moreover, due to global financial crisis the latter instruments get more importance. Empirical evidences show that exchange rate regimes in Kosovo and its monetary policy throughout their development were mainly influenced by different political and historical developments. In regard of Euroisation of monetary system in Kosovo it was found that this action generated macro - financial stability in terms of inflation and price fluctuation. However, in terms of microeconomic aspects, the unilateral adaptation of Euro as the official currency of Kosovo failed to provide microeconomic advantages such as to export stimulation, and so forth. The main exchange rate regime systems were discussed focusing in their advantages and disadvantages, and it was concluded that there is no commonly accepted theory regarding the optimality of exchange rate regimes. In addition, the global financial crisis impact in the financial system of Kosovo is also discussed and it was found that negative impacts of global financial crisis were moderate and indirect.

  1. Exchange Rate Volatility in BRICS Countries

    OpenAIRE

    2012-01-01

    This paper measures the impact of bilateral exchange rates, the world agricultural GDP and third-country exchange rate volatilities (Yen/USD and Euro/USD) on the BRICS agricultural exports using a vector autoregressive (VAR) model. Two measures of volatility are used: the standard deviation and the coefficient of variation of the rates of change of the real exchange rates. We found that most variables are integrated of order two except the third-country exchange rate volatilities which are st...

  2. Statistical Analysis of Pakistani Currency Regime before and after Floatation

    Directory of Open Access Journals (Sweden)

    Shahid ALI

    2011-05-01

    Full Text Available In this paper the trends of exchange rates for the foreign currency are studied yearly for Pakistan rupee. In 2000 State bank of Pakistan officially floated the rupee. In this studies the trends of the exchange rate before floating and after floating and then checks its impact on the GDP per capita of the country. Here we consider the daily data of exchange rates of Pakistani currency from 1995 to 2009. Data was analyzed from 1995 to 2000 in the first step. In the second step data from 2001 to 2009 was analyzed. The result shows that if one wants to fl oat currency he must keep in mind that the political condition or stable and that the economy is also stable so that the system of fl oat can perform its functions completely.

  3. Cracks in the crystal ball : What happens to firms’ foreign exchange rate exposure when forecasters don’t agree about the future

    NARCIS (Netherlands)

    A. Muller (Aline); J. Poncelet (Julien); W.F.C. Verschoor (Willem); R.C.J. Zwinkels (Remco)

    2013-01-01

    textabstractThe central issue of this paper is whether stock prices are exposed to total exchange rate movements – as traditionally measured – or to revisions in expected future exchange rate movements and unanticipated currency shocks, and by how much of each. Based on a sample of 1675 U.S. firms

  4. Cracks in the crystal ball : What happens to firms’ foreign exchange rate exposure when forecasters don’t agree about the future

    NARCIS (Netherlands)

    A. Muller (Aline); J. Poncelet (Julien); W.F.C. Verschoor (Willem); R.C.J. Zwinkels (Remco)

    2013-01-01

    textabstractThe central issue of this paper is whether stock prices are exposed to total exchange rate movements – as traditionally measured – or to revisions in expected future exchange rate movements and unanticipated currency shocks, and by how much of each. Based on a sample of 1675 U.S. firms o

  5. Multipurpose Platform for Electronic Currency System

    Directory of Open Access Journals (Sweden)

    Andreea Magdalena Dae

    2014-12-01

    Full Text Available Nowadays, there are multiple solutions for exchanging electronic currencies which will most probably replace physical money. This paper presents a platform for electronic currency system implemented within a Java smart card for accessing different types of products or services. The user interacts with an “electronic currency bank” and with a merchant through a secure protocol.

  6. 19 CFR 159.36 - Multiple certified rates.

    Science.gov (United States)

    2010-04-01

    ... TREASURY (CONTINUED) LIQUIDATION OF DUTIES Conversion of Foreign Currency § 159.36 Multiple certified rates... rates of exchange (e.g., official and free) for a foreign currency: (a) Rates to be published. When the... multiple rates have been certified for a foreign currency, the rate to be used for Customs purposes...

  7. The Appropriate Model and Dependence Measures of Thailand’s Exchange Rate and Malaysia’s Exchange Rate: Linear, Nonlinear and Copulas Approach

    Directory of Open Access Journals (Sweden)

    Pisit Leeahtam

    2011-10-01

    Full Text Available The objectives of this study are to find the fitting model and dependence measures of both Thailand’s exchange rate and Malaysia’s exchange rate during, between, and after the World’s recent financial crises based on linear, nonlinear and empirical copula approaches.The results of the study confirm that the nonlinear model (NNTs is an appropriate model for Thailand’s exchange rate return in percentage during the periods of 2008-2011but not for Malaysia’s exchange rate return. Based on empirical copula approach, the dependence measures are very small between Thailand’s exchange and Malaysia’s exchange. This seems to suggest that when global economy is affected by World’s financial crisis, the nonlinear approach should be used to predict Thailand’s exchange rate return in percentage. In addition, it suggests that both the nonlinear and linear approaches should be used to predict the Malaysia’s exchange rate return in percentage. Moreover, the relationship between the exchange rate of Thailand and that of Malaysia is not strong.This is also true for the currencies of both countries.

  8. A Three-State Markov-Modulated Switching Model for Exchange Rates

    Directory of Open Access Journals (Sweden)

    Idowu Oluwasayo Ayodeji

    2016-01-01

    Full Text Available Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit a k-state (k≥2 pattern. The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira. Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies. For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds. In addition, taking 0.5 as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.

  9. Forecasting of Currency Crises in East Asia

    Directory of Open Access Journals (Sweden)

    Chi-Young Song

    2005-06-01

    Full Text Available In this paper, we have developed a forecasting system for currency crisis in East Asia based on a signaling approach. Our system uses 15 monthly indicators of five East Asian countries including Indonesia, Korea, Malaysia, the Philippines and Thailand that were severely hit by the currency crisis in 1997. We investigate the performance of the system through deploying out-of-sample forecasting for the periods both before and after the 1997 East Asian currency crisis. Unlike the existing research based on the signaling approach, our out-of-sample forecasting does not fix the in-sample period. The out-of-sample forecasting between July 1995 and June 1997 shows that prior to breakout of the crisis, several indicators including real exchange rates and exports sent frequent warnings to all crisis-hit East Asian countries except the Philippines. This may indicate that a signaling-based early warning system for currency crisis could have been an useful method of forecasting the East Asian crisis. On the other hand, we also find that our forecasting system often generates warning signals during the out-of-sample period between July 1999 and June 2001. Since we have not observed any currency crisis in this region after 1998, these are all false alarms, indicating that our system may be seriously exposed to the type II error. We can, however, mitigate this problem if we adjust the optimal critical values of indicators depending on the preferences of forecasting system manager.

  10. Real Exchange Rate Misalignment in the cfa franc zone after the cfa franc devaluation of January 1994

    OpenAIRE

    Kuikeu, Oscar

    2013-01-01

    In cfa franc zone, the exchange rate was devalued, in January 1994, in order to deal with the major macroeconomic imbalances that have affected the members during the 1980 decade. Thus, the aim of this paper is to assess the degree of over/undervaluation (namely real exchange rate misalignment) of the currency in the cfa franc zone since the cfa franc devaluation of January 1994.

  11. Integrated Strategic Planning of Global Production Networks and Financial Hedging under Uncertain Demands and Exchange Rates

    OpenAIRE

    Achim Koberstein; Elmar Lukas; Marc Naumann

    2013-01-01

    In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands. This model considers the expenses of production plants and the revenues of markets in different currency areas. Financial portfolio planning decisions for two types of financial instruments, forward contracts and options, are represented explicitly by multi-period decision variabl...

  12. Currency Substitution and Inflation in Peru Currency Substitution and Inflation in Peru

    Directory of Open Access Journals (Sweden)

    Liliana Rojas-Suarez

    1992-03-01

    Full Text Available This paper shows that there is a long-run relationship between the expected rate of depreciation in the black-market-exchange rate and the ratio of domestic to foreign money in Peru: that is, the hypothesis of currency substitution can explain the behavior of real holdings of money in Peru. The paper also shows that, while, the importance of currency substitution as a transmission mechanism through which domestic policies affected the dynamics of inflation was relatively small during a period of high but relatively stable inflation (January 1978-85, it became an important factor in the inflation process during the recent hyperinflation episode. Currency Substitution and Inflation in Peru

  13. Why PPP Real Exchange Rates Mislead

    OpenAIRE

    Larry A Sjaastad

    1998-01-01

    This paper investigates the properties of the purchasing-power-parity (PPP) real exchange rate as a proxy for the true real exchange rate, which is defined as the relative price of traded goods. It finds that the PPP real exchange rate is prone to measurement error and examines the nature of that error. Measurement error is defined as the fraction of the variance of the PPP real exchange rate that has no counterpart in the true real exchange rate. That measurement error is estimated for seven...

  14. Capital accumulation, structural change and real exchange rate in a Keynesian-Structuralist growth model

    Directory of Open Access Journals (Sweden)

    Oreiro José Luis

    2015-01-01

    Full Text Available The aim of this paper is to show at theoretical level that maintaining a competitive real exchange rate positively affects the economic growth of developing countries by means of a Keynesian-Structuralist model that combines elements of Kaleckian growth models with the balance of payments constrained growth models pioneered developed by Thirlwall. In this setting, the level of real exchange rate is capable, due to its effect over capital accumulation, to induce a structural change in the economy, making endogenous income elasticities of exports and imports. For reasonable parameter values it is shown that in steady-state growth there is two long-run equilibrium values for real exchange rate, one that corresponds to an under-valued currency and another that corresponds to an over-valued currency. If monetary authorities run exchange rate policy in order to target a competitive level for real exchange rate, than under-valued equilibrium is stable and the economy will show a high growth rate in the long-run.

  15. Effects of Synchronisation of Dynamics of Stock Indices and Currency Rates during Multifactor Analysis with the Use of Wavelet Technologies

    Directory of Open Access Journals (Sweden)

    Kravets Tetyana V.

    2014-02-01

    Full Text Available The article conducts analysis of behaviour of stock indices and currency rates before and after the crisis phenomena with the aim of detection of key features of the pre-crisis state, localisation and description of crisis effects by time and scale using methods of multifractal analysis and wavelet transformation. The article checks the method of allocation of intervals of self-similar behaviour of financial series in practice. For Dow Jones and Sand P 500 indices the article detects in the time interval of 2001 – 2013 fractality spans and also moments of time when behaviour of series was determined with the chaotic component. The article offers the measure of synchronous behaviour of stock indices and currency rates, value of which allows assessment of the degree of propagation of crisis phenomena and forecasting them. This measure is calculated for EUR/GBP, EUR/USD, FTSE 100, S and P 500, Dow Jones, DAX and CAC 40 series. The article observes a close connection between values of the introduced measure and volume of crisis phenomena, which took place in relevant period of time. It gives a characteristics of main economic crises for the period 2001 – 2003 with the aim of comparison of real events and specific features of dynamics of the measure of synchronisation as a precursor of crisis phenomena.

  16. Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?

    DEFF Research Database (Denmark)

    Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman

    exert a significant influence on the exchange rate spread, but in opposite directions: intervention purchases of the smaller currency, on average, reduce the spread while intervention sales, on average, increase the spread. We also show that intervention only affects the exchange rate spread when...... testable hypotheses regarding how unannounced intervention purchases and intervention sales influence the market asymmetrically. To test these hypotheses we estimate weighted least squares (WLS) time-series models of the intraday bid-ask spread. Our main result is that intervention purchases and sales both...

  17. An "inverse square law" for the currency market: Uncovering hidden universality in heterogeneous complex systems

    CERN Document Server

    Chakraborty, Abhijit; Sinha, Sitabhra

    2016-01-01

    Identifying universal behavior is a challenging task for far-from-equilibrium complex systems. Here we investigate the collective dynamics of the international currency exchange market and show the existence of a semi-invariant signature masked by the high degree of heterogeneity in this complex system. The cumulative fluctuation distribution in the exchange rates of different currencies possess heavy tails characterized by exponents varying around a median value of 2. The systematic deviation of individual currencies from this putative universal form (the "inverse square law") can be partly ascribed to the differences in their economic prosperity and diversity of export products. The distinct nature of the fluctuation dynamics for currencies of developed, emerging and frontier economies are characterized in detail by detrended fluctuation analysis and variance-ratio tests, which shows that less developed economies are associated with sub-diffusive random walk processes. We hierarchically cluster the currenci...

  18. Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?

    OpenAIRE

    Dreger, Christian; Girardin, Eric

    2007-01-01

    This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four subperiods are distinguished and linked to exchange rate regimes: the Gold Standard, the interwar float, the Bretton Woods system and the managed float thereafter. Panel integration techniques are applied to...

  19. The Theory of Exchange Rates and the Value of the USD

    Directory of Open Access Journals (Sweden)

    Mansoor Maitah

    2011-04-01

    Full Text Available Ernesto M. Pernia (2002 stated that the theory of exchange rate determination can be regarded as known purchasing power parity (PPP. The exchange rate is an important economic factor and variable in any country as it is always consistent with the predictions of economic theory in terms of balance of trade. The US dollar ($ is an international currency with high reputation in domestic and international markets. The US current accounts are predicated on the US government monetary polices based on the principle that a country cannot be accumulating more of a single currency and thus increase its imports in order to generate more foreign exchange currencies for a growing surplus current account. Therefore, the US markets is largely dependent on import of consumer products form Asian countries such as China, which in turn stimulates Chinese current account continues and possess excess US dollars that make the Yuan continuously appreciate against the US dollars.The paper was processed within the framework of the Research Project of MSM 6046070906 "The economics of Czech agricultural resources and their effective use within the framework of multifunctional agri-food systems".

  20. THE CORRELATION BETWEEN THE EXCHANGE RATE AND THE DIRECT FOREIGN INVESTMENTS

    Directory of Open Access Journals (Sweden)

    Halmi Mirela

    2012-07-01

    Full Text Available Since the fall of the monetary system from Bretton Woods, based on a system of fixed rates, numerous theoretical and empirical articles have emerged through which the volatility of the exchange rate and the commercial influxes was analyzed and the identification of specific connections regarding the transmission of the effects of the modification of the exchange rapport of a currency in economy was tried. The general idea from these works start from the uncertainties regarding the evolution of a currency in comparison to another and their effects on the goods and services balance of a state. Important works from the domain are evaluated. The authors are renowned researchers in the area of international finances and some of them are part of the personnel of the most important international finance-banking institutions such as the International Monetary Fund and the Bank of International Settlements. The studies regarding the relation between the exchange rates and the direct foreign investments are contradictory: some do not find a significant influence of the exchange rate and other demonstrate that there is a strong connection between the two variables. If a connection between the two variables is established, it remains to be settled if the connection is direct or reversed. The Granger causality test identified the characteristics of the relation between the direct foreign investments and the exchange rate. The conclusions of the research mark out the complex nature of the relation between the two variables, the results being extremely heterogeneous from one country to another.

  1. Gold, currencies and market efficiency

    Science.gov (United States)

    Kristoufek, Ladislav; Vosvrda, Miloslav

    2016-05-01

    Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI methodology we provide. Rather unexpected results are uncovered as the gold prices in major currencies lay among the least efficient ones whereas very minor currencies are among the most efficient ones. We argue that such counterintuitive results can be partly attributed to a unique period of examination (2011-2014) characteristic by quantitative easing and rather unorthodox monetary policies together with the investigated illegal collusion of major foreign exchange market participants, as well as some other factors discussed in some detail.

  2. Model Uncertainty and Exchange Rate Forecasting

    OpenAIRE

    Kouwenberg, Roy; Markiewicz, Agnieszka; Verhoeks, Ralph; Zwinkels, Remco

    2013-01-01

    textabstractWe propose a theoretical framework of exchange rate behavior where investors focus on a subset of economic fundamentals. We find that any adjustment in the set of predictors used by investors leads to changes in the relation between the exchange rate and fundamentals. We test the validity of this framework via a backward elimination rule which captures the current set of fundamentals that best predicts the exchange rate. Out-of-sample forecasting tests show that the backward elimi...

  3. THE POLICY OF THE EXCHANGE RATE PROMOTED BY NATIONAL BANK OF ROMANIA AND ITS IMPLICATIONS UPON THE FINANCIAL STABILITY

    Directory of Open Access Journals (Sweden)

    Chifane Cristina

    2010-12-01

    Full Text Available The more profound world economic crisis has strongly marked the evolution of the Romanian financial system. The size of current account deficit, the relatively high external financing needs and the dependence of the banks on it, the high ratio between loans in foreign currency and deposits in foreign currency made of the Romanian economy, a risky destination for investors. In these conditions, since the end of 2008 and throughout 2009, the government's economic program was focused on reducing the external deficit in both public and private sector, on minimizing the effects of recession, on avoiding a crisis of the exchange rate and on cooling the inflationary pressures.

  4. Evaluating benchmarks for Norwegian exchange rate forecasting

    OpenAIRE

    Adrik, Samir

    2016-01-01

    In this thesis, we compare the out-of-sample forecasting abilities of three fundamental exchange rate models (EqCM) against the random walk (without drift), RW. The objective of the thesis is to see how well the RW model preforms against fundamental exchange rate models that in the literature have proven to be better at forecasting the Norwegian exchange rate. These models were tested on an out-of-sample period (2009:1-2015:4) that include two characteristic exchange rate regimes. The models ...

  5. Exchange Rate Policy and Endogenous Price Flexibility

    OpenAIRE

    Devereux, Michael B.

    2004-01-01

    A fixed exchange rate limits the ability of the real exchange rate to adjust to shocks, and tends to raise the volatility of real GDP. But adjustment may be enhanced if internal prices are more flexible under a fixed exchange rate. This Paper develops a model in which price setters incur a cost to retain the option of ex-post price flexibility. The benefit of flexibility is increasing in the variance of demand facing price-setters. We ask whether fixing the exchange rate is likely to increase...

  6. International Investors, Exchange Rates and Equity Prices

    OpenAIRE

    Baur, Dirk G.; Isaac Miyakawa

    2013-01-01

    The correlation between equity returns and currency returns affects the risk of international equity portfolios. We analyze the equity index and currency returns of 53 countries and find that correlations are mainly positive. Negative correlations are found for currencies which play a special role in the global financial system like the US dollar, the Japanese yen, the British pound, the euro and the Swiss franc. Correlations generally increased in recent years and are often larger in extreme...

  7. Choice of exchange rate regimes for African countries: Fixed or Flexible Exchange rate regimes?

    OpenAIRE

    Simwaka, Kisu

    2010-01-01

    The choice of an appropriate exchange rate regime has been a subject of ongoing debate in international economics. The majority of African countries are small open economies and thus where the choice of the exchange rate regime is an important policy issue. Aside from factors such as interest rates and inflation, the exchange rate is one of the most important determinants of a country’s relative level of economic health. For this reason, exchange rates are among the most watched analyzed and ...

  8. REASONS OF CURRENCY FLUCTUATIONS AND THEIR INFLUENCE ON ECONOMIC CHANGES

    Directory of Open Access Journals (Sweden)

    Klimova N. V.

    2015-11-01

    Full Text Available The exchange rate has direct impact on economy of any state. Without competent management, it is impossible to achieve successful functioning of national economy, which causes the need of studying of the matter. Fluctuations of an exchange rate depend on market condition. Therefore, the exchange rate is under influence of a condition of the balance of payments, a difference of interest rates in various countries, extent of use of currency in international payments, speculative currency transactions and activity of the currency markets, inflation and many others, considered in this article. Possible consequences of their influence on exchange rate are specified, examples are given. Dependence of growth of the money supply, the monetary base and inflation in Russia is reflected. The analysis of economic aspects on which exchange rate renders direct influence, namely, foreign trade, capital streams, interest rates, business development, purchasing power of the population, growth of economy is carried out. The assessment of an exchange rate of the Russian Federation is carried out. The following factors have the greatest impact on it: floating rate of ruble, increase of a rate of refinancing, oil depreciation, and lack of possibility of refinancing of external debts. Measures for stabilization of ruble, among which fixation of currency positions of banks, increase of control of target use of earlier issued credits, differentiation of speculative operations from the others, introduction of a tax of Tobin and introduction of indispensable conditions of sale of a certain part of revenue are offered. Realization of these measures will have positive impact on stabilization of ruble exchange rate and an economic situation of Russia in general

  9. Who Pulls the Trigger? Evidence on Corporate Currency Speculation

    DEFF Research Database (Denmark)

    Aabo, Tom; Hansen, Marianna Andryeyeva; Pantzalis, Christos

    This empirical study of non-financial firms is based on a survey of 186 medium-sized, non-financial Danish firms with operating revenues and/or costs in foreign currency. We find that the involvement of non-finance departments in the management of exchange rate risks has a positive impact...

  10. The foreign exchange rate exposure of nations

    OpenAIRE

    Entorf, Horst; Möbert, Jochen; Sonderhof, Katja

    2006-01-01

    Following the well-known approach by Adler and Dumas (1984), we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current trade balance variables of corresponding economies.

  11. The tail index of exchange rate returns

    NARCIS (Netherlands)

    C.G. Koedijk (Kees); M. Schafgans (Marcia); C.G. de Vries (Casper)

    1990-01-01

    textabstractIn the literature on the empirical distribution of foreign exchange rates there is now consensus that exchange rate yields are fat-tailed. Three problems, however, persist: (1) Which class of distribution functions is most appropriate? (2) Are the parameters of the distribution invariant

  12. Model Uncertainty and Exchange Rate Forecasting

    NARCIS (Netherlands)

    R.R.P. Kouwenberg (Roy); A. Markiewicz (Agnieszka); R. Verhoeks (Ralph); R.C.J. Zwinkels (Remco)

    2013-01-01

    textabstractWe propose a theoretical framework of exchange rate behavior where investors focus on a subset of economic fundamentals. We find that any adjustment in the set of predictors used by investors leads to changes in the relation between the exchange rate and fundamentals. We test the validit

  13. Exchange rate regimes and monetary arrangements

    Directory of Open Access Journals (Sweden)

    Ivan Ribnikar

    2005-06-01

    Full Text Available There is a close relationship between a country’s exchange rate regime and monetary arrangement and if we are to examine monetary arrangements then exchange rate regimes must first be analysed. Within the conventional and most widely used classification of exchange rate regimes into rigid and flexible or into polar regimes (hard peg and float on one side, and intermediate regimes on the other there, is a much greater variety among intermediate regimes. A more precise and, as will be seen, more useful classification of exchange rate regimes is the first topic of the paper. The second topic is how exchange rate regimes influence or determine monetary arrangements and monetary policy or monetary policy regimes: monetary autonomy versus monetary nonautonomy and discretion in monetary policy versus commitment in monetary policy. Both topics are important for countries on their path to the EU and the euro area

  14. A free-floating currency regime during economic crisis: advantage or disadvantage?

    Directory of Open Access Journals (Sweden)

    Lubor Lacina

    2011-01-01

    Full Text Available The paper deals with the identification of potential disadvantages associated with the existence of national currencies with the floating exchange rate regime during the current financial and economic crisis in countries postponing their entry into the eurozone. The hypothesis is that the advantages of a floating exchange rate may be outweighed by their disadvantages (high volatility of exchange rates. First part of the paper provides evidence about the development of Czech crown exchange rate since transition from fix to free float regime. Special attention will be given to the period during the recent global economic crisis. For the sake of comparison, evolution of other currencies in the region (zloty, forint and Slovak crown, will be taken to consideration. Second part of the paper form case studies identifying impact due to volatility on national currencies. Case studies were used to identify possible negative impacts from volatility in national currencies on export firms in the Czech Republic and holders of mortgage loans denominated in foreign currencies in Hungary. The last part of the paper will formulate recommendations for businesses entering into foreign trade relationships, as well as for policy makers in countries using national currencies which are preparing for membership in the eurozone.

  15. 31 CFR 100.8 - Packaging of mutilated currency.

    Science.gov (United States)

    2010-07-01

    ... 31 Money and Finance: Treasury 1 2010-07-01 2010-07-01 false Packaging of mutilated currency. 100.8 Section 100.8 Money and Finance: Treasury Regulations Relating to Money and Finance EXCHANGE OF PAPER CURRENCY AND COIN Exchange of Mutilated Paper Currency § 100.8 Packaging of mutilated...

  16. Is a more stable exchange rate associated with reduced exchange rate pass-through?

    OpenAIRE

    2007-01-01

    Pass-through from the nominal effective exchange rate to import prices is modelled within a regime-switching environment. Evidence suggests that exchange rate pass through can be characterised as regime-specific where the probability of switching between regimes is influenced by the extent of exchange rate volatility.

  17. Apparent exchange rate mapping with diffusion MRI.

    Science.gov (United States)

    Lasič, Samo; Nilsson, Markus; Lätt, Jimmy; Ståhlberg, Freddy; Topgaard, Daniel

    2011-08-01

    Water exchange through the cell membranes is an important feature of cells and tissues. The rate of exchange is determined by factors such as membrane lipid composition and organization, as well as the type and activity of aquaporins. A method for noninvasively estimating the rate of water exchange would be useful for characterizing pathological conditions, e.g., tumors, multiple sclerosis, and ischemic stroke, expected to be associated with a change of the membrane barrier properties. This study describes the filter exchange imaging method for determining the rate of water exchange between sites having different apparent diffusion coefficients. The method is based on the filter-exchange pulsed gradient spin-echo NMR spectroscopy experiment, which is here modified to be compatible with the constraints of clinical MR scanners. The data is analyzed using a model-free approach yielding maps of the apparent exchange rate, here being introduced in analogy with the concept of the apparent diffusion coefficient. Proof-of-principle experiments are performed on microimaging and whole-body clinical scanners using yeast suspension phantoms. The limitations and appropriate experimental conditions are examined. The results demonstrate that filter exchange imaging is a fast and reliable method for characterizing exchange, and that it has the potential to become a powerful diagnostic tool.

  18. The theory of an ‘optimum currency area’

    Directory of Open Access Journals (Sweden)

    Jarosław Kundera

    2012-12-01

    Full Text Available The main goal of this paper is to analyse and distinguish the main components of the theory of an ‘Optimum Currency Area’. The theory of an optimum currency area indicates some essential elements as preconditions for the successful introduction of a common currency: high mobility of labour, openness of the economy defined as a high proportion of tradable to non-tradable goods, and high diversification of domestic production before joining the union. The article’s analysis helps to better understanding the reasons of the current crisis in the euro zone. The main problem with a common currency area is the adjustment to imbalances, which cannot take place through exchange rates in conditions of a common currency. The missing elements of the theory are the role of the mobility of capital to correct interregional balance of payments disequilibria and lack of a common budget with sufficient own resources during the occurrence of debt crises in member countries. The theory of an optimum currency area has noticed the importance of coordination between fiscal and monetary policy and the necessity of redistribution of resources among partners. However, it does not say much about the methods applied, how to deal with debt crises and what the cost of a potential breaking up of monetary union would be.

  19. The Effects of Workers’ Remittances on Exchange Rate Volatility and Exports Dynamics -New Evidence from Pakistan

    Directory of Open Access Journals (Sweden)

    Adnan Khurshid

    2017-03-01

    Full Text Available This study examines the impact of remittances on the exchange rate and exports in Pakistan, using the system GMM aproach on annual data series. We carry out a full sample Granger causality test along with the sub-sample rolling window approach using monthly data series to find the causal relationship between remittances (REM and the exchange rate (EXR. The System GMM results reveal that remittances depreciate the exchange rate and have a positive influence on export competitiveness. In addition to this, the remittance inflow appreciates the exchange rate only if it is used for savings and negatively affects competitiveness if it is channeled towards consumption. The change in exchange rate regime from multiple to flexible depreciated the exchange rate while, the global financial crises uplifted the currency rate and negatively affect the exports. The results show the bidirectional causal relationship between remittances and the exchange rate. The outcomes further reveal that the parameters in the VAR model are unstable, which is a clear indication of the presence of structural changes. The rolling window estimation approach with time-varying characteristics finds bi-directional causality between REM and the EXR in the different sub-samples. The results of this study fall in line with the portfolio model proposed by Mussa (1984 which states that the flow of remittances causes appreciation. The sub-sample causality is related to significant economic events, which means the results are not a statistical artifact.

  20. Computational Intelligence in Exchange-Rate Forecasting

    OpenAIRE

    Andreou, Andreas S.; Zombanakis, George A.

    2006-01-01

    This paper applies computational intelligence methods to exchange rate forecasting. In particular, it employs neural network methodology in order to predict developments of the Euro exchange rate versus the U.S. Dollar and the Japanese Yen. Following a study of our series using traditional as well as specialized, non-parametric methods together with Monte Carlo simulations we employ selected Neural Networks (NNs) trained to forecast rate fluctuations. Despite the fact that the data series hav...

  1. Factor Model Forecasts of Exchange Rates

    OpenAIRE

    Charles Engel; Nelson C. Mark; Kenneth D. West

    2012-01-01

    We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate processes. We apply the technique to a panel of bilateral U.S. dollar rates against 17 OECD countries. We forecast using factors, and using factors combined with any of fundamentals suggested by Taylor r...

  2. Foreign Exchange Value-at-Risk with Multiple Currency Exposure: A Multivariate and Copula Generalized Autoregressive Conditional Heteroskedasticity Approach

    Science.gov (United States)

    2014-11-01

    strength of natural diversification benefits within value-at-risk (VaR) analyses. We examine two methods to attack this problem. Our first approach uses... portfolio VaR – correcting the indepen- dence assumed VaR estimate by 25% in cases in which multiple currency exposures are of similar size. ii DRDC-RDDC-2014...bénéfices de la diversification naturelle dans les analyses de la valeur à risque (VaR). Pour aborder ce problème, nous avons examiné deux méthodes

  3. Exchange Rate Forecasting with Information Flow Approach

    Directory of Open Access Journals (Sweden)

    Irena Mačerinskienė

    2016-06-01

    Full Text Available The purpose of this article is to assess exchange rate forecasting possibilities with an information flow approach model. In the model the three types of information flows are distinguished: fundamental analysis information flow through particular macroeconomic determinants, microstructure approach information flow through dealer clients’ positioning data, technical analysis information flow through technical indicators. By using regression analysis it is shown that the composed model can forecast the exchange rate, the most significant information flows are distinguished. The results lead to further development of the information flow approach as a tool to forecast exchange rate fluctuations.

  4. MODELING JUMPS IN RETURNS OF FINANCIAL ASSETS AS M4 PROCESSES: MEASURED EXCHANGE RATE EXPOSURE OF ASIAN EQUITY PORTFOLIO

    Institute of Scientific and Technical Information of China (English)

    Djibrilla MOUSSA; Wei ZHANG

    2005-01-01

    Previous work on the exposure of equity markets to exchange rate risk, surprisingly, found stock returns were not significantly affected by exchange rate fluctuations. In this paper, we examine the relation between China, Japan and USA MSCI (Morgan & Stanley Capital International) daily equity index returns and SAFE (State Administration of Foreign Exchange) exchange rate returns of Chinese RMB and Japanese Yen in US dollar. We find a significant relation between Asian foreign equity stock returns and Chinese RMB and Japanese Yen exchange rate returns. This article incorporates foreign exchange values as partial determinants of Asian foreign equity market returns and suggests that currency risk is of hedging concern to investors with implications for portfolio management. We implement our result in portfolio's CaR determination under VaR constraints.

  5. The foreign exchange rate rate exposure of nations

    OpenAIRE

    Entorf, Horst; Moebert, Jochen; Sonderhof, Katja

    2007-01-01

    Following the well-known approach by Adler and Dumas (1984) we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current trade balance variables of corresponding economies.

  6. Fiscal deficits, exchange rate crises and inflation.

    NARCIS (Netherlands)

    van Wijnbergen, S.J.G.

    1991-01-01

    This article extends earlier work on unsustainable monetary policies by endogenizing the regime switch that ultimately restores sustainability. Within this framework we analyze exchange rate based stabilization programs and shows how constraints on Central Bank borrowing during an exchange crisis in

  7. Predictability of Polish Zloty exchange rates against EURO on the basis of levels of macroeconomic fundamentals and national stock market behaviour

    OpenAIRE

    Malinowska, Martyna

    2011-01-01

    Investors have been looking for ways of predicting Foreign Exchange Market movements in order to hedge their positions in international trade or cash in a profit. The study focuses on the investigation of factors which can serve as a mean of predicting exchange rates of Polish currency against EURO in short and long time horizon between 1997-2011. After reviewing available literature, macroeconomic fundamentals such as inflation rate, interest rate and terms of trade have been selected for th...

  8. Exchange rate prediction with multilayer perceptron neural network using gold price as external factor

    Directory of Open Access Journals (Sweden)

    Mohammad Fathian

    2012-04-01

    Full Text Available In this paper, the problem of predicting the exchange rate time series in the foreign exchange rate market is going to be solved using a time-delayed multilayer perceptron neural network with gold price as external factor. The input for the learning phase of the artificial neural network are the exchange rate data of the last five days plus the gold price in two different currencies of the exchange rate as the external factor for helping the artificial neural network improving its forecast accuracy. The five-day delay has been chosen because of the weekly cyclic behavior of the exchange rate time series with the consideration of two holidays in a week. The result of forecasts are then compared with using the multilayer peceptron neural network without gold price external factor by two most important evaluation techniques in the literature of exchange rate prediction. For the experimental analysis phase, the data of three important exchange rates of EUR/USD, GBP/USD, and USD/JPY are used.

  9. Equilibrium exchange rate assessment in Serbia using the IMF external sustainability approach

    Directory of Open Access Journals (Sweden)

    Pažun Brankica

    2014-01-01

    Full Text Available The exchange rate has always been a topical issue, particularly in the last two decades, at the time of strong world economy globalisation, as well as liberalization of international flows of goods, services and factors of production, which has resulted in stronger trade and financial integration. There has been a rise in the share of trade in world GDP. Growing developing countries contribute significantly to this growth, which is evident from the data that show increase of their share in world trade , as well as their importance in international capital flows. One of the most important concepts in open macroeconomics is the equilibrium real exchange rate - ERER. Deviations of the real exchange rate are considered to be the cause of the loss of competitiveness and economic slowdown, as well as possible currency crisis (overvaluation and undervaluation. Disadvantages of traditional concepts in exchange rate assessment which are very often reflected in unsuccessful empirical results, motivate experts to seek alternative models to assist in equilibrium exchange rate analysis. This paper aims to present one of three complementary methodologies used by the International Monetary Fund, for the equilibrium real exchange rate assessment in Serbia, as well as the deviation of the real exchange rate from its (estimated equilibrium, that is external sustainability approach.

  10. Exchange rate regimes and external financial stability

    Directory of Open Access Journals (Sweden)

    Stoica Ovidiu

    2016-01-01

    Full Text Available Financial stability within the framework of the global financial crisis has become a common topic for researchers and practitioners. In order to analyse the impact of exchange rate regimes on financial stability we use both the de jure and de facto exchange rate classifications. We apply the model to a 1999-2010 annual data sample for 135 countries and territories, grouped by the level of economic development. Our second focus is the investigation of the effects of the exchange rate regimes in three economic integration areas (member countries of the European Union 27, the Southern Common Market, and the Association of Southeast Asian Nations on financial stability. Our results generally support the central banks’ concerns that the flexibility of exchange rate regimes should be reduced in order to sustain financial stability; however, the findings are not robust when using alternative regime classifications.

  11. Exporter Price Response to Exchange Rate Changes

    DEFF Research Database (Denmark)

    Fosse, Henrik Barslund

    Firms exporting to foreign markets face a particular challenge: to price their exports in a foreign market when the exchange rate changes. This paper takes on pricing- to-market using a unique data set that covers rm level monthly trade at great detail. As opposed to annual trade ows, monthly trade...... theoretical contributions to the litterature on pricing-to-market and exchange rate pass-through....

  12. How Much to Commit to an Exchange Rate Rule? Balancing Credibility and Flexibility How Much to Commit to an Exchange Rate Rule? Balancing Credibility and Flexibility

    Directory of Open Access Journals (Sweden)

    Nissan Liviatan

    1992-03-01

    Full Text Available How Much to Commit to an Exchange Rate Rule? Balancing Credibility and Flexibility There are different ways in which policy-makers back their commitment to a fixed exchange rate. A regime where countries can devalue unilaterally represents a weaker commitment than one where a devaluation needs to be agreed upon with other parties (e.g. the European monetary system. Full dollarization, understood here as full replacement of the domestic currency by the U.S. dollar, is an extreme commitment to a fixed exchange rate. Indeed, it is a especial case of a fixed exchange rate.The central message of this paper is that the cost of reneging is a key reason holding policymakers back from making strong commitments on their exchange rate policy. The stronger the commitment to an exchange rate rule, the more costly it is to deviate from it. The paper develops a Barro-Gordon type model in which the policymaker has to decide the degree of commitment under uncertainty.It is shown that, even for policy makers that have a strong preference for maintaining the fixed exchange rate, there are circunstances under which they will choose to devalue. This will happen when the economy is hit by an adverse shock and the costs of adhering to the fixed exchange rate are larger than those associated with devaluing.The model provides useful insights to understand why many high inflation economies have not adopted full dollarizarion as a way to stabilize prices. Our emphasis on the cost of reneging stands in contrast with most existing works, which single out the desire to rely on seigniorage as the main motive for stopping short of full dollarization. Strong commitments will only be made once there is a good chance that the policy maker will not renege, and by then they might not be necessary. We illustrate the main points of the paper with examples from Latin American countries.

  13. Exchange rate misalignment, capital accumulation and income distribution: Theory and evidence from the case of Brazil

    Directory of Open Access Journals (Sweden)

    Oreiro José Luis

    2013-01-01

    Full Text Available This article analyzes the relationship between economic growth, income distribution and real exchange rate within the neo-Kaleckian literature, through the construction of a nonlinear macrodynamic model for an open economy in which investment in fixed capital is assumed to be a quadratic function of the real exchange rate. The model demonstrates that the prevailing regime of accumulation in a given economy depends on the type of currency misalignment, so if the real exchange rate is overvalued, then the regime of accumulation will be profit-led, but if the exchange rate is undervalued, then the accumulation regime is wage-led. Subsequently, the adherence of the theoretical model to data is tested for Brazil in the period 1994/Q3-2008/Q4. The econometric results are consistent with the theoretical non-linear specification of the investment function used in the model, so that we can define the existence of a real exchange rate that maximizes the rate of capital accumulation for the Brazilian economy. From the estimate of this optimal rate we show that the real exchange rate is overvalued in 1994/Q3- 2001/Q1 and 2005/Q4-2008/Q4 and undervalued in the period 2001/Q2-2005/Q3. As a direct corollary of this result, it follows that the prevailing regime of accumulation in the Brazilian economy after the last quarter of 2005 is profit-led.

  14. Estimating the effects of Exchange and Interest Rates on Stock ...

    African Journals Online (AJOL)

    Estimating the effects of Exchange and Interest Rates on Stock Market in ... The need to empirically determine the predictive power of exchange rate and ... Keywords: Exchange rate, interest rate, All-share index, multiple regression models

  15. Adoption and Abandonment of Dual Exchange Rate Systems Adoption and Abandonment of Dual Exchange Rate Systems

    Directory of Open Access Journals (Sweden)

    Jose Saul Lizondo

    1990-03-01

    Full Text Available Adoption and Abandonment of Dual Exchange Rate Systems When facing persistent balance of payments problems, some countries have resorted to a dual exchange rate system as an alternative to a uniform exchange rate adjustment. Typically, under the dual system, certain selected transactions take place at a fixed official exchange rate, while there remaining transactions are effected at a more depreciated rate, which is usually determined by market forces. This paper examines the circumstances that lead to the adoption of a dual system, and the conditions under which the foreign exchange market can be unified successfully or a later stage. In this paper, the adoption of the dual system is linked to the unsustainability of a crawling peg (or a fixed exchange rate system in the presence of large budgret deficits. We show that the initiai spiral between the financial at the commercial exchange rates and the extent of capital flight largely depends on whether the switch in regime is anticipated or unanticipated. Although the dual system improves the external position of the economy, to the extent that there is no change in domestic noticies the country will continue to experience a deficit in the balance of payments. A correction of these policies is the only enduring solution to the external imbalance, and a precondition for a successful unification of the foreirg exchange market. If the economv unifies the foreign exchange market into a crawling peg, the financial exchahnge rate could be an adequate indicator of the initlal level of which the new exchange rate should be set if a capital outflow is to be avoided. If the economy instead moves to a flexible exchange rate system, the initial value of the exchange rate could be higher or lower than the prevailing financial exchange rate.

  16. Information Asymmetry and Foreign Currency Borrowing by Small Firms

    NARCIS (Netherlands)

    Brown, M.; Ongena, S.; Yesin, P.

    2011-01-01

    We model the choice of loan currency in a framework which features a trade-off between lower cost of debt and the risk of firm-level distress costs. Under perfect information foreign currency funds come at a lower interest rate, all foreign currency earners as well as those local currency earners wi

  17. Bretton Woods Fixed Exchange Rate System versus Floating Exchange Rate System

    OpenAIRE

    Geza, Paula; Giurca Vasilescu, Laura

    2011-01-01

    One of the most important issues of monetary policy is to find out whether the state should intervene among the exchange rates, taking into account the fact that changes in the exchange rates represent a significant transmission channel of the effects generated by the monetary policy. Taking into consideration the failure of fixed exchange rate regimes and the recent improvement of financial markets, the return in the near future to such a regime – as for example the Bretton Woods system –...

  18. Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?

    OpenAIRE

    Guangfeng Zhang; Qiong Zhang; Muhammad Tariq Majeed

    2013-01-01

    Using two measures of private information and high-frequency transaction data from the leading interdealer electronic broking system Reuters D2000-2, we examine the association between exchange rate return and contemporaneous order flow and the predictability power of lagged order flow on the future exchange rate return. Our empirical analysis demonstrates that at high frequency (5, 10, 15, 20, 25, and 30 min) there exists strong positive association between exchange rate returns and contempo...

  19. 76 FR 11327 - Technical Amendments to Rule 17a-8: Financial Recordkeeping and Reporting of Currency and Foreign...

    Science.gov (United States)

    2011-03-02

    ... Currency and Foreign Transactions AGENCY: Securities and Exchange Commission. ACTION: Final rule; technical... within the rule to the implementing regulations of the Currency and Foreign Transactions Reporting Act...

  20. Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates

    Directory of Open Access Journals (Sweden)

    Vinicius Ratton Brandi

    2004-12-01

    Full Text Available The investigation of the stochastic behavior of financial series has become widespread over the literature. There is empirical and theoretical evidence that the total stock price change over a long period is usually concentrated in the a few hectic runs of trading days. The drawdown is a random variable which provides information on alternative characteristics of market behavior during these periods. In this work, we use distributions from extreme value theory to model the severity of drawdowns and drawups. We illustrate using nine currency exchange rates and gold.

  1. On Value at Risk for foreign exchange rates - the copula approach

    CERN Document Server

    Jaworski, P

    2006-01-01

    The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we restrict ourselves to the case when the tail parts of distributions of logarithmic returns of these assets follow the power laws and the lower tail of associated copula C follows the power law of degree 1. We will illustrate the practical usefulness of this approach by the analysis of the exchange rates of EUR and CHF at the Polish forex market.

  2. On Value at Risk for Foreign Exchange Rates --- the Copula Approach

    Science.gov (United States)

    Jaworski, P.

    2006-11-01

    The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we restrict ourselves to the case when the tail parts of distributions of logarithmic returns of these assets follow the power laws and the lower tail of associated copula C follows the power law of degree 1. We will illustrate the practical usefulness of this approach by the analysis of the exchange rates of EUR and CHF at the Polish forex market.

  3. Apparent exchange rate imaging in anisotropic systems

    DEFF Research Database (Denmark)

    Sønderby, Casper Kaae; Lundell, Henrik M; Søgaard, Lise V;

    2014-01-01

    Double-wave diffusion experiments offer the possibility of probing correlation between molecular diffusion at multiple time points. It has recently been shown that this technique is capable of measuring the exchange of water across cellular membranes. The aim of this study was to investigate the ...... the effect of macroscopic tissue anisotropy on the measurement of the apparent exchange rate (AXR) in multicompartment systems.......Double-wave diffusion experiments offer the possibility of probing correlation between molecular diffusion at multiple time points. It has recently been shown that this technique is capable of measuring the exchange of water across cellular membranes. The aim of this study was to investigate...

  4. Trade rules and exchange rate misalignments: in search for a WTO solution

    Directory of Open Access Journals (Sweden)

    Vera Thorstensen

    2014-09-01

    Full Text Available The debate on the link between trade rules and rules on exchange rates is raising the attention of experts on international trade law and economics. The main purpose of this paper is to analyze the impacts of exchange rate misalignments on tariffs as applied by the WTO - World Trade Organization. It is divided into five sections: the first one explains the methodology used to determine exchange rate misalignments and also presents its results for Brazil, U.S. and China; the second summarizes the methodology applied to calculate the impacts of exchange rate misalignments on the level of tariff protection through an exercise of "misalignment tariffication"; the third examines the effects of exchange rate variations on tariffs and their consequences for the multilateral trading system; the fourth one creates a methodology to estimate exchange rates against a currency of the World and a proposal to deal with persistent and significant misalignments related to trade rules. The conclusions are present in the last section.

  5. Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

    OpenAIRE

    2004-01-01

    We test the hypothesis of a link between exchange rate policy and sovereign bonds. We analyze the effect of exchange rate policies on supply and credit spreads of sovereign bonds issued by developing countries. An exchange rate policy is captured by the de facto exchange rate regime and the real exchange rate misalignment. The main findings are: (1) real exchange rate overvaluation significantly increases sovereign bond issue probability and raises bond spreads; (2) spreads and the likelihood...

  6. Determination of target Exchange rate for the comparative advantage of Iran crops (A Case of Sari Township

    Directory of Open Access Journals (Sweden)

    Mohammad Reza Pakravan

    2011-06-01

    Full Text Available In this paper, the value of exchange rate was calculated inorder to determine comparative advantage in crops of SariTownship during 2009-2010. Hence, first, comparative advantageindices are estimated by using a policy analysis matrix. Theresults showed that just wheat has a DRC index of one in theminimum amount of national currency exchange rate value.This indicated the fact that only wheat, compared to Rice,Soybean, Canola and Barley in this region, can compete withglobal markets and had a social profitable production system.Therefore, it is recommended that executive policies, whichmake competitive ability in wheat, should also be applied forother products.

  7. 白银外流、银钱比价与物价水平(1644-1850):基于计量史学的研究%Basic Unit of a National Currency Exchange Rate Fluctuations、Outflow of Silver and Price Level (1644-1850):Based on Cliometrics Research

    Institute of Scientific and Technical Information of China (English)

    吴小锋

    2012-01-01

    本文尝试应用计量经济史学方法,以复本位下银钱比价浮动为研究轴线,以早期中外贸易引起的白银内外流动对银钱比价的影响为突破口,结合现代货币理论、经济学理论与最新计量方法,根据史料记载,分析论证清朝1644到1850年间,银钱本位币浮动的形成过程及其对经济社会、民众生活的影响.%The author attempted to investigate the forming procedure of the floating rate between gold and money and its strong effects to the economy, society and normal life of citizens. In this work, Cliometrics was used as a basic principle. The floating of rate between gold and money was performed as the axis. The effects caused by the silver import and export in early foreign trade of China were worked as a breakthrough. Modern monetary theory and economic theory, newest measurement methods, large numbers of historical materials was used in this work too.

  8. Exchange-rate forecasts and asymmetric loss: empirical evidence for the yen/dollar exchange rate

    DEFF Research Database (Denmark)

    Stadtmann, Georg; Pierdzioch; Rülke

    2012-01-01

    We used the yen/dollar exchange-rate forecasts of the Wall Street Journal (WSJ) poll to analyse whether exchange-rate forecasters have an asymmetric loss function. To this end, we applied an approach recently developed by Elliott et al. (2005). We found that only few forecasters seem to form...

  9. Apparent exchange rate for breast cancer characterization.

    Science.gov (United States)

    Lasič, Samo; Oredsson, Stina; Partridge, Savannah C; Saal, Lao H; Topgaard, Daniel; Nilsson, Markus; Bryskhe, Karin

    2016-05-01

    Although diffusion MRI has shown promise for the characterization of breast cancer, it has low specificity to malignant subtypes. Higher specificity might be achieved if the effects of cell morphology and molecular exchange across cell membranes could be disentangled. The quantification of exchange might thus allow the differentiation of different types of breast cancer cells. Based on differences in diffusion rates between the intra- and extracellular compartments, filter exchange spectroscopy/imaging (FEXSY/FEXI) provides non-invasive quantification of the apparent exchange rate (AXR) of water between the two compartments. To test the feasibility of FEXSY for the differentiation of different breast cancer cells, we performed experiments on several breast epithelial cell lines in vitro. Furthermore, we performed the first in vivo FEXI measurement of water exchange in human breast. In cell suspensions, pulsed gradient spin-echo experiments with large b values and variable pulse duration allow the characterization of the intracellular compartment, whereas FEXSY provides a quantification of AXR. These experiments are very sensitive to the physiological state of cells and can be used to establish reliable protocols for the culture and harvesting of cells. Our results suggest that different breast cancer subtypes can be distinguished on the basis of their AXR values in cell suspensions. Time-resolved measurements allow the monitoring of the physiological state of cells in suspensions over the time-scale of hours, and reveal an abrupt disintegration of the intracellular compartment. In vivo, exchange can be detected in a tumor, whereas, in normal tissue, the exchange rate is outside the range experimentally accessible for FEXI. At present, low signal-to-noise ratio and limited scan time allows the quantification of AXR only in a region of interest of relatively large tumors.

  10. The analysis of return on speculative trading with futures contracts of agriculture commodities in the context of the currency risk

    Directory of Open Access Journals (Sweden)

    Oldřich Šoba

    2007-01-01

    Full Text Available The paper is focused on analysis of return on speculative operations with futures contracts from the view of participators not undertaking and undertaking the currency risk. The currency risk is determined by unexpected change of relevant exchange rate (currency denomination of futures contracts / domestic currency of participator. The paper analyses the basic factors influencing the profitability of these operations such as relative change of futures contract value, leverage incidence and relative change of relevant exchange rate. The paper is focused on futures contracts of the world most important agricultural commodities. The conclusion of the paper for participators not undertaking the currency risk is following: The relative change of futures contract is main factor for the calculation of return on speculative operation. This change is multiplied by leverage incidence finally. The conclusion of the paper for participators undertaking the currency risk is following: The relative change of relevant exchange rate is not usually relevant for the calculation of return on speculative operation. Main factor is the relative change of futures contract because this change is multiplied by leverage incidence finally but the relative change of relevant exchange rate isn’t.Neverthless the conclusions of this paper are not valid only for futures contracts of agricultural commodities but generally also for other commodity futures contracts and futures contracts where underlying assets are not commodities but for example financial assets.

  11. Value-at-Risk Analysis for the Tunisian Currency Market: A comparative study

    Directory of Open Access Journals (Sweden)

    Aymen Ben Rejeb

    2012-01-01

    Full Text Available The main purpose of this paper is to compare empirically four Value-at-Risk simulation methods, namely, the Variance-Covariance, the Historical Simulation, the Bootstrapping and the Monte Carlo. We tried to estimate the VaR associated to three currencies and four currency portfolios in the Tunisian exchange market. Data covers the period between 01-01-1999 and 31-12-2007. Independently of the used technique, the Japanese Yen seems to be the most risky currency. Moreover, the portfolio diversification reduces the exchange rate risk. Lastly, the number of violations, when they exist, does not generally differ between the simulation methods. Recent evaluation tests were applied to select the most appropriate technique predicting precisely the exchange rate risk. Results based on these tests suggest that the traditional Variance-Covariance is the most appropriate method.

  12. Large Devaluations and the Real Exchange Rate

    Science.gov (United States)

    Burstein, Ariel; Eichenbaum, Martin; Rebelo, Sergio

    2005-01-01

    In this paper we argue that the primary force behind the large drop in real exchange rates that occurs after large devaluations is the slow adjustment in the prices of nontradable goods and services. Our empirical analysis uses data from five large devaluation episodes: Argentina (2002), Brazil (1999), Korea (1997), Mexico (1994), and Thailand…

  13. Value at risk using financial copulas: Application to the Mexican exchange rate (2002-2011

    Directory of Open Access Journals (Sweden)

    Tania Nadiezhda Plascencia Cuevas

    2012-12-01

    Full Text Available Nowadays, the volatility of exchange rate is a crucial and a transcendental issue for all transactions, negotiations and operations taking place in foreign currency, being an objective and an accurate prediction the cornerstone. Therefore, the main objective of this research is to analyze whether the Mexican exchange rate market, risk assessment using traditional VaR and VaR with copulas methodologies are more accurate when the estimates are made for a wide historical time-series or two periods for certain, helping it to predict the maximum losses that may be, with the main motivation to have a efficient hedging strategy. The principal conclusion is that assessing risk with these methodologies, the series does not necessarily have to include more than five years, considering that the use of copulas as a dependent measure make that the prediction fits better to the movements of the real returns.

  14. Training a multilayer neural network for the Euro-dollar (EUR/ USD exchange rate

    Directory of Open Access Journals (Sweden)

    Jaime Alberto Villamil Torres

    2010-04-01

    Full Text Available A mathematical tool or model for predicting how an economic variable like the exchange rate (relative price between two currencies will respond is a very important need for investors and policy-makers. Most current techniques are based on statistics, particularly linear time series theory. Artificial neural networks (ANNs are mathematical models which try to emulate biological neural networks’ parallelism and nonlinearity; these models have been successfully applied in Economics and Engineering since the 1980s. ANNs appear to be an alternative for modelling the behaviour of financial variables which resemble (as first approximation a random walk. This paper reports the results of using ANNs for Euro/USD exchange rate trading and the usefulness of the algorithm for chemotaxis leading to training networks thereby maximising an objective function re predicting a trader’s profits. JEL: F310, C450.

  15. Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach

    Directory of Open Access Journals (Sweden)

    David Matesanz

    2015-01-01

    Full Text Available This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events’ time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.

  16. 我国货币供给内生性研究--基于现金漏损率的分析%On the Endogencity of Currency Supply in China:Based on the Analysis of Cash Leakage Rate

    Institute of Scientific and Technical Information of China (English)

    谷建伟

    2015-01-01

    The endogencity and exoyeneity of currency supply is an important theory and reality problem, right judgment of endogencity and exoyeneity of currency supply of a economic body has important significance for understanding the operation mechanism of currency supply, developing right currency policy and improving the effectiveness of currency policy. This article analyzes the effect of cash leakage rate on currency multiplier and currency supply, and draws conclusions that the endogencity of currency supply has increased in China. Finally, in the guidance of the conclusion, suggestions to choose the right currency policy and improve the effectiveness of currency policy in China are put forward.%货币供给内生性与外生性问题是一个重要的理论和现实问题,正确判断一个经济体的货币供给内外生性对于认识货币供给运行机制、制定正确的货币政策以及提高货币政策的有效性都具有重要意义。本文以现金漏损率为切入点,深入分析其对货币乘数、进而对货币供给量的影响,并得出我国货币供给内生性增强的结论。最后,在该结论的指导下,为我国选择正确的货币政策以及如何提高货币政策的有效性提出了若干建议。

  17. Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015

    Directory of Open Access Journals (Sweden)

    Ibrahim Waheed

    2016-06-01

    Full Text Available This study investigates the determinants of real effective exchange rate in Nigeria for the period between 1960 and 2015 using the vector error correction mechanism to separate long run from the short run fundamentals. The findings from the regression estimates revealed that; terms of trade, openness of the economy, net capital inflow and total government expenditure were the major long run determinants of real effective exchange rate in the country while variables such as; broad money supply (M2, nominal effective exchange rate, structural adjustment program dummy, June 12 crisis and change to civil rule dummies were revealed as the major short run determinants of exchange rate in Nigeria between 1960 and 2015. The study concludes by recommending that since the major variable of terms of trade (crude oil price is out of the government control, the effect of shocks due to the fluctuations of crude oil price can be minimized by shifting the economy from a mono-product nation and diversify the economy to increase productive capacity. Also, the change to civil rule dummy used in the study revealed that the system has not been friendly with the country’s real effective exchange rate, thus needing to review the system and bringing out all negative activities there in to ensure Nigeria’s currency appreciation. Guided openness is also suggested to avert the danger that unguided trade liberalization may bring into the country.

  18. A study on the effects of exchange rate and foreign policies on Iranians dates export

    Directory of Open Access Journals (Sweden)

    Leila Khalighi

    2017-04-01

    Full Text Available The main purpose of this research was studying the impact of exchange rate on date export as one of the most important and greatest foreign currency income earned horticultural products in agriculture sector in Iran. Selected time period in this study was chosen between 1991 and 2011. For this purpose, ordinary least squares (OLS method has used to estimate the relationships between the value of date export and the variables taken from stationary tests. Library research method has used for the analysis. In this regard, required data have collected from various scientific and research resources. The results indicated that, exchange rate is a crucial factor for dates export and also for exporters. In addition, other factors specially government policies have been placed in export model. In this field, short-term outsourcing foreign policy has decreased the export value. Results also showed that, applying exchange rate unification policy without an appropriate exchange rate to encourage exporters has negative impact on dates export. Therefore, by applying exchange rate stabilization policy, according to inflation in the country, the potential exporters’ income has reduced and production costs have increased alternately.

  19. Estimation of value at risk in currency exchange rate portfolio using asymmetric GJR-GARCH Copula

    Science.gov (United States)

    Nurrahmat, Mohamad Husein; Noviyanti, Lienda; Bachrudin, Achmad

    2017-03-01

    In this study, we discuss the problem in measuring the risk in a portfolio based on value at risk (VaR) using asymmetric GJR-GARCH Copula. The approach based on the consideration that the assumption of normality over time for the return can not be fulfilled, and there is non-linear correlation for dependent model structure among the variables that lead to the estimated VaR be inaccurate. Moreover, the leverage effect also causes the asymmetric effect of dynamic variance and shows the weakness of the GARCH models due to its symmetrical effect on conditional variance. Asymmetric GJR-GARCH models are used to filter the margins while the Copulas are used to link them together into a multivariate distribution. Then, we use copulas to construct flexible multivariate distributions with different marginal and dependence structure, which is led to portfolio joint distribution does not depend on the assumptions of normality and linear correlation. VaR obtained by the analysis with confidence level 95% is 0.005586. This VaR derived from the best Copula model, t-student Copula with marginal distribution of t distribution.

  20. Properties of Foreign Exchange Risk Premiums

    DEFF Research Database (Denmark)

    Sarno, Lucio; Schneider, Paul; Wagner, Christian

    2012-01-01

    We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure...... of interest rates and exchange rates. Estimating affine (multi-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk premiums implied by our global affine model generate unbiased predictions for currency excess returns...

  1. The Omitted Factor in Risk Management: Corporate Foreign Debt as an Alternative to Currency Derivatives

    DEFF Research Database (Denmark)

    Aabo, Tom

    Empirical surveys on exchange rate risk management in non-financial companies focus on the use of currency derivatives while omitting the use of corporate debt denominated in foreign currency ("foreign debt") even though the latter in risk management terms is identical to one or a series of forward...... contracts. This empirical study of the risk management practices of non-financial companies shows (1) that foreign debt is an important alternative to the use of currency derivatives, (2) that the relative importance of foreign debt compared to currency derivatives increases the longer the hedging horizon...... and the higher the uncertainty, and (3) that companies with a low solvency ratio and stable earnings attribute an especially high importance to the use of foreign debt. The study further suggests that the relative importance attributed to foreign debt differs between companies in various economic sectors....

  2. Döviz Kuru Riski Yönetimi: Türkiye Tütün Endüstrisi Örneği (Exchange Rate Risk Management: The Case Of Turkish Tobacco Industry

    Directory of Open Access Journals (Sweden)

    Murat DOĞANAY

    2016-03-01

    Full Text Available The exchange rate movements, along with globalization, have become more important not only for financial institutions but also for real sector companies. Also exchange rate risk is important for non-financial companies regards to both assets and liabilities. Management of this exchange rate risk exposure has an impact on competitiveness of these companies. This paper reviews the impact level of exchange rate movements, determination of the structure of exchange rate risk position on the basis of currency and also determination of the approaches to exchange rate risk management in the tobacco industry which has very high concentration level. It’s found that the firms want to hedge against the exchange rate risk particularly in the export transactions. A significant number of firms don’t use exchange rate risk management systematically. The firms prefer operational hedging much more than financial hedging. The primarily reasons of not using financial tools in the exchange rate risk management are the presence of import transactions and the expectation of exchange rate increase. Finally, it’s concluded that the firms use foreign currency loans as a tool for exchange rate risk management in order to balance their exchange rate risk position.

  3. RMB Exchange Rate Forecast Approach Based on BP Neural Network

    Science.gov (United States)

    Ye, Sun

    RMB exchange rate system has reformed since July, 2005. This article chose RMB exchange rate data during a period from July, 2005 to September 2010 to establish BP neural network model to forecast RMB exchange rate in the future by using MATLAB software. The result showed that BP neural network is effective to forecast RMB exchange rate and also indicated that RMB exchange rate will continue to appreciate in the future.

  4. Insights Into Central And Eastern European Countries Competitiveness: On The Exposure Of Capital Markets To Exchange Rate Risk

    Directory of Open Access Journals (Sweden)

    Alexandra HOROBET

    2008-11-01

    Full Text Available Unexpected fluctuations in exchange rates represent a matter of concern for all businesses nowadays as the volatility in exchange rates impacts businesses’ cash flows, revenues and expenses, and eventually is reflected in the company’s risk-return profile. Companies’ exposures to exchange rate risk have considerably increased in the past decades, given the boost in international operations and the continuous diversification of businesses’ activities at the global level. Despite the attention that businesses display to nominal exchange rates changes, it is the real exchange rate that should be of more concern to corporate managers, since they induce changes at the level of the competitiveness of the business. Our paper comparatively analyzes the exposure to changes in the nominal and real exchanges rates of the local currencies that companies from a number of four Central and Eastern European countries (Romania, Hungary, Czech Republic and Poland and investigates the nature of the relationship between stock market performance and exchange rates in the four countries under consideration. We find limited evidence for contemporaneous and asymmetric exposure to nominal and real exchange rate risk in all four countries, but consistent evidence for three to four months lagged exposure.

  5. Does the IMF Help or Hurt? The Effect of IMF programs on the likelihood and outcome of currency crises

    OpenAIRE

    Dreher, Axel; Walter, Stefanie

    2008-01-01

    Using panel data for 68 countries over the period 1975-2002 this paper examines how IMF programs, disbursed loans, and compliance with conditionality affect the risk of currency crises and the outcome of such crises. Specifically, we investigate whether countries with previous IMF intervention are more likely to experience currency crises. In a second step, we analyze the IMF's impact on a country's decision to adjust the exchange rate, once a crisis occurred. We find that IMF involvement red...

  6. A machine learning-based automatic currency trading system

    OpenAIRE

    Brvar, Anže

    2012-01-01

    The main goal of this thesis was to develop an automated trading system for Forex trading, which would use machine learning methods and their prediction models for deciding about trading actions. A training data set was obtained from exchange rates and values of technical indicators, which describe conditions on currency market. We estimated selected machine learning algorithms and their parameters with validation with sampling. We have prepared a set of automated trading systems with various...

  7. Forecasting Exchange Rates with Mixed Models

    Directory of Open Access Journals (Sweden)

    Laura Maria Badea

    2013-06-01

    Full Text Available Gaining accuracy in exchange rate forecasting applications provides true benefits for financial activities. Supported today by the advancements in computing power, machine learning techniques provide good alternatives to traditional time series estimation methods. Very approached in time series forecasting are Artificial Neural Networks (ANNs which offer robust results and allow a flexible data manipulation. When integrating both, the “white-box” feature of conventional methods and the complexity of machine learning techniques, forecasting models perform even better in terms of generated errors. In this study, input variables (independent variables are selected using an ARIMA technique and are further employed in differently configured multilayered feed-forward neural networks using Broyden-Fletcher-Goldfarb-Shanno (BFGS optimization algorithm to perform predictions on EUR/RON and CHF/RON exchange rates. Results in terms of mean squared error highlight good results when using mixed models.

  8. Multifractal analysis of managed and independent float exchange rates

    Science.gov (United States)

    Stošić, Darko; Stošić, Dusan; Stošić, Tatijana; Stanley, H. Eugene

    2015-06-01

    We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning between the two regimes. We find that after the transition from managed to independent float regime the changes in multifractal spectrum (position of maximum and width) indicate an increase in market efficiency. The observed changes are more pronounced for developed countries that have a well established trading market. After shuffling the series, we find that the multifractality is due to both probability density function and long term correlations for managed float regime, while for independent float regime multifractality is in most cases caused by broad probability density function.

  9. From monetary to exchange rate targets

    Directory of Open Access Journals (Sweden)

    M.J. ARTIS

    2013-12-01

    Full Text Available This paper was presented at the Fourth International Seminar on European Economic and Monetary Union, held in Copenhagen in March of 1981. The author takes up the theoretical issues in the framework of both static and dynamic analysis. He argues, on the basis of the criterion of minimising the variance of prices around their target value, that an exchange-rate target outperforms a monetary target under most conceivable types of disturbances in a static analysis. 

  10. Exchange Rate Forecasting with Information Flow Approach

    OpenAIRE

    Irena Mačerinskienė; Andrius Balčiūnas

    2016-01-01

    The purpose of this article is to assess exchange rate forecasting possibilities with an information flow approach model. In the model the three types of information flows are distinguished: fundamental analysis information flow through particular macroeconomic determinants, microstructure approach information flow through dealer clients’ positioning data, technical analysis information flow through technical indicators. By using regression analysis it is shown that the composed model can for...

  11. Are Fixed Exchange Rates the Problem and Flexible Exchange Rates the Cure?

    OpenAIRE

    Paul Davidson

    2003-01-01

    This paper explains why once non-probabilistic (i.e., a non-ergodic stochastic system) uncertainty is introduced into an orthodox freely flexible exchange rate model, the concept of the elasticity of expectations explains the open economy system will be extremely unstable except under the most stationary of economic circumstances. Alternative fixed exchange rate systems are proposed which will help stabilize the open economy--even when real economic forces are volatile.

  12. Investigating the Existence of Chaos in Inflation Data in relation to Chaotic Foreign Exchange Rate

    Directory of Open Access Journals (Sweden)

    Pritha Das

    2014-01-01

    Full Text Available Foreign exchange (ForEx rates are amongst the most important economic indices in the international monetary markets. ForEx rate represents the value of one currency in another and it fluctuates over time. It is related to indicators like inflation, interest rate, gross domestic product, and so forth. In a series of works, we investigated and confirmed the chaotic property of ForEx rates by finding positive largest Lyapunov exponent (LLE. As inflation influences ForEx, in this work we would like to address the specific question, Is inflation data also chaotic? We collected data for time period of 2000 to 2013 and tested for nonlinearity in data by surrogate method. Calculating LLE, we find existence of chaos in inflation data for some countries.

  13. ECONOMETRIC MODELS FOR DETERMING THE EXCHANGE RATE

    Directory of Open Access Journals (Sweden)

    Mihaela BRATU

    2012-05-01

    Full Text Available The simple econometric models for the exchange rate, according to recent researches, generates the forecasts with the highest degree of accuracy. This type of models (Simultaneous Equations Model, MA(1 Procedure, Model with lagged variables is used to describe the evolution of the average exchange rate in Romanian in January 1991-March 2012 and to predict it on short run. The best forecasts, in terms of accuracy, on the forecasting horizon April-May 2012 were those based on a Simultaneous Equations Model that takes into account the Granger causality. An almost high degree of accuracy was gotten by combining the predictions based on MA(1 model with those based on the simultaneous equations model, when INV weighting scheme was applied (the forecasts are inversely weighted to their relative mean squared forecast error. The lagged variables Model provided the highest prediction errors. The importance of knowing the best exchange rate forecasts is related to the improvement of decision-making and the building of the monetary policy.

  14. "Because he has bought for her, he wants to sleep with her": alcohol as a currency for sexual exchange in South African drinking venues.

    Science.gov (United States)

    Watt, Melissa H; Aunon, Frances M; Skinner, Donald; Sikkema, Kathleen J; Kalichman, Seth C; Pieterse, Desiree

    2012-04-01

    Previous research has documented the practice of transactional sex in sub-Saharan Africa and its association with gender-based violence, gender inequalities and HIV risk. At the same time, it has been suggested that women may use transactional sex to obtain a greater sense of control over their lives and their sexualities, and to garner access to resources. The aim of this study was to better understand the practice of exchanging alcohol for sex in alcohol-serving venues in a township in Cape Town, South Africa. Data were collected between June 2009 and October 2010. Six venues were included and observations were conducted in each for four one-week periods over the course of a year. In-depth qualitative interviews included 31 women and 13 men whom interviewers had observed as regular venue customers. Follow-up interviews were conducted with 24 respondents to explore emerging themes. Interviews were recorded and transcribed. Using a grounded theory approach, Atlas.ti was used to code transcripts, field notes, and analytical memos written about each document. Results revealed that alcohol was commonly used as a currency of sexual exchange in this setting, and both women and men understood that accepting alcohol from a man implied consent for sexual favors. Women reported a sense of agency in participating in the transactional sex dynamic, especially when they were able to manipulate it to meet their own ends without fulfilling the men's sexual expectations. At the same time, data revealed that the norm of transactional sex reinforced the undervaluing and commoditization of women. As identified elsewhere, transactional sex put both women and men at greater risk of HIV through multiple partners and inconsistent use of condoms, and the possibility of rape. Interventions are needed to address sexual risk behaviors and substance use within this context to prevent new HIV infections.

  15. Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries

    Science.gov (United States)

    Muniandy, Sithi V.; Uning, Rosemary

    2006-11-01

    Foreign currency exchange rate policies of ASEAN member countries have undergone tremendous changes following the 1997 Asian financial crisis. In this paper, we study the fractal and long-memory characteristics in the volatility of five ASEAN founding members’ exchange rates with respect to US dollar. The impact of exchange rate policies implemented by the ASEAN-5 countries on the currency fluctuations during pre-, mid- and post-crisis are briefly discussed. The time series considered are daily price returns, absolute returns and aggregated absolute returns, each partitioned into three segments based on the crisis regimes. These time series are then modeled using fractional Gaussian noise, fractionally integrated ARFIMA (0,d,0) and generalized Cauchy process. The first two stationary models provide the description of long-range dependence through Hurst and fractional differencing parameter, respectively. Meanwhile, the generalized Cauchy process offers independent estimation of fractal dimension and long memory exponent. In comparison, among the three models we found that the generalized Cauchy process showed greater sensitivity to transition of exchange rate regimes that were implemented by ASEAN-5 countries.

  16. Accumulation-Oriented Exchange Regime: Choice of LDC's Issue of Non-international Currencies%储备型汇率制度:发行非国际货币的发展中国家之选择

    Institute of Scientific and Technical Information of China (English)

    龚刚; 高坚; 李炳念

    2012-01-01

    国际货币与非国际货币之区分构成了当前国际金融体系典型的非对称特征。该种区分必将影响不同国家间汇率及汇率制度的选择。本文试图提出一种观点:发行非国际货币的发展中国家所选择的汇率制度可以形容为“储备型汇率制度”。在该种制度下,中央银行对外汇市场不断进行干预以实现其国际货币储备的不断积累,由此而造成本币长期贬值(或低估)和贸易的持续顺差。该种观点不仅与当今世界汇率与汇率制度分布之事实相一致,而且还可通过一个反映发展中国家中央银行行为的动态优化模型进行严格的理论证明。尽管“储备型汇率制度”可能与当前IMF所规定的反“货币操纵”条款相冲突,但是在当前这种不公正和非对称的国际货币体系下,该制度无疑是发展中国家的最优选择。%The distinction between international and non-international currencies is a typical asymmetric feature in the current global financial system. Such a distinction must impact on the choice of exchange regime and exchange rate by different countries. In this paper, we provide an argument that the exchange regime adopted by LDC' s who issue non- international currencies might be regarded as an accumulation-oriented exchange regime (AOER). Under this regime, the central bank will continuously interfere in the foreign exchange market in order to accumulate international currency, thereby devaluate domestic currency and make trade surplus constantly. This is consistent with the observed distribution of exchange rates and exchange regimes across the world. It can also be demonstrated by a simply dynamic optimization model that reflects the optimum behavior of a central bank from LDC' s. Although AOER might be in contrast to the provision with regard to " currency manipulator" set up by IMF, it is however an optimum choice by LDC' s under the current

  17. MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING

    OpenAIRE

    Nwaobi, Godwin

    2008-01-01

    Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early contributions to the postwar literature on exchange rate economics are to a large extent concerened with the role of speculation in foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard, the adjustable-peg system, adjustable-parity system and the flexible exchange rate system. Yet, in 1997, when foreign exch...

  18. Exchange Rate Exposure: A f irm and Industry Level Investigation

    OpenAIRE

    Sadik Cukur

    2010-01-01

    Exchange rate exposure has become one of the most important subjects in international finance area after collapsing fixed exchange rate system. Several studies have been devoted to explore the relationship between exchange rate changes and the value of the firm. This study aims to investigate this relationship in the Istanbul Stock Exchange Market. The results of univariate model and multivariate models indicate that 30 % of the firms are affected negatively against exchange rate changes. The...

  19. Effectiveness of central bank intervention on the foreign exchange market

    OpenAIRE

    Finger, Karl; Reitz, Stefan

    2012-01-01

    In contrast to academic recommendations monetary authorities all over the world intervene on the foreign exchange market to actively manage the exchange rate. Particularly in the aftermath of the global financial crisis the exchange rate is abused by some countries in a currency war to artificially improve the own competitiveness and thereby harming trading partners. Aside from these heavily debated activities a number of open economies try to shield their currency from irrational exuberance ...

  20. Ist der Euro gefährdet? Is the European currency euro put at risk?

    Directory of Open Access Journals (Sweden)

    Armin Rohde

    2012-01-01

    Full Text Available Due to high national debt in several member states of the Euro-Currency-Area which led to huge relief programmes the single European currency Euro seems to be at risk. Bur neither inflation rates nor exchange rate movements of the Euro since 1999 up to 2011 give reasons to believe that an up to now success story of the Euro will come to a sudden end in shortness. On the other hand it often had been argued that increasing national debt will inevitably lead to higher inflation rates and will endanger a currency by permanent devaluation. But the institutional and legal framework of the European monetary policy, if used correctly, will give sufficient protection against inflation pressure due to increasing national debt. The most danger for the European currency or for the European-Currency-Area can be seen in drifting apart of national competiveness between the member states of the Euro- Area, especially due to an existing lack of coordination in wage policy. Different wage policies in the member states of the Euro-Area in the past had led to different national inflation rates and had caused calculated real exchange rate movements which had lasting influence on national competiveness, which hamper international trade in the case of real appreciation or which promote international trade in the case of real depreciation..

  1. Stochastic Simulation of the Exchange Rate

    Directory of Open Access Journals (Sweden)

    Anamaria ALDEA

    2007-01-01

    Full Text Available The rational expectations paradigm, that dominates macroeconomicsfails to take into account the complexity of the information, which is so vast that the individual brain cannot understand the full of it. The agents are boundedly rational,so they use simple forecasting rules that do not incorporate all available information, but they are willing to learn and will switch to other rules if it turns out that these rules are more profitable than the rule they have been using. Such trial and error learning strategies create the dynamics in the foreign exchange market, with two types of equilibria, a fundamental and a non-fundamental equilibrium to which the exchange rate is attracted.

  2. Detection of counterfeit currency

    Science.gov (United States)

    Burns, D.A.

    1998-05-26

    A method is disclosed of detecting counterfeit currency by contacting the currency to be tested with near infrared beams in the spectrum below 1,250 nanometers, measuring reflectance of the near infrared beams and comparing the reflectance values with those from genuine currency. 18 figs.

  3. THE COMPARATIVE ANALYSIS OF ROMANIAN AND HUNGARIAN STOCK MARKET INDICES AND EXCHANGE RATES

    Directory of Open Access Journals (Sweden)

    Kulcsár Edina

    2012-07-01

    Full Text Available Nowadays, when we are witnessing a serious macro-level changes, to deal with financial and economic indicators becomes more and more important in the economy, in particular to evaluate the changes of these indicators and especially their impact to the private sector. This paper aims to analyze in comparison for two countries, in what extent can explain the changes of the most important stock market indices with the fluctuations of those two countries national currency exchange rates in euro. To determinate the relationship between the macro indicators we’ve used traditional statistical methods, namely simple linear regression model and the Bayesian statistics. In case of both Romania and Hungary, the analyses show that there is a relationship between exchange rates and the changes of stock indices. If we compare the analysis results of the two countries, we can see that the relationship between the BET index and Lei/EUR exchange rate is much more stronger than between the BUX index and Ft/EUR exchange rate, in the latter case we can see a much weaker relationship.

  4. The Effect of Depreciation of the Exchange Rate on the Trade Balance of Albania

    Directory of Open Access Journals (Sweden)

    Kurtović Safet

    2017-06-01

    Full Text Available Almost all countries face the problems of trade balance, although they are more inherent in developing countries and economies in transition. A majority of economists adheres to a common opinion real depreciation may lead to an improvement of the trade balance. That said, countries encountering trade balance issues use real exchange rate depreciation in order to improve the trade balance situation. Albania belongs to the group of transition countries that has been facing negative trade balance over last two decades. National currency devaluations of the lek (ALL have been used by Albania to improve its trade balance. Therefore, this paper intends to investigate the effect of the real effective exchange rate depreciation of the ALL on the trade balance of Albania using quarterly data from 1994 to 2015. Bounds testing cointegration approach, vector error correction model (VECM and impulse response were used for empirical analysis. The results of the study show that there exists a long-term cointegration between the real effective exchange rate depreciation and the trade balance. Specifically, real effective exchange rate depreciation positively affects the trade balance of Albania in both the long-run and short-run indicating the weak presence of the J-curve effect. Important recommendations were derived from the results.

  5. Escape Clauses and Targeting of the Real Exchange Rate: The Case of Nominal Exchange Rate Pegging

    Directory of Open Access Journals (Sweden)

    Pablo González M.

    2010-08-01

    Full Text Available

    We consider an economy under a fixed exchange rate system, but with bounds (a minimum level or a band on the real exchange rate. The international price of the tradable good is characterized by the continuous arrival of shocks that change its level. In a model with microfoundations, we investigate the effects of targeting the real exchange rate through nominal exchange rate changes that preclude the real exchange from trespassing the imposed bounds.

    A stochastic general equilibrium model with two goods and fixed non-tradable goods price level is developed. We analyze the cases in which a lower bound or a band on the real exchange rate is introduced. The general conclusion is that when bounds are established, then welfare effects can be expected, which are generated at the expense of the levels of consumption that go in the opposite direction than what the policy intended. This short-run effect is present even in the case the targeting policy is never exercised. This result is similar to the one we find in the target zones literature, in the sense that just the existence of this tolerance band changes the behavior of the economy.

    An interesting result is that, in the case in which home goods prices are fixed, the imposition of the band on the real exchange rate does not change its behavior within the band. However, this result is not true of other real variables in the economy. In other words, although the targeted variable within the band behaves identically to the case in which there are no bounds, the rest of the real variables in the economy behave differently, even if the targeted variable remains within the band and the escape clause is not triggered.

  6. 78 FR 62791 - Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing of Proposed Rule Change To...

    Science.gov (United States)

    2013-10-22

    ... not limited to, treasury futures to hedge against rising interest rates, currency futures to hedge... against rising interest rates, and currency futures to hedge against foreign exchange rates. The... calculated by taking the average length of time to maturity (fixed-rate) or the next interest rate reset...

  7. The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

    NARCIS (Netherlands)

    G.J. de Zwart (Gerben); T.D. Markwat (Thijs); L.A.P. Swinkels (Laurens); D.J.C. van Dijk (Dick)

    2007-01-01

    textabstractWe measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and

  8. The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

    NARCIS (Netherlands)

    G.J. de Zwart (Gerben); T.D. Markwat (Thijs); L.A.P. Swinkels (Laurens); D.J.C. van Dijk (Dick)

    2007-01-01

    textabstractWe measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and explic

  9. NATREX AND DETERMINATION OF REAL EXCHANGE RATE OF RMB

    Institute of Scientific and Technical Information of China (English)

    Holger van Eden; LIU Bin; Gerbert Romyn; YANG Xiaoguang

    2001-01-01

    ]n this paper, we analyze the movements of the real exchange rate in China.Our empirical evidence shows that the purchasing power parity does not hold in the long run, and the real exchange rate is non-stationary. The decomposition of the movements of the real exchange rate also indicates that real shocks result in permanent changes in the real exchange rate whereas nominal shocks just result in temporary changes.Based on these facts,we apply NATREX approach to analyze the detrmination of real exchange rate in China.The NATREX model successfully explains the evolution of the real exchange rate in China:The real exchange rate in the long run is determined by the real fundamentals including the productivity at home and abroad,and the domestic time preference.In the long run,a rise of the domestic productivity significantly appreciates the real exchange rate whereas a rise of the foreign productivity significantly appreciates the real exchange rate whereas a rise of the fireign productivity or a rise of the domestic time preference significantly depreciates the real exchange rate.We also find that the estimated NATREX rate converges to the steady-state exchange rate in the long run.Although there are short-run fluctuations around the NATREX rate,the real exchange rate will converge to the NATREX rate over time.

  10. Do populismo às bandas cambiais: a evolução da política cambial no Chile de 1970 a 1999 From populism to exchange rate bands: the evolution of exchange rate policy in Chile from 1970 to 1999

    Directory of Open Access Journals (Sweden)

    Patrícia Helena F. Cunha

    2009-09-01

    Full Text Available We discuss in this paper the evolution of exchange rate policy in Chile since the seventies, with special attention to overvaluation and undervaluation cycles. Following a recent literature that argues in favor of competitive currencies as part of a development strategy, we argue that the Chilean exchange rate policy in the years that go from 1984 until 1999 were very important to its growth results. Chile even managed to go through the nineties without a major external crisis, especially when compared to its Latin American neighbors. We argue here that the exchange rate crawling band adopted in the middle eighties and nineties was important for its growth strategy.

  11. Analysis of the Chinese Exchange Rate Stability

    Directory of Open Access Journals (Sweden)

    Youngrok Cheng

    1998-03-01

    Full Text Available Asian Financial Crisis now is moving to a relatively stable phase, and at this time, whether Chinese RMB will depreciate is raising the concern of the outside world. If we simply consider economic factors, we will find REER (Real Effective Exchange Rate increased around 10%, where depreciation factors are lurking. However, after Vice Premier Zhu Rongji took the responsibility of economic operation and fixed the fundamental key of developing stably, many foreign departments present good impetus of development. After that, Foreign Exchange Rate Reservation increases and major focus is put on long-term operation for debt structure. On the contrary, If Chinese RMB depreciates dramatically, there will be some uneasiness towards domestic economy and also the burden of paying debt should be increased, people may suffer the loss quite a lot. Especially even we consider the responsibility as the central country in this region and the political & economical factors causing the harmonious atmosphere of Sino-American relationship, it can be predicted that Chinese RMB cannot depreciate dramatically within 1-2 years.

  12. An Incomplete Optimal Currency Area

    DEFF Research Database (Denmark)

    Dreyer, Johannes Kabderian; Graversen, Mads Byskov

    2014-01-01

    on migration rates. We use panel regressions to test these relationships and find out that migration between member states is very low after the Euro’s first decade. Combined with the lack of significant fiscal transfers we conclude that the currency union is still not an OCA.......The main objective of this study is to test if the Eurozone a decade after its launch can be considered an optimal currency area (OCA) as defined by Mundell (1961). In an OCA, asymmetric shocks – as the ones experienced by the Eurozone following the recent financial crisis – may be dampened by two...... instruments: fiscal transfers from one country to another, or migration. As fiscal transfers in the Eurozone are low, we study the economic significance of migration flows as automatic stabilizers of the currency area. We assume that there is a strong relationship between unemployment and relative wealth...

  13. Fiscal Policy and Welfare under Different Exchange Rate Regimes

    DEFF Research Database (Denmark)

    Østrup, Finn

    regime in whichthe monetary authority optimises preferences which include an employment targetand an inflation target. As government spending affects the representativeindividual's utility, the choice of exchange rate regime has an impact on welfare.Keywords: exchange rate regimes; fiscal policy...

  14. 31 CFR 100.9 - Where mutilated currency should be transmitted.

    Science.gov (United States)

    2010-07-01

    ... 31 Money and Finance: Treasury 1 2010-07-01 2010-07-01 false Where mutilated currency should be transmitted. 100.9 Section 100.9 Money and Finance: Treasury Regulations Relating to Money and Finance EXCHANGE OF PAPER CURRENCY AND COIN Exchange of Mutilated Paper Currency § 100.9 Where mutilated...

  15. Forecasting Exchange Rate Volatility in the Presence of Jumps

    OpenAIRE

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    2005-01-01

    We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of exchange rate futures options, allowing calculation of option implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized exchange rate v...

  16. Understanding the Gains from Wage Flexibility: The Exchange Rate Connection

    OpenAIRE

    Gal??, Jordi; Monacelli, Tommaso

    2015-01-01

    We study the gains from increased wage flexibility and their dependence on exchange rate policy, using a small open economy model with staggered price and wage setting. Two results stand out: (i) the impact of wage adjustments on employment is smaller the more the central bank seeks to stabilize the exchange rate, and (ii) an increase in wage flexibility often reduces welfare, and more likely in economies under an exchange rate peg or an exchange rate-focused monetary policy. Our findings cal...

  17. Friedman Redux; External Adjustment and Exchange Rate Flexibility

    OpenAIRE

    Atish R. Ghosh; Mahvash S Qureshi; Tsangarides, Charalambos G.

    2014-01-01

    Milton Friedman argued that flexible exchange rates would facilitate external adjustment. Recent studies find surprisingly little robust evidence that they do. We argue that this is because they use composite (or aggregate) exchange rate regime classifications, which often mask very heterogeneous bilateral relationships between countries. Constructing a novel dataset of bilateral exchange rate regimes that differentiates by the degree of exchange rate flexibility, as well as by direct and ind...

  18. The Determinants of Exchange Rate Regimes in Emerging Market Economies

    OpenAIRE

    Mehmet Guclu

    2008-01-01

    The choice of exchange rate regime has become one of the most important issues one more time in many economies after the financial crises in recent years. In the wake of the financial crises, many countries, especially emerging market economies, opted for floating exchange rate regimes by forsaking the pegged regimes. Consequently, an old debate on the choice and determinants of exchange rate regimes has been triggered. Economists have started to debate what appropriate exchange rate regime f...

  19. Essays on exchange rate policy in developing countries

    NARCIS (Netherlands)

    Khamfula, Y.A.

    1999-01-01

    The breakdown of the Bretton Woods system of pegged exchange rates has since 1971 given developing countries a wider range of choice with regard to their exchange rate regimes than had previously existed. With the emergence of a variety of exchange rate regimes, increasing attention has been given t

  20. Integrated Strategic Planning of Global Production Networks and Financial Hedging under Uncertain Demands and Exchange Rates

    Directory of Open Access Journals (Sweden)

    Achim Koberstein

    2013-11-01

    Full Text Available In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands. This model considers the expenses of production plants and the revenues of markets in different currency areas. Financial portfolio planning decisions for two types of financial instruments, forward contracts and options, are represented explicitly by multi-period decision variables and a multi-stage scenario tree. Using an illustrative example, we analyze the impact of exchange-rate and demand volatility, the level of investment expenses and interest rate spreads on capacity location and dimensioning decisions. In particular, we show that, in the illustrative example, the exchange-rate uncertainty cannot be completely eliminated by financial hedging in the presence of demand uncertainty. In this situation, we find that the integrated model can result in better strategic planning decisions for a risk-averse decision maker compared to traditional modeling approaches.

  1. Fundamentals and the Equilibrium of Real Exchange Rate of an Emerging Economy: Estimating the Exchange Rate Misalignment in Malaysia

    National Research Council Canada - National Science Library

    Jauhari Dahalan; Mohammed Umar; Hussin Abdullah

    2016-01-01

    .... Based on the suggestion of the weak exogeneity and unit vector analysis, the study estimates the equilibrium and sustainable equilibrium real exchange rate based on the behavioural equilibrium exchange rate (BEER...

  2. Fundamentals and the Equilibrium of Real Exchange Rate of an Emerging Economy: Estimating the Exchange Rate Misalignment in Malaysia

    National Research Council Canada - National Science Library

    Jauhari Dahalan; Mohammed Umar; Hussin Abdullah

    2016-01-01

      To evaluate the existence of possible over and under valuation of exchange rate for Malaysia, the study examines the nature of misalignment in the equilibrium real exchange rate and its systemic...

  3. OPTIMIZATION OF EXPORT PORTFOLIO CURRENCY STRUCTURE OF INDUSTRIAL ENTERPRISES IN REPUBLIC OF BELARUS

    Directory of Open Access Journals (Sweden)

    K. A. Коrоbiyna

    2009-01-01

    Full Text Available Optimization of currency portfolio structure of export industrial enterprises in the Republic of Belarus, by which we shall understand a currency structure of export contracts of an international enterprise, is considered as one of the most important problems in the financial management of an enterprise. Statement and analysis of industrial enterprise alternative costs and simultaneous investigation of tendencies pertaining to changes in the exchange rates give the possibility (under other equal status to reduce non-systematic risks in foreign trade. Diversification of industrial enterprise currency portfolios with the purpose to decrease financial risks and with due account of exchange rate correlation can lead to an increase of payments in Russian currency and Eurocurrency under enterprise export contracts. The given changes decrease currency risks in the foreign trade however they entail possible increase of the export share of products to the Russian Federation in total export volume of the Republic of Belarus that increases dependence of the Republic of Belarus on the Russian Federation as the main foreign trade partner.

  4. Correlation Pattern among “Asian Paper Tigers” Currencies: A Dynamic Conditional Correlation Approach

    Directory of Open Access Journals (Sweden)

    Rozaimah Zainudin

    2014-05-01

    Full Text Available This study attempts to investigate the Dynamic Conditional Correlation (DCC for eight currencies in the East Asia region, known as Asian Paper Tigers from the period of July 2002 to July 2012. The estimation results generated from DCC model verify that each tested exchange rate's volatility is determined by its own previous volatility shock, however failed to find any evidence with its own residual shock. While for correlation estimation results, we support the evidence that the conditional correlations for all tested pairs currencies are highly affected by their previous correlation. Most of the Asian Paper Tigers currencies recorded a low conditional correlation over the tested sampling period except for CNYJPY, MYRCNY, MYRIDR, MYRTHB, JPYTHB and PHPKRW. The findings further verify that mixing the currencies within different monetary regime plays a significant role in enhancing the currency portfolio diversification results. Although in unstable period, both JPYTHB and MYRJPY are the most promising combinations to be included in the optimal currency investment basket where both pairs have small and stable correlations either during the global recession period or European liquidity crisis period.

  5. Stock prices, exchange rates and causality in Malaysia: a note

    OpenAIRE

    2006-01-01

    This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange ...

  6. The Exchange Rate Exposure of Danish Non-Financial Companies

    DEFF Research Database (Denmark)

    Aabo, Tom

    1999-01-01

    A shortcut to measuring exchange rate exposure at the company level can be to exploit the information content in the stock prices. A regression analysis is conducted for the main Danish non-financial companies. The use of one all-comprising exchange rate indicator fails to address the complexity...... of the extra-market exchange rate exposure of individual companies. As such, only a minority of companies has significant exposures when using the effective Danish exchange rate in an OLS regression analysis while half of the companies have significant exposures when using five main exchange rates. A GARCH(1...

  7. Modelli di crisi valutarie e misure di politica economica (Exchange Rate Crises Models and Economic Policy Measures

    Directory of Open Access Journals (Sweden)

    Pompeo Della Posta

    2002-09-01

    Full Text Available Some recent articles explain the Asian crisis almost exclusively in terms of "fundamentals". The role played by private sector's expectations, however, should also be considered. In my view, then, "escape clause" models exhibiting multiple equilibria within a grey area, especially when integrated with the possibility that expectations may change exogenously so as to modify the grey area itself, allow a better understanding of exchange rate crises. When considering the role played by expectations, the economic policy measures to be adopted in order to assure the stability of financial and currency markets differ from the remedies emerging when those aspects are ignored.

  8. 19 CFR 159.31 - Rates to be used.

    Science.gov (United States)

    2010-04-01

    ... (CONTINUED) LIQUIDATION OF DUTIES Conversion of Foreign Currency § 159.31 Rates to be used. Except as otherwise specified in this subpart, no rate or rates of exchange shall be used to convert foreign...

  9. ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE

    Directory of Open Access Journals (Sweden)

    Václava Pánková

    2010-12-01

    Full Text Available The study on volatility and asymmetry of the exchange rate is applied to the Euro/USD relation. Starting in U.S.A., the financial and economic crisis influenced European Union with a certain delay. On the other hand, this years´ problems in Eurozone are paralleled by rising American economy. That is why we can expect both currencies to develop in different ways. In general, the depreciation deviation of exchange rate can lead to a higher volatility than the appreciation deviation, what implicates asymmetric effects. The uncertainty of exchange rate has a tendency to be inconstant in the time-varying cases, so it has a feature of conditional heteroscedasticity. That is why the models from the ARCH family are employed to study whether the asymmetry is present in the data in question; source: ECB. The Engle – Ng tests for asymmetry in volatility are used to determine whether an asymmetric model is required as adequate. A forecast will be given including an ex post comparison as well as an ex ante prognosis. Financial support from the GA CR project 402/09/0273 and the Research Plan MSM 6138439909 is appreciated.

  10. Dynamic Links between Exchange Rates and Stock Prices in Malaysia: An Asymmetric Cointegration analysis

    Directory of Open Access Journals (Sweden)

    Hamisu Sadi ALI

    2015-09-01

    Full Text Available Abstract. The present article used a monthly data and applied Enders and Siklos (2001 asymmetric cointegration analysis to examine the impact of exchange rates on stock prices in Malaysia for the period of 1999-2014. The result suggests that variables were cointegrated based on Engle-granger two step technique. Moving to threshold auto regressive (TAR and momentumthreshold auto regressive (M-TAR the finding reveals that based on the latter variables were asymmetrically cointegrated as null hypothesis of no cointegration was rejected at 1% significance level based on Enders and Siklos (2001, while the former shows that variables do not have long-run relationship and the speed of adjustment is symmetric. This signifies that increase in the prices of shares in Malaysian stock market could lead to Malaysian Ringgit appreciation over other major global currencies. The stocks will become more expensive and discourage foreign investors’ participation in the market which inhibits the influx of stable foreign capital into Malaysian financial system. The implication is that regulators should ensure that adequate and efficient policies are put in place in order to keep the Ringgit exchange rates at optimal level so as to enhance the participation of foreign investors and improve market competitiveness.Keywords. Stock prices, Exchange rates, Asymmetric, Cointegration, Malaysia.JEL. F18, F21, F23, O47.

  11. An empirical analysis of Singapore’s monetary and exchange rate policies in the 1990s

    Directory of Open Access Journals (Sweden)

    R.C. MAYSAMI

    1998-03-01

    Full Text Available The economy of Singapore has remained relatively unscathed from the Asian currency crisis of 1997 and 1998 which has severely crippled the markets of Hong Kong, Indonesia, and Malaysia. The Monetary Authority of Singapore, which has overseen the country's financial development since the 1960s, has maintained sound monetary policy which has saved the economy from ruin. The government, unlike those of other countries, has also regulated real estate loans and land development and has strengthened its basic services of telecommunications and transport. The present work seeks to re-examine the conflict between monetary stability and exchange rate objectives. The authors seek to find out which policy goal the Monetary Authority of Singapore has been and should be more interested in.

  12. Virtual currencies- Real opportunities?

    OpenAIRE

    Selldahl, Sara

    2013-01-01

    The European Central Bank defines virtual currencies as ”unregulated, digital money, which is issued and usually controlled by its developers, and used and accepted among the members of a specific virtual community.” (European Central Bank, 2012, p. 5) The interest in virtual currencies has increased immensely over the last few years as they become increasingly prevalent in our society across many different industries. Up until now, the field of virtual currencies has been mainly uncharted ...

  13. Taxation of virtual currency

    OpenAIRE

    Bal, Aleksandra Marta

    2014-01-01

    The Information Age has created a new concept of money – virtual currencies existing solely in the cyberspace in the form of intangible computer code. The most prominent virtual currency scheme, Bitcoin, grabbed the public attention as its value skyrocketed at the beginning of 2012. Whereas Bitcoin has many proper ties that could make it an ideal currency for mainstream consumers and merchants, its main drawback is lack of clarity regarding its legal status and tax treatment. The European Cen...

  14. Virtual currencies : Real opportunities?

    OpenAIRE

    Selldahl, Sara

    2013-01-01

    AbstractThe European Central Bank defines virtual currencies as ”unregulated, digital money, which is issued and usuallycontrolled by its developers, and used and accepted among the members of a specific virtual community.”(European Central Bank, 2012, p. 5) The interest in virtual currencies has increased immensely over the last fewyears as they become increasingly prevalent in our society across many different industries. Up until now, the field ofvirtual currencies has been mainly uncharte...

  15. Preventing a Currency War

    Institute of Scientific and Technical Information of China (English)

    YU SHUJUN

    2010-01-01

    @@ On the global economic recovery's already unpredictable road, the latest threat comes from the possibility of a currency war. Although worries about the war have recently been alleviated,as G20 financial officials vowed to "refrain from competitive devaluation of currencies" at their meeting in Gyeongju, South Korea, on October 21-23, more than just words and promises are necessary to avert a currency showdown.

  16. Definition-consistent measurement of exchange market pressure

    NARCIS (Netherlands)

    Klaassen, F.; Jager, H.

    2011-01-01

    Currencies can be under severe pressure, but in a managed exchange rate regime that is not fully visible via the change in the exchange rate. The literature has proposed a way to measure such exchange market pressure (EMP) indirectly, by adding interest rate changes and forex interventions to the

  17. Definition-consistent measurement of exchange market pressure

    NARCIS (Netherlands)

    Klaassen, F.; Jager, H.

    2011-01-01

    Currencies can be under severe pressure, but in a managed exchange rate regime that is not fully visible via the change in the exchange rate. The literature has proposed a way to measure such exchange market pressure (EMP) indirectly, by adding interest rate changes and forex interventions to the ex

  18. Financial imbalances, the dollar exchange rate and international monetary policy.

    Directory of Open Access Journals (Sweden)

    R. TRIFFIN

    2013-12-01

    Full Text Available The continuous and spectacular rise of the dollar on the global foreign exchange market, despite the equally spectacular current account deficit of the U.S. balance of payments, is something that no economist would have dreamed to be possible. Everyone will agree that the answer to the puzzle lies in the fact that the transactions in the current account now constitute only a small part of the gross currency movements, in fact dominated by capital movements. What needs to be explained then is the sheer volume of the total net capital that finances the deficit. The present work considers this paradox, the dollar’s role in the world monetary system and medium and long-term perspectives for the world financial system.

  19. Foreign currency-related translation complexities in cross-border healthcare applications.

    Science.gov (United States)

    Kumar, Anand; Rodrigues, Jean M

    2009-01-01

    International cross-border private hospital chains need to apply the standards for foreign currency translation in order to consolidate the balance sheet and income statements. This not only exposes such chains to exchange rate fluctuations in different ways, but also creates added requirements for enterprise-level IT systems especially when they produce parameters which are used to measure the financial and operational performance of the foreign subsidiary or the parent hospital. Such systems would need to come to terms with the complexities involved in such currency-related translations in order to provide the correct data for performance benchmarking.

  20. International business of banking: the pricing example of retail currency spreads

    Directory of Open Access Journals (Sweden)

    Enn Listra

    2013-05-01

    Full Text Available In this paper the pricing of a specific service of currency exchange based on the retail exchange rate spreads is studied on the example of four international banking groups. The aim of this study is to explore pricing of currency exchange services based on bid-ask differences in some commercial banks and possible price discrimination in this segment of market comparing the behaviour of Western mothers and Eastern daughters in European international banking groups. The retail currency rate spreads in different bank groups and countries are compared with each other. The main results of the study are that statistically significant differences exist in the spreads set by banking groups in different countries. All banking groups in the pilot sample offer more favourable rates in Western countries indicating that the pricing policy of bank groups may be discriminatory. The volatility of spreads over different currencies suggests that different decision making mechanisms may be present in the groups depending on the location of banking unit. The results of this pilot study suggest that further research is needed to understand the extent and the mechanism of findings.

  1. The Digital Agenda of Virtual Currencies. Can BitCoin Become a Global Currency?

    OpenAIRE

    KANCS D'ARTIS; CIAIAN PAVEL; MIROSLAVA Rajcaniova

    2015-01-01

    This paper identifies and analyzes BitCoin features which may facilitate Bitcoin to become a global currency, as well as characteristics which may impede the use of BitCoin as a medium of exchange, a unit of account and a store of value, and compares BitCoin with standard currencies with respect to the main functions of money. Among all analyzed BitCoin features, the extreme price volatility stands out most clearly compared to standard currencies. In order to understand the reasons for such e...

  2. The Digital Agenda of Virtual Currencies. Can BitCoin Become a Global Currency?

    OpenAIRE

    KANCS D'ARTIS; CIAIAN PAVEL; MIROSLAVA RAJCANIOVA

    2015-01-01

    This paper identifies and analyzes BitCoin features which may facilitate Bitcoin to become a global currency, as well as characteristics which may impede the use of BitCoin as a medium of exchange, a unit of account and a store of value, and compares BitCoin with standard currencies with respect to the main functions of money. Among all analyzed BitCoin features, the extreme price volatility stands out most clearly compared to standard currencies. In order to understand the reasons for such e...

  3. The digital agenda of virtual currencies: Can BitCoin become a global currency?

    OpenAIRE

    CIAIAN PAVEL; RAJCANIOVA MIROSLAVA; KANCS D'ARTIS

    2015-01-01

    This paper identifies and analyzes BitCoin features which may facilitate BitCoin to become a global currency, as well as characteristics which may impede the use of BitCoin as a medium of exchange, a unit of account and a store of value, and compares BitCoin with standard currencies with respect to the main functions of money. Among all analyzed BitCoin features, the extreme price volatility stands out most clearly compared to standard currencies. In order to understand the reasons for such e...

  4. THE REAL EXCHANGE RATE DETERMINATION: EMPIRICAL EVIDENCE FROM MALAYSIA

    OpenAIRE

    WONG HOCK TSEN

    2014-01-01

    This study examines the real exchange rate determination in Malaysia. The result of the autoregressive distributed lag approach shows that an increase in the real interest rate differential, productivity differential, the real oil price or reserve differential will lead to an appreciation of the real exchange rate in the long run. The real oil price and reserve differential are important in the real exchange rate determination. The dynamic ordinary least squares (DOLS) estimator shows about t...

  5. Taxation of virtual currency

    NARCIS (Netherlands)

    Bal, Aleksandra Marta

    2014-01-01

    The Information Age has created a new concept of money – virtual currencies existing solely in the cyberspace in the form of intangible computer code. The most prominent virtual currency scheme, Bitcoin, grabbed the public attention as its value skyrocketed at the beginning of 2012. Whereas Bitcoin

  6. Taxation of virtual currency

    NARCIS (Netherlands)

    Bal, Aleksandra Marta

    2014-01-01

    The Information Age has created a new concept of money – virtual currencies existing solely in the cyberspace in the form of intangible computer code. The most prominent virtual currency scheme, Bitcoin, grabbed the public attention as its value skyrocketed at the beginning of 2012. Whereas Bitcoin

  7. Management of exchange rate regimes in emerging Asia

    Directory of Open Access Journals (Sweden)

    Ramkishen S. Rajan

    2012-04-01

    Full Text Available This paper revisits the issue of exchange rate regimes in emerging Asia over the decade 1999–2009. It finds that while Asia is home to a wide array of exchange rate regimes, there are signs of gradual movement toward somewhat greater exchange rate flexibility in many of the regional countries. There appears to be evidence of an apparent “fear of appreciation” which is manifested in asymmetric exchange rate intervention—i.e., a willingness to allow depreciations but reluctance to allow appreciations. This policy of effective exchange rate undervaluation is rather unorthodox from a neoclassical sense, but is consistent with a development policy centered on suppressing the price of non-tradable goods relative to tradables (i.e., real exchange rate undervaluation.

  8. Modelli di crisi valutarie e misure di politica economica (Exchange Rate Crises Models and Economic Policy Measures

    Directory of Open Access Journals (Sweden)

    Pompeo Della Posta

    2012-04-01

    Full Text Available  Some recent articles explain the Asian crisis almost exclusively in terms of "fundamentals". The role played by private sector's expectations, however, should also be considered. In my view, then, "escape clause" models exhibiting multiple equilibria within a grey area, especially when integrated with the possibility that expectations may change exogenously so as to modify the grey area itself, allow a better understanding of exchange rate crises. When considering the role played by expectations, the economic policy measures to be adopted in order to assure the stability of financial and currency markets differ from the remedies emerging when those aspects are ignored.        JEL Codes: F31, F32Keywords: Crisis, Exchange Rates

  9. Forecasting Exchange Rate Volatility in the Presence of Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    of exchange rate futures options, allowingcalculation of option implied volatility. We find that implied volatility is an informationallyefficient but biased forecast of future realized exchange rate volatility. Furthermore,we show that log-normality is an even better distributional approximation...... for impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component....

  10. Real Shocks Unemployment and the Equilibrium Real Exchange Rate

    OpenAIRE

    Hee-Ho Kim

    2002-01-01

    We develop a model of exogenous shocks on the real exchange rate between two large countries. We alter the model by introducing unemployment to consider the issue of how unemployment in a country can significantly change the effects of real shocks on the exchange rate. Introducing unemployment adds flexibility in production that can alter the magnitudes and even signs of shocks to the real exchange rate. These changes occur because of intersectoral differences in labor demand elasticities, as...

  11. Adaptive Forecasting of Exchange Rates with Panel Data

    OpenAIRE

    Morales-Arias, Leonardo; Dross, Alexander

    2010-01-01

    This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii) cyclical and confidence indices. Exchange rate forecasts at various horizons are obtained from each of the potential predictors using single market, mean group and pooled estimates by means of rolling wind...

  12. Impact of Exchange Rate on Foreign Private Investment in Pakistan

    Directory of Open Access Journals (Sweden)

    Muhammad Asif

    2013-10-01

    Full Text Available This study is focused on analyzing exchange rates on foreign private investment in Pakistan. Times series data from periods 1973 to 2012 was used for the analysis. The results of estimation suggest that an exchange rate and gross domestic product are the most important variable that affects private foreign investment in Pakistan. Exchange rate was recommended to be more market responsive compared to the other variables of the model

  13. Exchange Rate Movement and Foreign Direct Investment in Asean Economies

    National Research Council Canada - National Science Library

    Lily, Jaratin; Kogid, Mori; Mulok, Dullah; Thien Sang, Lim; Asid, Rozilee

    2014-01-01

    .... This paper empirically analyses the exchange rate movements and foreign direct investment (FDI) relationship using annual data on ASEAN economies, that is, Malaysia, the Philippines, Thailand, and Singapore...

  14. 17 CFR 210.3-20 - Currency for financial statements of foreign private issuers.

    Science.gov (United States)

    2010-04-01

    ... General Instructions As to Financial Statements § 210.3-20 Currency for financial statements of foreign... the financial statements of a foreign private issuer are stated in a currency of a country that has... 17 Commodity and Securities Exchanges 2 2010-04-01 2010-04-01 false Currency for...

  15. 31 CFR 100.3 - Lawfully held coin and currencies in general.

    Science.gov (United States)

    2010-07-01

    ... 31 Money and Finance: Treasury 1 2010-07-01 2010-07-01 false Lawfully held coin and currencies in general. 100.3 Section 100.3 Money and Finance: Treasury Regulations Relating to Money and Finance EXCHANGE OF PAPER CURRENCY AND COIN In General § 100.3 Lawfully held coin and currencies in general....

  16. Differences in beliefs and currency risk premia

    NARCIS (Netherlands)

    Beber, A.; Breedon, F.; Buraschi, A.

    2008-01-01

    This paper investigates how heterogeneous beliefs of professional investors impact on the currency options market. Using a unique data set with detailed information on the foreign-exchange forecasts of about 50 market participants over more than ten years, we construct an empirical proxy for differe

  17. Transactions between Foreign Currencies Debut on Mainland

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

    @@ At the trading system of the Shanghai-based China Foreign Exchange Swap Center on May 25, the Bank of China and Fujian Industrial Bank finished the Center's first trading between the greenback and the HK currency at HK$7.7993 against US$1, with a turnover of one million US dollars.

  18. Transactions between Foreign Currencies Debut on Mainland

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

      At the trading system of the Shanghai-based China Foreign Exchange Swap Center on May 25, the Bank of China and Fujian Industrial Bank finished the Center's first trading between the greenback and the HK currency at HK$7.7993 against US$1, with a turnover of one million US dollars.……

  19. The difficulties of the Chinese and Indian exchange rate regimes

    Directory of Open Access Journals (Sweden)

    Ila Patnaik

    2009-06-01

    Full Text Available China and India have both sought control over the exchange rate in order to maintain export competitiveness, manage current account balance, and pursue independent monetary policy. In this paper, we examine structural change in the Chinese and Indian de facto exchange rate regimes, focusing on the period from 1998 to 2007. With increasing capital account openness, exchange rate inflexibility has been associated with significant monetary policy distortions. In both countries, the short-term rate expressed in real terms dropped, and achieved very low values, in the unprecedented business cycle expansion of the early 2000s. In the Indian case, difficulties of sterilisation led to a modification of the exchange rate regime, moving towards greater flexibility. In China, in contrast, the exchange rate regime did not change.

  20. High-frequency data and the effectiveness of the spot exchange rate EUR/USD

    Directory of Open Access Journals (Sweden)

    Petr Zeman

    2013-01-01

    Full Text Available The boom of information technology in recent years significantly influenced the development of the financial markets. Financial markets have become accessible to the public, and increased demand for financial instruments is inevitably reflected in the advanced menu of securities dealers who currently offer a wide variety of investment in the underlying assets and through financial leverage allows investors to profit from tiny price changes of the underlying asset. Shortening of trading period and increasing the frequency of the trades clearly contributes to the growth of profits of securities dealers. The question remains whether this trading method offers the advantage to the investor himself, and whether the investor is able to take advantage of potential market inefficiencies to achieve above-average profits in the short term period. Therefore, this paper analyzes the behaviour of the spot exchange rate EUR/USD within a day, and through statistical tests examining the validity of the random walk hypothesis for the 5-minute, hourly, 4-hourly and daily changes in the spot exchange rate of the currency pair EUR/USD.

  1. Unpredictable After All? A short note on exchange rate predictability

    NARCIS (Netherlands)

    G.A. Moerman (Gerard)

    2001-01-01

    textabstractEarlier research has shown that it is very hard to outperform the random walk model with respect to forecasting exchange rates. In this paper we propose an extension to the regular regime-switching model in order to capture the exchange rate dynamics. The model is extended by including m

  2. IMPROVING THE EFFECTIVENESS OF EXCHANGE RATE POLICY IN CONTEMPORARY VIETNAM

    Directory of Open Access Journals (Sweden)

    The Dong Phung

    2014-01-01

    Full Text Available The article discusses the issue of effectiveness of exchange rate policy in contemporary Vietnam, along with the assessment of the mechanism of this policy from 1989 to the present day. The author analyzes constraints of implementing the exchange rate policy in the past and gives recommendations aimed at improving its efficiency nowadays.

  3. Effectiveness of Exchange Rate in Pakistan: Causality Analysis

    Directory of Open Access Journals (Sweden)

    Rana Ejaz Ali Khan

    2012-06-01

    Full Text Available The study analyzed the effectiveness of exchange rate on macroeconomic variables of Pakistan. The precise objective of the study is to examine the causality between exchange rate, trade, inflation, FDI and GDP through a series of models. On the annual time series data for the years 1980-2009 unit root test for stationarity, Johansen’s cointegration test for long-run equilibrium relationship between the variables for each model and Granger Causality test to check the causality between the variables is applied. The main findings are as: there is no long-run equilibrium relationship between exchange rate and inflation, but there exists long-run equilibrium relationship between exchange rate and trade. Thereis also long-run equilibrium relationship between exchange rate and FDI and causality runs in both directions, i.e. exchange rate to FDI and FDI to exchange rate. Finally, there is long-run equilibrium relationship between exchange rate and GDP but causality doesnot run in either direction.

  4. Monetary models and exchange rate determination: The Nigerian ...

    African Journals Online (AJOL)

    Monetary models and exchange rate determination: The Nigerian evidence. ... income levels and real interest rate differentials provide better forecasts of the naira-US dollar ... in this regard is that monetary policy should be positively predicted.

  5. Forecasting Exchange Rate Volatility in the Presence of Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    of exchange rate futures options, allowingcalculation of option implied volatility. We find that implied volatility is an informationallyefficient but biased forecast of future realized exchange rate volatility. Furthermore,we show that log-normality is an even better distributional approximation...... for impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component.......We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniquesto compute realized return volatility and its separate continuous sample path and jumpcomponents, and measures based on prices...

  6. Currency union entries and trade

    OpenAIRE

    Nitsch, Volker

    2005-01-01

    Recent research suggests that adopting a common currency increases bilateral trade. In this paper, I explore experiences of currency union entry in the post-war period and find no effect on trade. Previous results derived from a large panel data set (covering more than 200 countries from 1948 through 1997) appear to depend crucially on the assumption of symmetry between currency union exits and entries: While countries leaving a currency union experience significant declines in trade, currenc...

  7. Currency Substitution and Government Revenue from Inflation Currency Substitution and Government Revenue from Inflation

    Directory of Open Access Journals (Sweden)

    C. Luis Ramírez-Rojas

    1986-03-01

    Full Text Available Currency Substitution and Government Revenue from Inflation The purpose of this paper is to show that in the case of an open economy the calculations of revenue-maximing rates of inflation have been made using a restrictive model that assumes that domestic residents can only substitute between domestic money and goods (and real assets. The paper demonstrates that once the effects of currency substitution, so common in developing countries, are taken into account, the inflation rate that maximizes the proceeds of the inflation tax can be quite lower than would be the case when currency substitution is ignored.

  8. ON CAUSES AND CONSEQUENCES OF UNPRECEDENTED RUBLE EXCHANGE GROWTH

    Directory of Open Access Journals (Sweden)

    Polyakov Egor Nikolaevich

    2013-03-01

    Full Text Available We provide an analysis of real effective exchange rate dynamics in Russia throughout the last decade. Authors analysed the causes and consequences of real effective exchange growth and assessed how Russian ruble real effective exchange rate comply with its equilibrium level. Authors present results of empiric analysis of relationship between real effective exchange rate and labour productivity in industry of 20 european, asian countries and Russia. The result of this writing was the formulation of key copyright conclusions, namely: 1. The price level in the country (and the level of the real exchange rate of the national currency is a key factor of competitiveness. Accordingly, the real exchange rate of the national currency - is one of the most important policy tools. 2. The ruble today seriously overvalued. Overvaluation of the national currency relative to the equilibrium level is extremely harmful to the economy. Less recognized, but also widespread YaV it possible to the idea that an undervalued currency is a prerequisite for rapid economic growth. 3. A direct consequence of the growth of the real exchange rate in the past 12 years has been the growth of the external debt of the private sector. 4. Restraining the growth rate of the national currency - is also a common practice for countries who are concerned about the level of competitiveness. But Russia is this day-the only country of the G-20, which is impossible to control the REER.

  9. Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

    OpenAIRE

    Frankel, Jeffrey A.; Kenneth Froot

    1990-01-01

    The paper presents new empirical results that elucidate the dynamics of the foreign exchange market. The first half of the paper is an updated study of the exchange rate expectations held by market participants, as reflected in responses to surveys, and contains the following conclusions. First, the bias observed in the forward discount as a predictor of the future spot rate is not attributable to an exchange risk premium, as is conventionally believed. Second, at short horizons forecasters t...

  10. The role of currency derivatives in internationally diversified portfolios

    OpenAIRE

    Peter A. Abken; Milind M. Shrikhande

    1997-01-01

    Diversification is widely practiced by investors seeking to reduce risk. In recent years investors have been turning to foreign markets to obtain even greater scope for diversification than domestic markets offer. With the internationalization of security portfolios, however, also comes an additional risk-foreign exchange risk. ; The use of currency derivatives in internationally diversified portfolios can help mitigate foreign exchange risk. This article investigates the impact of currency h...

  11. The Effects of Interest Rate on the Optimal Consumption Path in a Bewley Model with the Co-existence of Currency and Credit

    Directory of Open Access Journals (Sweden)

    Seyyed Aqil Hoseiny

    2013-08-01

    Full Text Available In the Bewley models, the endowment is faced to idiosyncratic risks. But contingent claims markets is restricted or completely excluded by assumption and so households couldn’t insure themselves against these risks. Consequently, households will have strong motive to precautionary saving for self-insurance. Households’ only option is to “self-insure” by managing a stock of a single asset to buffer their consumption against adverse shocks. The bewley models differ mainly with respect to the particular asset that is the instrument for self-insurance: fiat currency, credit (such as IOU's, bank deposits, government bonds and so on or capital. In these models if the interest rate would be equal to the rate of the time preference then asset and consumption diverge to infinity and so monetary equilibrium doesn't exist. Therefore these models conclude that the use of Friedman rule can be misleading in an incomplete market setup. Therefore these models reduce the interest rate so that asset and consumption converge and consequently the monetary equilibrium exists.In this paper we extend the bewley models and construct a heterogeneous model with idiosyncratic risks and borrowing constraint where agents hold money and bearing interest assets as government bonds for precautionary motives and self-insurance. We show that the consequences of bewley models in this condition are still true: There should be the interest rate lower than time preference to insure the existence of monetary equilibrium. With sufficient uncertainty in the income and interest rate sequences, consumption will grow without bound even if the rate of interest is equal to or greater than the discount rate.

  12. Currency competition in the Eurozone: an answer to the crisis

    Directory of Open Access Journals (Sweden)

    Krzysztof Spirzewski

    2016-07-01

    Full Text Available The common currency was created as a result of theoreti cal considerati ons regarding the functi oning of opti mum currency areas. This theory refers to a number of benefi ts as well as costs. It imposes a number of requirements that are necessary for the newly created structure to be considered opti mum. The economies of Eurozone countries did not meet these requirements. In consequence, the present functi oning of the Eurozone encounters many disturbances – the strong differentiation of the balance of payments is a signifi cant example. The reforms initi ated in the European Union and undertaken in response to the fi nancial crisis encompassed the Eurozone countries, yet they only concern fi nancial policy. The adopted strategy of action arouses questions as to its effectiveness. The aim of this arti cle is to present one of the reasons for the Eurozone crisis and a proposal for changing the monetary policy, in particular the exchange rate. In view of this objecti ve, the main hypothesis reads as follows: one of the methods of counteracting the crisis is to introduce currency competition within the Eurozone.

  13. The feasibility of a fixed exchange rate regime for new EU-members: evidence from real exchange rates

    NARCIS (Netherlands)

    Candelon, B.; Kool, C.J.M.; Raabe, K.; van Veen, T.

    2005-01-01

    In this paper, we estimate fundamental bilateral real exchange rates for a group of eight accession countries using a panel-cointegration approach for the period 1993-2003. We document a significant positive link between productivity levels and the corresponding real exchange rate levels. Future ris

  14. The feasibility of a fixed exchange rate regime for new EU-members : Evidence from real exchange rates

    NARCIS (Netherlands)

    Candelon, B.; Kool, C.J.M.; Raabe, K.; Veen, van A.P. (Tom)

    2005-01-01

    In this paper, we estimate fundamental bilateral real exchange rates for a group of eight accession countries using a panel-cointegration approach for the period 1993-2003. We document a significant positive link between productivity levels and the corresponding real exchange rate levels. Future ris

  15. The Effects of Capital Outflows from Neighboring Countries on a Home Country’s Terms of Trade and Real Exchange Rate: The Case of East Asia

    Directory of Open Access Journals (Sweden)

    Sammo Kang

    2005-06-01

    Full Text Available While there is an extensive body of empirical analyses showing that currency crises tend to be regionally concentrated to specific areas and contagious to countries with high levels of trade, there has been insufficient research on the mechanisms underlying such tendencies. Using a two¡ⓒcountry model, we investigate the possibility of deterioration in the terms of trade and a rise in the real exchange rate of a home country in the case of capital outflows from its trade partner. In addition, an empirical analysis of East Asian countries conclusively shows that some countries conform to the model. Generally, neighboring countries trade extensively with one another for reasons like low logistics costs. This paper finds that such patterns of trade can be one reason for a currency crisis being regional.

  16. An absolute measure for a key currency

    Science.gov (United States)

    Oya, Shunsuke; Aihara, Kazuyuki; Hirata, Yoshito

    It is generally considered that the US dollar and the euro are the key currencies in the world and in Europe, respectively. However, there is no absolute general measure for a key currency. Here, we investigate the 24-hour periodicity of foreign exchange markets using a recurrence plot, and define an absolute measure for a key currency based on the strength of the periodicity. Moreover, we analyze the time evolution of this measure. The results show that the credibility of the US dollar has not decreased significantly since the Lehman shock, when the Lehman Brothers bankrupted and influenced the economic markets, and has increased even relatively better than that of the euro and that of the Japanese yen.

  17. Exchange rate formation in Ukraine and its impact on macroeconomic indicators

    OpenAIRE

    2014-01-01

    The factors of exchange rate formation in Ukraine are analyzes in this paper, the influence of exchange rate on macroeconomic indicators of development and the main priorities of the exchange rate policy are determined exchange.

  18. The relationship between exchange rate and macroeconomic variables in China

    Directory of Open Access Journals (Sweden)

    Chi Wei Su

    2012-06-01

    Full Text Available The objective of this study is to provide evidences on the relationship betweenRenminbi (RMB exchange rate and macroeconomic variables in China, as well asguidelines for reform of RMB exchange rate regime. The long-run equilibriumrelationship between RMB exchange rate and macroeconomic variables of Chinais examined by applying the non-parametric rank tests proposed by Breitung.Furthermore, this study uses the threshold error-correction model (TECM todetect the nonlinear casual relationship between RMB exchange rate andmacroeconomic variables that are nonlinear forms. The results show that RMBexchange rate and macroeconomic variables have nonlinear relationship witheach other. In the long run, these results demonstrate solid evidence that RMBexchange rate and macroeconomic variables support the hypothesis of anasymmetrical error-correction process in China. Our results have important policyimplications for Chinese government under study.

  19. Foreign exchange risk and financial performance: The case of Turkey

    OpenAIRE

    İLHAN, Hüseyin

    2016-01-01

    ABSTRACT, i -- ÖZET, ii -- ACKNOWLEDGEMENTS, iii -- TABLE OF CONTENTS, iv -- LIST OF TABLES, vi -- ABBREVIATIONS, vii -- 1. INTRODUCTION, 1 -- 2. LITERATURE REVIEW, 2 -- 2.1. Exchange Rates, 2 -- 2.2. The Determinants of the Real Exchange Rate, 3 -- 2.3. Exchange Rate Changes, 3 -- 2.4. Exchange Rate Systems, 3 -- 2.4.1. Fixed Exchange Rate System, 4 -- 2.4.2. Flexible Exchange Rate Systems, 5 -- 2.5. Determinants of Currency, 7 -- 2.6. Models of Exchange Rate Determination, 8 -- 2.6.1. Parti...

  20. Identifying the weights in exchange market pressure

    NARCIS (Netherlands)

    F. Klaassen

    2012-01-01

    Exchange market pressure (EMP) measures the pressure on a currency to depreciate, and it is particularly relevant in crisis periods. EMP adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventio

  1. Target zones and exchange rates : An empirical investigation

    OpenAIRE

    Bekaert, G.R.J.; Gray, S. F.

    1997-01-01

    In this paper we develop an empirical model of exchange rates in a target zone. The model is general enough to nest most theoretical and empirical models in the existing literature. We find evidence of two types of jumps in exchange rates. Realignment jumps are those that are associated with the periodic realignments of the target zone and within-the-band jumps are those that can be accommodated within the current target zone. The exchange rate may jump outside the current target zone band, i...

  2. Real exchange rate persistence and the excess return puzzle

    DEFF Research Database (Denmark)

    Juselius, Katarina; Assenmacher, Katrin

    2017-01-01

    The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation of the domestic-foreign interest rate differential from the expected change in the nominal exchange rate. Using the I(2......) cointegrated VAR model, much of the excess return puzzle disappears when an uncertainty premium in the foreign exchange market, proxied by the persistent PPP gap, is introduced. Self-reinforcing feedback mechanisms seem to cause the persistence in the Swiss-US parity conditions. These results support imperfect...

  3. Effects of interest and exchange rate policies on Brazilian exports

    Directory of Open Access Journals (Sweden)

    Cláudia Maria Sonaglio

    2016-01-01

    Full Text Available In heterodox literature, the industrial sector is considered strategic for economic development. Consequently, reducing the contribution of this sector in the production of the country before it has reached the stage of economic maturity, affects the productive dynamics and slow technical progress. The appreciation of the real exchange rate is seen as one of the factors responsible for the reduction of the external competitiveness of Brazilian manufactures, and this exchange rate valuation may be occurring due to the differences between domestic and international interest rates. Given this context, the aim of this study is to evaluate the impact of changes in the monetary and exchange rate policy and in the composition of the total exports on the performance of the Brazilian economy using a structuralist model. The results reinforce the importance of the manufacturing sector to economic growth, especially in a competitive exchange rate environment.

  4. Macroeconomic stabilization and intervention policy under an exchange rate band

    NARCIS (Netherlands)

    Beetsma, R.M.W.J.; van der Ploeg, F.

    1998-01-01

    Macroeconomic stabilization and foreign exchange market interventions are investigated for a small open economy with a nominal exchange rate band. In a first-best situation, a band is not advisable from a stabilization perspective, even though with money demand shocks no welfare losses are incurred.

  5. Macroeconomic stabilization and intervention policy under an exchange rate band

    NARCIS (Netherlands)

    Beetsma, R.M.W.J.; van der Ploeg, F.

    1998-01-01

    Macroeconomic stabilization and foreign exchange market interventions are investigated for a small open economy with a nominal exchange rate band. In a first-best situation, a band is not advisable from a stabilization perspective, even though with money demand shocks no welfare losses are incurred.

  6. Using Survey Data to Resolve the Exchange Risk Exposure Puzzle: Evidence from U.S. Multinational Firms

    NARCIS (Netherlands)

    W.F.C. Verschoor (Willem); R. Jongen (Ron); A. Muller (Aline)

    2012-01-01

    textabstractWhile in previous literature foreign currency exposure is estimated to be surprisingly small and insignificant, we question in this paper the rationality assumption and show that the traditional use of realized exchange rate changes to approximate unexpected currency shocks leads to a

  7. A Probe into the Choices of Exchange Rates in the Financial Cooperation in Sino- ASEAN Region%中国东盟区域金融合作:汇率制选择探析

    Institute of Scientific and Technical Information of China (English)

    张家寿

    2004-01-01

    The development of Sino-ASEAN financial cooperation is moving ahead and is inconvertible. In order to solve the problem of the exchange rates, careful study should be put into a reasonable mechanism that deals with exchange rates so as to promote and stabilize the development of the economy in that area. Through a careful study on the changes of exchange rates, fixed exchange rate mechanism, the advantage and disadvantage of the floating rates, the control of the capital market, the target areas of the exchange rates and the potential causes of currency crisis in the international monetary system, this essay discusses the potential problems which might arise in Sino-ASEAN financial cooperation.

  8. Quantitative analysis of potential currency crisis in the Republic of Serbia

    Directory of Open Access Journals (Sweden)

    Rađenović Žarko

    2015-01-01

    Full Text Available The subject of this paper is theoretical and empirical analysis of potential currency crisis in the Republic of Serbia. The main aim of the paper is quantitative analysis of a set of key indicators (index of exchange market pressure, signal-to-noise ratio, misery index, a measure of openness and the monetary measure of openness of the country that indicate the possibility of a currency crisis. The cyclic character of currency and financial crisis is forcing policymakers to conduct thoughtful exchange rate policy. The aim of this is to prevent the scenario with which the countries of Latin America faced in the late 20th century. Although there is no a significant correlation in terms of international trade transactions between Serbia and the countries of Latin America, we should certainly learn from the experience of these countries. It is necessary to continuously monitor the value of indicators which point to possible distortion. In the paper we use some econometric and statistical tools, such as correlation and regression analysis, to point to the values of indicators which can contribute to early detection of a currency crisis.

  9. General and specific statistical properties of foreign exchange markets during a financial crash

    Science.gov (United States)

    Li, Wei-Shen; Tsai, Yun-Jie; Shen, Yu-Hsien; Liaw, Sy-Sang

    2016-06-01

    We investigate minute-by-minute foreign exchange rate (FX) data of 14 currencies with different exchange-rate regimes during a financial crash, and divide these data into several stages according to their respective tendencies: depreciation stage (stage 1), fluctuating stage (stage 2), and appreciation stage (stage 3). The tail distribution of FX rate returns satisfies a power-law structure for different types of currencies. We find the absolute value of the power-law exponent is smaller in emerging markets than in developed markets, especially during the stage 1, and is greatest in pegged currencies. We also find that the correlation properties of the FX rate return series have quite disparate results among the various types of currencies. Currencies in developed markets respectively have weak persistence and anti-persistence in short and long timescales; whereas the pegged currencies and currencies in emerging markets show different degrees of anti-persistence in various timescales. Further analyses on the data in divided stages indicate that emerging markets and pegged currencies have more prominent dual fractal structures after the depreciation stage, while the developed markets do not. Hurst exponent analyses on the sign series yield similar results to that on the original return series for most currencies. The magnitude series of the returns provide some unique results during a crash. The developed market currencies have strong persistence and exhibit a weaker correlation in the depreciation and appreciation stages. In contrast, the currencies of emerging markets as well as pegged currencies fail to show such a transformation, but rather show a constant-correlation behavior in the corresponding stages of a crash. These results indicate that external shocks exert different degrees of influence during different stages of the crash in various markets.

  10. On equilibrium real exchange rates in euro area: Special focus on behavioral equilibrium exchange rates in Ireland and Greece

    Directory of Open Access Journals (Sweden)

    Klára Plecitá

    2012-01-01

    Full Text Available This paper focuses on the intra-euro-area imbalances. Therefore the first aim of this paper is to identify euro-area countries exhibiting macroeconomic imbalances. The subsequent aim is to estimate equilibrium real exchange rates for these countries and to compute their degrees of real exchange rate misalignment. The intra-area balance is assessed using the Cluster Analysis and the Principle Component Analysis; on this basis Greece and Ireland are selected as the two euro-area countries with largest imbalances in 2010. Further the medium-run equilibrium exchange rates for Greece and Ireland are estimated applying the Behavioral Equilibrium Exchange Rate (BEER approach popularised by Clark and MacDonald (1998. In addition, the long-run equilibrium exchange rates are estimated using the Permanent Equilibrium Exchange Rate (PEER model. Employing the BEER and PEER approaches on quarterly time series of real effective exchange rates (REER from 1997: Q1 to 2010: Q4 we identify an undervaluation of the Greek and Irish REER around their entrance to the euro area. For the rest of the period analysed their REER is broadly in line with estimated BEER and PEER levels.

  11. Rate of oxygen isotope exchange between selenate and water.

    Science.gov (United States)

    Kaneko, Masanori; Poulson, Simon R

    2012-04-17

    The rate of oxygen isotope exchange between selenate and water was investigated at conditions of 10 to 80 °C and pH -0.6 to 4.4. Oxygen isotope exchange proceeds as a first-order reaction, and the exchange rate is strongly affected by reaction temperature and pH, with increased rates of isotope exchange at higher temperature and lower pH. Selenate speciation (HSeO(4)(-) vs SeO(4)(2-)) also has a significant effect on the rate of isotope exchange. The half-life for isotope exchange at example natural conditions (25 °C and pH 7) is estimated to be significantly in excess of 10(6) years. The very slow rate of oxygen isotope exchange between selenate and water under most environmental conditions demonstrates that selenate-δ(18)O signatures produced by biogeochemical processes will be preserved and hence that it will be possible to use the value of selenate-δ(18)O to investigate the biogeochemical behavior of selenate, in an analogous fashion to the use of sulfate-δ(18)O to study the biogeochemical behavior of sulfate.

  12. Using financial derivatives to hedge against currency risk : British large and medium-sized firms

    OpenAIRE

    Nguyen, My

    2012-01-01

    Nowadays, as a growing number of firms strive to conduct their business at international market place, currency risk has increasingly raised concern among financial mangers due to its substantial impact on companies’ financial results. Financial derivative instruments (Forward, Futures, Options, Swaps) are utilized as efficient hedging mechanisms against such an exchange rate exposure. The main objective of this study is to examine whether derivatives play a primary role in mitigating an adve...

  13. Dynamic Relationship between Crude Oil Price, Exchange Rate and ...

    African Journals Online (AJOL)

    DrNneka

    that uses the Granger causality test and generalized variance decomposition analysis ... observed between the Nigerian stock market and crude oil prices and the ... changing oil prices on stock prices and exchange rates an important guide to.

  14. A re-examination of the exchange rate overshooting hypothesis

    African Journals Online (AJOL)

    kirstam

    long-run equilibrium relationship between the exchange rate and the ...... The model shows that there is a negative relationship between the lagged ..... international portfolio flows: Evidence from Africa's capital markets', International.

  15. Noninvasive detection of gas exchange rate by near infrared spectroscopy

    Science.gov (United States)

    Xu, Guodong; Mao, Zongzhen; Wang, Bangde

    2008-12-01

    In order to study the relationship among the oxygen concentration in skeletal muscle tissues and the heart rate (HR), oxygen uptake (VO2), respiratory exchange ratio (RER) during incremental running exercises on a treadmill, a near-infrared spectroscopy muscle oxygen monitor system is employed to measure the relative change in muscle oxygenation, with the heart rate, oxygen uptake, production of carbon dioxide (VCO2) and respiratory exchange ratio are recorded synchronously. The results indicate parameters mentioned above present regular changes during the incremental exercise. High correlations are discovered between relative change of oxy-hemoglobin concentration and heart rate, oxygen uptake, respiratory exchange ratio at the significance level (P=0.01). This research might introduce a new measurement technology and/or a novel biological monitoring parameter to the evaluation of physical function status, control the training intensity, estimation of the effectiveness of exercise. Keywords: near-infrared spectroscopy; muscle oxygen concentration; heart rate; oxygen uptake; respiratory exchange ratio.

  16. MONETARY SHOCKS AND REAL EXCHANGE RATE FLUCTUATIONS IN CEE COUNTRIES

    Directory of Open Access Journals (Sweden)

    Nataša Erjavec

    2012-12-01

    Full Text Available The aim of this paper is to investigate the role of the exchange rate regime in absorbing macroeconomic shocks for a group of Central and East European countries (CEE. Whether the flexible exchange rate regime is beneficial for an economy depends on the capacity of the exchange rate to act as a shock absorber. An appropriate framework for assessing the role of the exchange rate is a structural vector autoregressive (SVAR model. Impact of two types of macroeconomic shocks is estimated: nominal and real. The shocks are identified on the basis of Blanchard-Quah long run identification scheme which means that the restrictions are imposed on the long run responses while the short run dynamics is kept unrestricted. The importance of nominal and real shocks is assessed using the variance decomposition and the impulse response functions.

  17. Exchange Rate Volatility, Inflation Uncertainty and Foreign Direct ...

    African Journals Online (AJOL)

    1970 and 2005. Exchange rate volatility and inflation uncertainty were estimated .... and suitable investment climate ranked very high on the policy agenda of the new ..... The various poverty reduction strategies should be properly managed to.

  18. Exchange rate movements and export market dynamics: evidence from China

    National Research Council Canada - National Science Library

    Xiaobing Huang

    2017-01-01

    This paper highlights the relationship between foreign exchange rate fluctuations and firms' export market dynamics using a Chinese firm-level production data and a firm-level trade data over the period of 2000-2006...

  19. An Essay on the Foreign Exchange Rate Expectations in Brazil

    Directory of Open Access Journals (Sweden)

    Ana Luiza Louzada Pereira

    2005-06-01

    Full Text Available This article analyses the behavior of the Brazilian exchange rate (Real/US dollar and the corresponding values forecasted by the market agents, from 2001 (November to 2004 (may. We use the data-base of the Brazilian Central Bank, called Sistema de Expectativas de Mercado, which has been created in 1999. We evaluate the rational expectations hypothesis (REH for the exchange rate market, comparing the mean value predicted by some Brazilian financial institutions with the daily exchange rate that has really occurred (PTAX. The particular arrangement of the data-base allows us to make the analysis in two different ways: with fixed-event forecasts. The main result suggests that the Brazilian exchange rate market support the weak form of the REH, for short horizons of forecasting.

  20. Exchange rate and monetary fundamentals: Long run relationship revisited

    Directory of Open Access Journals (Sweden)

    Bhanja Niyati

    2015-01-01

    Full Text Available This study re-examines the long run validity of the monetary approach to exchange rate determination for India. In particular, the long run association of bilateral nominal exchange rate of Indian rupee vis-à-vis USD, Pound-sterling, Yen and Euro against the corresponding monetary fundamentals that the model underlines has been tested using Johansen-Juselius maximum likelihood framework and Gregory-Hansen co-integration approach. Irrespective of the exchange rates the study finds a co-integrating relationship among the variables using Johansen-Juselius maximum likelihood approach. The Gregory-Hansen co-integration method allows for one break determined endogenously in three specifications also confirms the long run relationship. Our results, hence, suggest that the monetary model is a valid theory of long run equilibrium condition for the rupee-dollar, rupee-pound, rupee-yen and rupee-euro exchange rates.

  1. Intervention analysis of Nigeria's foreign exchange rate | Mosugu ...

    African Journals Online (AJOL)

    ... multiple regression model under the assumptions of ordinary least squares method (OLS) and intervention model ... and Coefficient of Determination (R2) were used to determine the model that best describe Nigeria's foreign exchange rate.

  2. Secret in Exchange Rate & Foreign Trade?

    Institute of Scientific and Technical Information of China (English)

    Tang Jintao

    2009-01-01

    @@ China's import and export growth in November has dropped drastically.Year-on-year export growth rate dropped from 19.2 percent to -2.2percent and the year-on-year import growth rate dropped from 15.6 percent to -17.9 percent. The trade surplus amounted to 40.09billion U.S. dollars. This is the first time in China's exports monthly negative growth dating back to June 2001 (see Chart 1 ).

  3. Exchange rate dynamics in crawling-band systems

    OpenAIRE

    José L Torres; M. Isabel Campos

    2007-01-01

    In this note we show that an exchange rate crawling-band system can borrow a portion of those aspects of a target zone that lead to its stabilizing effects on the exchange rate, depending on the relationship between the crawl rate and the drift of the fundamentals process. If the crawl rate is sufficiently high (with respect to the drift), the crawling-band is similar to a free float regime. As the crawl rate decreases, the crawling-band system collapses to a standard target zone.

  4. Exchange Rate Uncertainty in Money-Based Stabilization Programs

    OpenAIRE

    R. Armando Morales

    1998-01-01

    Complementing the explanation provided by Calvo and Vegh (1994) for money-based stabilization programs, exchange rate uncertainty introduced to a particular version of the portfolio approach with imperfect competition in the banking system leads to a bias toward appreciation that is directly related to the divergence of expectations and that dampens the interaction between portfolio movements and the real exchange rate. Based on Frankel-Froot, uncertainty exists when the fundamental equilibri...

  5. How is Macro News Transmitted to Exchange Rates? (December 2003)

    OpenAIRE

    Martin D.D. Evans

    2005-01-01

    This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.

  6. How is Macro News Transmitted to Exchange Rates?

    OpenAIRE

    Martin D.D. Evans; Lyons, Richard K.

    2003-01-01

    This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.

  7. International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

    OpenAIRE

    Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio; Spagnolo, Nicola

    2015-01-01

    This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over the period 1993:01-2012:11, and estimating a time-varying transition probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility state. ...

  8. Kinetic isotope effects for fast deuterium and proton exchange rates.

    Science.gov (United States)

    Canet, Estel; Mammoli, Daniele; Kadeřávek, Pavel; Pelupessy, Philippe; Bodenhausen, Geoffrey

    2016-04-21

    By monitoring the effect of deuterium decoupling on the decay of transverse (15)N magnetization in D-(15)N spin pairs during multiple-refocusing echo sequences, we have determined fast D-D exchange rates kD and compared them with fast H-H exchange rates kH in tryptophan to determine the kinetic isotope effect as a function of pH and temperature.

  9. Decision Making Tool to Hedge Exchange Rate Risk

    OpenAIRE

    Fraire, Francisco; Leatham, David J.

    2006-01-01

    New econometric and statistical techniques have been used in recent years to provide with exchange rates forecasting models that can statistically outperform a random walk. In particular, a model that uses the term structure of forward premia into a regime-switching vector error correction model has proven to be successful at such a task. In this paper, we propose that the exchange rate fluctuations are not solely influenced by the economic fundamentals of those countries involved in the exch...

  10. Real Exchange Rate and Commodity Prices in a Neoclassical Model

    OpenAIRE

    Reinhart, Carmen

    1988-01-01

    This paper represents a neoclassical model that explains the observed empirical relationship between government spending and world commodity supplies and the real exchange rate and real commodity prices. It is shown that fiscal expansion and increasing world commodity supplies simultaneously lead to an appreciation of the real exchange rate and a decline in relative commodity prices. The structural model is estimated and its forecasting performance is compared to a variety of models. We fin...

  11. 人民币均衡汇率估计:粘性价格目标区模型方法%Estimating Equilibrium Exchange Rate of Renminbi-A Method of Target Scope of Sticky Price Model

    Institute of Scientific and Technical Information of China (English)

    窦祥胜; 杨炘

    2004-01-01

    The managedfloating exchange rate system is one of special manifestations of target zone system,and actually it is a quasi-target zone system. Hence RMB equilibrium exchange rate may be estimated by use of the method of exchange rate target zone model. At present, the sticky-price model is one of best models, and it is a extension of flex-price model. The model is based on assumptions of price inertia and output decided by demand. Under those assumptions and the condition of the commodity and the currency market equilibrium, a stochastic differential equation may be established, and in the light of theequation,we may get a exchange rate function. Our research indicates a good outcome may be made,applying the sticky-price model to estimate RMB equilibrium exchange rate.

  12. Capital Controls and the Real Exchange Rate

    NARCIS (Netherlands)

    van Wijnbergen, S.J.G.

    1990-01-01

    Capital import taxes lower (raise) world (home) interest rates. This shifts home expenditure from the present to the future and foreign expenditure from the future to today. With identical home and foreign expenditure patterns, the change in the composition of world expenditure has no effects on

  13. The Benefit of Currency Substitution during High Inflation and Stabilization The Benefit of Currency Substitution during High Inflation and Stabilization

    Directory of Open Access Journals (Sweden)

    Jacek Rostowski

    1992-03-01

    Full Text Available Allowing currency substitution in a very high inflation helps to maintain the level of output, as, the distortion of the information carried by prices is mitigated. The total (primary plus secondary money supply may increase if currency substitution is permitted. Currency substitution does not even necessarily reduce the real primary money stock. Moreover, the demand for the primary money fragments at very high rates of inflation, which means that the authorities may loose little when they give up the attempt to obtain inflation tax revenue. Currency substitution need be no more expensive, in term of the real resources it consumes, than is indexation. Finally the availability of a second stable currency may reduce the severity of post-stabilization recessions. The Benefit of Currency Substitution during High Inflation and Stabilization

  14. Analysis of proton exchange kinetics with time-dependent exchange rate.

    Science.gov (United States)

    Rutkowska-Wlodarczyk, Izabela; Kierdaszuk, Borys; Wlodarczyk, Jakub

    2010-04-01

    Mass spectrometry is used to probe the kinetics of hydrogen-deuterium exchange in lysozyme in pH 5, 6 and 7.4. An analysis based on a Verhulst growth model is proposed and effectively applied to the kinetics of the hydrogen exchange. The data are described by a power-like function which is based on a time-dependence of the exchange rate. Experimental data ranging over many time scales is considered and accurate fits of a power-like function are obtained. Results of fittings show correlation between faster hydrogen-deuterium exchange and increase of pH. Furthermore a model is presented that discriminates between easily exchangeable hydrogens (located in close proximity to the protein surface) and those protected from the exchange (located in the protein interior). A possible interpretation of the model and its biological significance are discussed.

  15. Cash Currencies Recognition Using k-Nearest Neighbor Classifier

    Directory of Open Access Journals (Sweden)

    Ghazi Ibrahim Raho

    2015-10-01

    Full Text Available The appearance of the currency is part of this development and it is affected directly, where there is exploited in incorrect form by copying the currency in a manner similar to the reality. Therefore, it became necessary to implement a proposal for being a suitable as solution not inconsistent with the different cultures, time and place, to reduce the risk of problem that represented in distinguish between real and fake currency. This clear through add the watermarks inside currency, which is difficult to be copied. At the same time, this watermarks may be visible to the naked eye so can easily inferred or it is invisible. However the high resolution imaging devices can copy these additions. In this research, we have proposed a system to distinguish the currencies by the program that working a submission inferred to the watermark by feature extraction determined the type of currency and its reality. In addition to, the algorithm (k-NN determined category of the currency. Benefit of it, is reducing as much as possible the spread of counterfeit currency and this system can be used by any user wants to make sure of the currency reality. The proposed model applied on 100 banknote, the success rate was 91% and the failure rate was 9%.

  16. 9Real exchange rate misalignment and economic performance in ...

    African Journals Online (AJOL)

    hand, distorts price signals and negatively affects the aggregate demand by raising the cost of ... on foreign currency and non-tradable goods were the dominant activities, thereby causing the .... (2012) evaluated the relationship between RER.

  17. Exchange Rate Adjustment And Output In South-East Asia

    National Research Council Canada - National Science Library

    Kamal P Upadhyaya; Robert Rainish; Neetu Kaushik; Rabindra N Bhandari

    2013-01-01

      This paper studies the effect of currency devaluation on aggregate output level in South- East Asian countries using panel data from Thailand, Malaysia, Indonesia and the Philippines for a period from 1980 to 2010...

  18. External effects of currency unions

    OpenAIRE

    2004-01-01

    Argument: The paper argues that the introduction of the Euro has considerably reduced de facto monetary policy autonomy in non-ECU members. We start from a simple Mundellian model, in which currency unions raise economic efficiency but reduce monetary policy autonomy. Our main argument holds that governments in countries that did not join the currency union lose monetary policy autonomy if the establishment of a currency union increases the size of the key currency area. The increase in the s...

  19. What shakes the FX tree? Understanding currency dominance, dependence and dynamics

    CERN Document Server

    Johnson, N F; Suleman, O; Williams, S; Howison, S; Johnson, Neil F.; Donald, Mark Mc; Suleman, Omer; Williams, Stacy; Howison, Sam

    2005-01-01

    There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is characterized by a web of fluctuating exchange rates, with subtle inter-dependencies which may change in time. In practice, traders talk of particular currencies being 'in play' during a particular period of time -- yet there is no established machinery for detecting such important information. Here we apply the construction of Minimum Spanning Trees (MSTs) to the FX market, and show that the MST can capture important features of the global FX dynamics. Moreover, we show that the MST can help identify momentarily dominant and dependent currencies.

  20. China’s Exchange Rate Policy: A Double Edged Sword

    Science.gov (United States)

    2013-12-01

    thought. He explains that artificial currency devaluation is a form of trade protectionism . Since a weaker currency makes exports cheaper, it acts as...Policy Institute and famed economist Paul Krugman argue that with less than full employment, the liberal argument against protectionism is invalid. He...purchases of debt and would also likely be forced to cut domestic spending. This threat could be exacerbated by other countries subsequently reducing

  1. Exchange Rate Regimes – A periodical overview and a critical analysis of exchange rate regimes in Kosovo

    OpenAIRE

    Flamur Bunjaku

    2015-01-01

    Exchange rate regimes and the monetary policy are the key instruments governments use to achieve their economic and financial objectives. Moreover, due to global financial crisis the latter instruments get more importance. Empirical evidences show that exchange rate regimes in Kosovo and its monetary policy throughout their development were mainly influenced by different political and historical developments. In regard of Euroisation of monetary system in Kosovo it was found that this action ...

  2. Econometric Analysis of Croatia’s Proclaimed Foreign Exchange Rate

    Directory of Open Access Journals (Sweden)

    Mance Davor

    2015-04-01

    Full Text Available The officially proclaimed foreign exchange policy of the Croatian National Bank (CNB is a managed float with a discretionary right of intervention on the Croatian kuna/euro foreign exchange (FX market in order to maintain price stability. This paper examines the validity of three monetary policy hypotheses: the stability of the nominal exchange rate, the stability of exchange rate changes, and the exchange rate to inflation pass-through effect. The CNB claims a direct FX to inflation rate pass-through channel for which we find no evidence, but we find a strong link between FX rate changes and changes in M4, as well as between M4 changes and inflation. Changes in foreign investment Granger cause changes in monetary aggregates that further Granger cause inflation. Changes in FX rate Granger cause a reaction in M4 that indirectly Granger causes a further rise in inflation. Vector Autoregression Impulse Response Functions of changes in FX rate, M1, M4, and CPI confirm the Granger causalities in the established order.

  3. An investigation on the effect of central bank money injection on creating currency crisis

    Directory of Open Access Journals (Sweden)

    Nazi Mohamadzadeh Asl

    2014-04-01

    Full Text Available This paper investigates the effects of different factors influencing on supplement of currency in Iran and the likelihood of currency crises. The study implements two methods of Logit and Probit to determine the likelihood of currency crises based on the historical data over the period 1989-2012. In this study, currency crisis is defined in terms of three variables of currency change on market, interest rate and central bank foreign deposits. The results of the study indicate that the ratio of government (non-government liabilities to central bank/Growth domestic product (GDP has positive (negative relationship with currency crises.

  4. Foraging currencies, metabolism and behavioural routines.

    Science.gov (United States)

    Houston, Alasdair I; McNamara, John M

    2014-01-01

    A fundamental issue in foraging theory is whether it is possible to find a simple currency that characterizes foraging behaviour. If such a currency exists, then it is tempting to argue that the selective forces that have shaped the evolution of foraging behaviour have been understood. We review previous work on currencies for the foraging behaviour of an animal that maximizes total energy gained. In many circumstances, it is optimal to maximize a suitably modified form of efficiency. We show how energy gain, predation and damage can be combined in a single currency based on reproductive value. We draw attention to the idea that hard work may have an adverse effect on an animal's condition. We develop a model of optimal foraging over a day when a forager's state consists of its energy reserves and its condition. Optimal foraging behaviour in our model depends on energy reserves, condition and time of day. The pattern of optimal behaviour depends strongly on assumptions about the probability that the forager is killed by a predator. If condition is important, no simple currency characterizes foraging behaviour, but behaviour can be understood in terms of the maximization of reproductive value. It may be optimal to adopt a foraging option that results in a rate of energy expenditure that is less than the rate associated with maximizing efficiency.

  5. GLOBAI CURRENCY WAR?

    Institute of Scientific and Technical Information of China (English)

    Li Zhen

    2010-01-01

    @@ Economic theory has it that,in a fragile economy,every country wants to expand its exports,and low currency values can help make products cheaper to international buyers.A country's trade balance is simply an accounting identity that by definition matches the flow of goods and capital.

  6. Simulating currency substitution bias

    NARCIS (Netherlands)

    M. Boon (Martin); C.J.M. Kool (Clemens); C.G. de Vries (Casper)

    1989-01-01

    textabstractThe sign and size of estimates of the elasticity of currency substitution critically depend on the definition of the oppurtunity costs of holding money. We investigate possible biases by means of Monte Carlo experiments, as sufficient real data are not available.

  7. Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models.

    Science.gov (United States)

    Nortey, Ezekiel Nn; Ngoh, Delali D; Doku-Amponsah, Kwabena; Ofori-Boateng, Kenneth

    2015-01-01

    This paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to December 2013. The study revealed that the cumulative depreciation of the cedi to the US dollar from 1990 to 2013 is 7,010.2% and the yearly weighted depreciation of the cedi to the US dollar for the period is 20.4%. There was evidence that, the fact that inflation rate was stable, does not mean that exchange rates and interest rates are expected to be stable. Rather, when the cedi performs well on the forex, inflation rates and interest rates react positively and become stable in the long run. The BEKK model is robust to modelling and forecasting volatility of inflation rates, exchange rates and interest rates. The DCC model is robust to model the conditional and unconditional correlation among inflation rates, exchange rates and interest rates. The BEKK model, which forecasted high exchange rate volatility for the year 2014, is very robust for modelling the exchange rates in Ghana. The mean equation of the DCC model is also robust to forecast inflation rates in Ghana.

  8. The Impact of Real Exchange Rate on Employment in Albania

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2015-10-01

    Full Text Available Unemployment is a big economical and social issue for each country, in particular for Albania, which is a country that comes from a centralized system where the state ensured full employment. In the struggle of applying the transition to market economy, each government had to face the two-digit levels of unemployment. Because of this, the application of the right policies in order to decrease the level of unemployment has been in the centre of the program of each government in Albania. The objective of this paper is to show if the undervaluation or overvaluation of the real exchange rate can affect in a significant way the level of employment in Albania and that to answer the question, if the real exchange rate can be used as a political instrument for the reduction of the level of unemployment. There are relatively few works that study the impact of real exchange rate on the Albanian economy and in my knowledge there is not a previous work on employment and real exchange rate relationship in Albania, so this can be considered as the first study that attempt to assess this relationship. To evaluate the link between the real exchange rate and the level of employment the Johansen procedure and Vector Error Correction Term method is used. The result of the study demonstrates not statistically significant impact of real exchange rate on level of employment, suggesting that the increase of competition of the country through the real exchange rate doesn’t improve the condition of the employment in Albania, so the Albanian government should implement other strategies to increase the level of employment in the country.

  9. Exchange Rate Instability and Sectoral Exports: Evidence from Pakistan

    Directory of Open Access Journals (Sweden)

    Muhammad Haseeb

    2014-12-01

    Full Text Available Exports of a country is one of the main factors indicating economic health of a country and fluctuating exchange rates and relative price can significantly affect the level of exports and it is an alarming situation for a country when its exports are affected by exchange rate volatility. Impact of exchange rate volatility and relative price on trade has been a heated debate in the field of finance and most of work has been done on aggregate and bilateral trade. Few researches are found on product basis especially in the scenario of Pakistan. This research will provide an overview of the exports of 13 different products from Pakistan. Secondary data is used to analyze the impact of exchange rate instability on the exports of different products from Pakistan to all over the world. Significance of the study depends on the right choice of estimation method. We use auto regressive distributive lags (ARDL method to check the relationship of two main variables. Glass, meat and paper & board products show that relative price affects negatively to exports so Government should make policies to strengthen the exports of these three products. Government can provide subsidies on these products in order to boost up the exports and make these products competitive in international market. Under the shadow of our results we conclude that exchange rate volatility has significant negative relationship with the exports of food processing machinery, grapes, meat and petroleum products so government needs to be focused on it when exchange rate are highly instable. Iron & steel bars show short run negative impact of exchange rate however this impact is adjusted in the long run.

  10. Real Exchange Rate in China: A Long-run Perspective

    Institute of Scientific and Technical Information of China (English)

    Haihong Gao

    2006-01-01

    This paper investigates the RMB exchange rate from a long-run viewpoint. Whether China's rapid economic growth brought about real exchange rate appreciation between 1975 and 2002 is empirically examined, based on a supply-side model, the Balassa-Semuelson Hypothesis (BSH). The same test is conducted on Japan, Hong Kong, Korea, Malaysia,Singapore, Thailand, the Philippines, Indonesia and India. Our result indicates that the BSH only exists where the industrial structure has been upgraded and the economy has been successfully transformed from an agricultural economy to a manufacturing economy.Interestingly, China, among those where the BSH does not present, appears to be upgrading its industrial and trade structure. We then try to answer the question of why past rapid growth has no significant relationship with the RMB real exchange rate and what factors are underlying the trend of the RMB real exchange rate. We expect an appreciating trend of RMB real exchange rate in the foreseeable future, presuming that China's industrial upgrading process continues and the factors pertaining to the BSH's prediction, such as rise of wage rates in both tradables and nontradables, become more significant.

  11. MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS

    Directory of Open Access Journals (Sweden)

    Cociuba Mihail Ioan

    2011-07-01

    Full Text Available In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models for there volatility. Financial time series often exhibit abnormal characteristics, such as: serial correlation, non-stationarity, heteroskedasticity, asymmetric and are leptokurtic. Due to these characteristics autoregressive models such as autoregressive (AR, moving average (MA and autoregressive integrated moving-average (ARIMA are unable to capture the evolution of financial series, to represent the special characteristic of financial a hole new range of models where developed : generalized autoregressive conditional heteroskedasticity (GARCH, which are taking into account the heteroskedasticity of the errors term. The GARCH model allows for lags in the autoregressive term and in the variance term incorporates lags of the previous variance and also for the errors. The GARCH family has expanded in the last years in order to incorporate for asymmetry (Threshold GARCH, TGARCH and risk (GARCH -in Mean. We analyze the evolution of exchange rate for: Euro/RON, dollar/RON, yen/RON, British pound/RON, Swiss franc/RON for a period of five years from 2005 till 2011, we observe that in the analyzed period there are 2 sub-periods: 2005-2007 in which the RON appreciated constantly, and 2007-2011 in which the trend is depreciation for RON in respect to all the five currencies and the volatility was sensible higher than in the previous period. We obtain the returns on exchange rate by using the following transformation r=log(curs_t-log(curs_t-1; the five analyzed series display an leptokurtic and asymmetric behavioral. Using the GARCH, TGARCH and GARCH-in Mean models, we explicit the evolution of volatility throw this period, choosing the best model using the following : minimizing the value of the sum of

  12. Football and exchange rates: empirical support for behavioral economics.

    Science.gov (United States)

    Eker, Gulin; Berument, Hakan; Dogan, Burak

    2007-10-01

    Recently, economic theory has been expanded to incorporate emotions, which have been assumed to play an important role in financial decisions. The present study illustrates this by showing a connection between the sports performance of popular national football teams (Besiktas, Fenerbahce, and Galatasaray) and performance of the Turkish economy. Specifically, a significant positive association was found between the success of three major professional Turkish football teams and the exchange rate of the Turkish lira against the U.S. dollar. The effect of the football success of several Turkish football teams on the exchange rate of the Turkish lira was examined using the simultaneous multiple regression model with predictor measures of wins, losses, and ties for different combinations of teams to predict the depreciation rate of the Turkish lira between the years 1987 and 2003. Wins by Turkish football teams against foreign (non-Turkish) rivals increased with exchange rate depreciation of the Turkish lira against the U.S. dollar.

  13. THE CASE FOR AN INTERMEDIATE EXCHANGE RATE REGIME

    OpenAIRE

    JOHN WILLIAMSON

    2007-01-01

    The argument that any exchange rate regimes other than firmly fixed and freely floating rates were infeasible — the so-called bipolarity thesis — acquired great popularity in the wake of the Asian crisis of a decade ago, but it has almost vanished today. One reason is surely the unkind empirical evidence, which shows that intermediate regimes — measured as those where both reserve and exchange rate changes lie in an intermediate range — are not in fact tending to disappear (Levy Yeyati and St...

  14. Exchange-Driven Growth with Birth Rate Less Than Death

    Institute of Scientific and Technical Information of China (English)

    LIN Zhen-Quan; KE Jian-Hong; YE Gao-Xiang

    2005-01-01

    We further study the kinetic behavior of the exchange-driven growth with birth and death for the case of birth rate kernel being less than that of death based on the mean-field theory. The symmetric exchange rate kernel is K(k,j) = K'(k,j) = Ikjv, and the birth and death rates are proportional to the aggregate's size. The long time asymptotic behavior of the aggregate size distribution ak(t) is found to obey a much unusual scaling law with an exponentially growing scaling function φ(x) = exp(x).

  15. Rate theory on water exchange in aqueous uranyl ion

    Science.gov (United States)

    Dang, Liem X.; Vo, Quynh N.; Nilsson, Mikael; Nguyen, Hung D.

    2017-03-01

    We report a classical rate theory approach to predict the exchange mechanism that occurs between water and aqueous uranyl ion. Using our water and ion-water polarizable force field and molecular dynamics techniques, we computed the potentials of mean force for the uranyl ion-water pair as a function of different pressures at ambient temperature. These potentials of mean force were used to calculate rate constants using transition rate theory; the transmission coefficients also were examined using the reactive flux method and Grote-Hynes approach. The computed activation volumes are positive; thus, the mechanism of this particular water-exchange is a dissociative process.

  16. A Role Play on Export Decisions and the Exchange Rate.

    Science.gov (United States)

    Cotterell, Ann

    1987-01-01

    Explains that the goal of this exercise is to encourage an understanding of the effects of exchange rate changes and the use of forward rates. Provides a role play that involves students working in groups to decide whether to export a consignment of golf trollies to Italy and shortbread to Canada. (BSR)

  17. The Determinants of Real Exchange Rate Volatility in Nigeria

    African Journals Online (AJOL)

    Rahel

    of the economy, government expenditures, interest rate movements as well as the lagged ... econometrics, together with the increasing availability of high quality data, ... market, Former U.S. Federal Reserve Board Chairman Alan Greespan once ... Juthathip (2009) results for developing Asia showed that real exchange rate.

  18. Exchange Rate Movement and Foreign Direct Investment in Asean Economies

    Directory of Open Access Journals (Sweden)

    Jaratin Lily

    2014-01-01

    Full Text Available The inflows of foreign direct investment (FDI are important for a country's economic development, but the world market for FDI has become more competitive. This paper empirically analyses the exchange rate movements and foreign direct investment (FDI relationship using annual data on ASEAN economies, that is, Malaysia, the Philippines, Thailand, and Singapore. By employing ARDL bounds test approach, the empirical results show the existence of significant long-run cointegration between exchange rate and FDI for the case of Singapore, Malaysia, and the Philippines with all countries recording negative coefficient implying that the appreciation of Singapore dollar, Malaysian ringgit, and the Philippine peso has a positive impact on FDI inflows. Using the ECM based ARDL approach for causality test, both Singapore and the Philippines show long-run bidirectional causality between exchange rate and FDI whereas long-run unidirectional causality running from the exchange rate to FDI in Malaysia. Furthermore, this study also found that short-run unidirectional causality running from the exchange rate to FDI exists in Singapore.

  19. The Euro as a Reserve Currency

    OpenAIRE

    Adamczyk, Marzena

    2010-01-01

    There has been an unusual accumulation of foreign exchange reserves in recent years. Central banks have to diversify their reserves away from the US dollar, especially towards the euro. The same situation is in a private sector, where investors reduce the share of dollar denominated assets. This process has progressed gradually, but it is possible that the euro’s role as a reserve currency will continue to increase. The purpose of ...

  20. THE CARD - CURRENCY WITH AND WITHOUT CASH

    Directory of Open Access Journals (Sweden)

    Nicoara Mihaela

    2012-12-01

    Full Text Available Use by individuals and businesses resulting in reduced cash cards in circulation, the corresponding increase in transfer payments and payments accounts also limit exchange risks and make effective use of currency. As a result, we have the effect of reducing cash in circulation. These advantages are also available for businesses and for banks and leads to favorable effects on import-export business. Following this, banks can diversify our products, so to meet customers' new products.

  1. Financial liberalization, currency substitution and savings in Nigeria: Evidence from cointegration and error correction modeling

    Directory of Open Access Journals (Sweden)

    M Aziakpono

    2015-04-01

    Full Text Available The study set out to test the McKinnon-Shaw proposition that financial liberalization will significantly increase savings mobilization. The results partly supported the financial liberalization proposition. Variables that capture the effects of currency substitution such as the interest rate differential, a proxy for underground economy, the inflation differential (as a measure of macroeconomic instability and a dummy for political instability were significant in their adverse impacts on the saving mobilization process in Nigeria. We, therefore, advocate for an active monetary policy that will help manage the delicate balance between domestic and foreign interest rates. This should be combined with macroeconomic policies that create a stable economic environment along with appropriate financial and exchange rate policies, in order to discourage economic agents from preferring foreign denominated assets to those held in the domestic currency.

  2. IS THE BRAZILIAN REAL A COMMODITY CURRENCY? LARGE SAMPLE EMPIRICAL EVIDENCE

    Directory of Open Access Journals (Sweden)

    Filipe Monteiro de Castro Albert

    2014-01-01

    Full Text Available Brazil is one of the world’s largest base materials exporters, and this paper examines through large time series samples whether the Brazilian Real can be characterized as a commodity currency. The Real/US dollar real exchange rate and a real commodity prices index are found to be non-stationary and not cointegrated, while a risk premium appeared to have a large and statistically significant long term relationship with exchange rate movements. Combined first difference models showed that real exchange rate elasticity to risk premium is twice as large as to commodity prices, although both variables have considerable influence. Some specifications outperformed a random walk model with respect to root mean square forecast errors for many horizons, but the latter still better determined the exchange rate in longer terms.

  3. The Art of Crypto Currencies

    Directory of Open Access Journals (Sweden)

    Sufian Hameed

    2016-12-01

    Full Text Available Crypto Currencies have recently gained enormous popularity amongst the general public. With each passing day, more and more companies are radically accepting crypto cur-rencies in their payment systems, paving way for an economic revolution. Currently more than 700 crypto-currencies are avail-able at Coindesk alone for trade purposes. As of November 2016, the Crypto currencies hold a total market share of over 14 Billion USD1 [5]. With no centralized institution to monitor the movement of funds, Crypto currencies and their users are susceptible to multiple threats. In this paper we present an effort to explain the functionality of some of the most popular crypto currencies available in the online market. We present an analysis of the mining methodologies employed by these currencies to induce new currency into the market and how they compete with each other to provide fast, decentralized transactions to the users. We also share, some of the most dangerous attacks that can be placed on these crypto currencies and how the overall model of the crypto currencies mitigates these attacks. Towards the end, we will present taxonomy of the five highly popular crypto currencies and compare their features.

  4. Exchange Rate Prediction using Neural – Genetic Model

    Directory of Open Access Journals (Sweden)

    MECHGOUG Raihane

    2012-10-01

    Full Text Available Neural network have successfully used for exchange rate forecasting. However, due to a large number of parameters to be estimated empirically, it is not a simple task to select the appropriate neural network architecture for exchange rate forecasting problem.Researchers often overlook the effect of neural network parameters on the performance of neural network forecasting. The performance of neural network is critically dependant on the learning algorithms, thenetwork architecture and the choice of the control parameters. Even when a suitable setting of parameters (weight can be found, the ability of the resulting network to generalize the data not seen during learning may be far from optimal. For these reasons it seemslogical and attractive to apply genetic algorithms. Genetic algorithms may provide a useful tool for automating the design of neural network. The empirical results on foreign exchange rate prediction indicate that the proposed hybrid model exhibits effectively improved accuracy, when is compared with some other time series forecasting models.

  5. EXCHANGE RATE AND ECONOMIC GROWTH. THE CASE OF ROMANIA

    Directory of Open Access Journals (Sweden)

    Nicolae Ghiba

    2010-12-01

    Full Text Available Considering the difficulties created by the economic crisis, many exporters have criticized the National Bank of Romania (NBR’s policy regarding the exchange rate evolution. They argue that depreciation is a necessary condition for recovery and not financial stability. On the contrary, Romania cannot afford a shock in the exchange rate level. The risk associated with such a measure is too high for an emerging country and it annihilates any export competitive advantages. Therefore, depreciation may delay the imperative of Romanian economic recovery. A solid economic recovery should have as starting point a financial system sound and stable. Excessive exchange rate depreciation jeopardizes the financial soundness of banks and the borrower’s ability to repay their loans. Therefore, it creates inflationary flare-ups, particularly dangerous for the economy of any state.

  6. The response of industry stock returns to market, exchange rate and interest rate risks

    OpenAIRE

    Hyde, Stuart J

    2007-01-01

    This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate risk, in the four countries, and interest rate risk, in France and Germany, are identified. Further, responses to sources of risk are decomposed into components attributable to news about future dividend...

  7. Government Spending and Real Exchange Rate Case of Albania

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2013-04-01

    Full Text Available Various studies have found that governmentspending can lead to overestimation orunderestimation of the real exchange rate, depending on the composition of theseexpenditures. The purpose of this paper is toassess the impact of government spendingon real exchange rate in Albania. In this paper is used a log liner model with quarterlydata. Other explanatory variables in this model are: foreign direct investment, remittances,real GDP per capita, openness. Variables are tested for unit root and cointegration. Theresults indicate that government spendingis associated with overvaluation of realexchange rate in Albania.JEL Classification: E62; F31Various studies have found that governmentspending can lead to overestimation orunderestimation of the real exchange rate, depending on the composition of theseexpenditures. The purpose of this paper is toassess the impact of government spendingon real exchange rate in Albania. In this paper is used a log liner model with quarterlydata. Other explanatory variables in this model are: foreign direct investment, remittances,real GDP per capita, openness. Variables are tested for unit root and cointegration. Theresults indicate that government spendingis associated with overvaluation of realexchange rate in Albania.JEL Classification: E62; F31

  8. Government Spending and Real Exchange Rate Case of Albania

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2013-04-01

    Full Text Available Various studies have found that governmentspending can lead to overestimation orunderestimation of the real exchange rate, depending on the composition of theseexpenditures. The purpose of this paper is toassess the impact of government spendingon real exchange rate in Albania. In this paper is used a log liner model with quarterlydata. Other explanatory variables in this model are: foreign direct investment, remittances,real GDP per capita, openness. Variables are tested for unit root and cointegration. Theresults indicate that government spendingis associated with overvaluation of realexchange rate in Albania.JEL Classification: E62; F31Various studies have found that governmentspending can lead to overestimation orunderestimation of the real exchange rate, depending on the composition of theseexpenditures. The purpose of this paper is toassess the impact of government spendingon real exchange rate in Albania. In this paper is used a log liner model with quarterlydata. Other explanatory variables in this model are: foreign direct investment, remittances,real GDP per capita, openness. Variables are tested for unit root and cointegration. Theresults indicate that government spendingis associated with overvaluation of realexchange rate in Albania.

  9. E-Commerce and Exchange Rate Exposure Management

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    The aim of this paper is to address the impact of E-commerce on the balance between real hedging and financial hedging in the context of exchange rate exposure management in non-financial companies. A cross-case study of industrial companies highlights the inadequacy in taking a partial and static...... financial approach when managing exchange rate exposures. The paper argues that the emergence of E-commerce - by reducing the cost of obtaining, analyzing and allocating information - affects the dynamics of the markets and the dynamics of the company in such a way that a general tilt towards real hedging...

  10. Exchange Rate Exposure Management: "Speculation" in Non-Financial Companies

    DEFF Research Database (Denmark)

    Aabo, Tom

    that the larger the company (ability) and the larger its relative sale on foreign markets (relevance), the more likely the company will be to benchmark its exchange rate exposures. However, at the same time the very same factors (size and foreign sale) lead to more extensive speculation. Financial solvency (value......"Speculation" in non-financial companies in relation to exchange rate exposure management constitutes one of the contributing factors behind corporate (or more widespread) crises. Deviations from benchmark positions constitute speculation. An empirical study of Danish non-financial companies finds...

  11. E-Commerce and Exchange Rate Exposure Management

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    The aim of this paper is to address the impact of E-commerce on the balance between real hedging and financial hedging in the context of exchange rate exposure management in non-financial companies. A cross-case study of industrial companies highlights the inadequacy in taking a partial and static...... financial approach when managing exchange rate exposures. The paper argues that the emergence of E-commerce - by reducing the cost of obtaining, analyzing and allocating information - affects the dynamics of the markets and the dynamics of the company in such a way that a general tilt towards real hedging...

  12. Defusing the Energy Trap: The Potential of Energy-Denominated Currencies to facilitate a Sustainable Energy Transition

    Directory of Open Access Journals (Sweden)

    Sgouris eSgouridis

    2014-02-01

    Full Text Available The universal adoption of fiat currencies and of the fractional reserve banking system coincided with access to and ability to utilize energy-dense fossil fuels leading to unprecedented rates of economic expansion. The depletion of economically recoverable fossil fuels though sets the stage for systemic crises as it is not adequately priced in the current market system. An energy-based system of exchange can be adopted in parallel to or in place of fiat currencies in order to facilitate a sustainable energy transition (SET and mitigate the impacts of such crises. Energy-backed and energy-referenced currencies are discussed as two possible variants for their ability to realign the economic system to the thermodynamic limits of the physical world. The primary advantage of an energy-referenced currency over the current mechanisms for SET (like feed-in tariffs or carbon taxes is realized with the decoupling of the monetary and credit functions, especially when debt is tied to future energy availability. While energy-backed (credit systems can be easier to adopt on a regional scale, the full transition to an energy-reference currency system requires significant reform of the financial and monetary system although it would not radically disrupt the current economic valuations given the high degree of correlation between value and embodied energy.

  13. Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies

    CERN Document Server

    Bornholdt, Stefan

    2014-01-01

    Bitcoins have emerged as a possible competitor to usual currencies, but other crypto-currencies have likewise appeared as competitors to the Bitcoin currency. The expanding market of crypto-currencies now involves capital equivalent to $10^{10}$ US Dollars, providing academia with an unusual opportunity to study the emergence of value. Here we show that the Bitcoin currency in itself is not special, but may rather be understood as the contemporary dominating crypto-currency that may well be replaced by other currencies. We suggest that perception of value in a social system is generated by a voter-like dynamics, where fashions form and disperse even in the case where information is only exchanged on a pairwise basis between agents.

  14. Virtual Currencies like Bitcoins as a Paradigm Shift in the Field of Transactions

    OpenAIRE

    Chris Richter; Sascha Kraus; RICARDA B. BOUNCKEN

    2015-01-01

    Virtual currencies have been well-cited and well-discussed in the near past. Due to the loss of trust in the banking sector and the fear of loss of capital, low interest rates and uncertainty of existing currencies, the ground for a virtual currency was given. Virtual currencies and the money flows are controlled only online by the anonymous group of volunteers (also called peer); every single transaction is documented. Approximately 10,000 businesses worldwide accept payments with virtual cu...

  15. 12 CFR 614.4900 - Foreign exchange.

    Science.gov (United States)

    2010-01-01

    ... speculative futures transactions by eligible borrowers in foreign currencies. The bank may engage, on behalf... overnight positions, by currency. (2) Maturity distribution, by currency, of foreign currency assets... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Foreign exchange. 614.4900 Section...

  16. Foreign exchange rate entropy evolution during financial crises

    Science.gov (United States)

    Stosic, Darko; Stosic, Dusan; Ludermir, Teresa; de Oliveira, Wilson; Stosic, Tatijana

    2016-05-01

    This paper examines the effects of financial crises on foreign exchange (FX) markets, where entropy evolution is measured for different exchange rates, using the time-dependent block entropy method. Empirical results suggest that financial crises are associated with significant increase of exchange rate entropy, reflecting instability in FX market dynamics. In accordance with phenomenological expectations, it is found that FX markets with large liquidity and large trading volume are more inert - they recover quicker from a crisis than markets with small liquidity and small trading volume. Moreover, our numerical analysis shows that periods of economic uncertainty are preceded by periods of low entropy values, which may serve as a tool for anticipating the onset of financial crises.

  17. Government spending shocks, sovereign risk and the exchange rate regime

    NARCIS (Netherlands)

    Bonam, D.; Lukkezen, J.H.J.

    2014-01-01

    Keynesian theory predicts output responses upon a fiscal expansion in a small open economy to be larger under fixed than floating exchange rates. We analyse the effects of fiscal expansions using a New Keynesian model and find that the reverse holds in the presence of sovereign default risk. By rais

  18. Government spending shocks, sovereign risk and the exchange rate regime

    NARCIS (Netherlands)

    Bonam, D.; Lukkezen, J.H.J.|info:eu-repo/dai/nl/358211875

    2014-01-01

    Keynesian theory predicts output responses upon a fiscal expansion in a small open economy to be larger under fixed than floating exchange rates. We analyse the effects of fiscal expansions using a New Keynesian model and find that the reverse holds in the presence of sovereign default risk. By

  19. Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals

    NARCIS (Netherlands)

    Chambers, M.J.; McCrorie, J.R.

    2004-01-01

    This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals.We show that the model estimated by Gardeazabal, Reg´ulez and V´azquez (International Economic Review, 1997) is not identified and demonstrate how to spec

  20. The credibility of the European exchange rate mechanism

    NARCIS (Netherlands)

    Knot, K.H.W.; Sturm, J.E.; de Haan, J.

    Using a panel data approach and three different credibility measures, we argue that unemployment, inflation, and budget deficits in participating countries have affected the credibility of the Exchange Rate Mechanism of the EMS. In contrast to most previous research, which focuses upon the

  1. The limiting distribution of extremal exchange rate yields

    NARCIS (Netherlands)

    M.C.A.B. Hols (Martien); C.G. de Vries (Casper)

    1991-01-01

    textabstractSeveral nonnested fat-tailed distributions have been advocated for modelling exchange rate returns. Instead of directly estimating these nonnested distributions we investigate the extremal distribution of the returns. The advantage is that the parameter which characterizes the amount of

  2. The credibility of the European exchange rate mechanism

    NARCIS (Netherlands)

    Knot, K.H.W.; Sturm, J.E.; de Haan, J.

    1998-01-01

    Using a panel data approach and three different credibility measures, we argue that unemployment, inflation, and budget deficits in participating countries have affected the credibility of the Exchange Rate Mechanism of the EMS. In contrast to most previous research, which focuses upon the credibili

  3. Currency Crisis in Sudan in 2012: An Econometric Analysis

    Directory of Open Access Journals (Sweden)

    Alamedin Bannaga, Dr.

    2015-06-01

    Full Text Available The Sudan currency crisis in 2012 occurred when the Sudanese pound lost 66 percent of its value against the US dollar. In this article we adopt statistical methods such as the signal approach and econometric methods such as the Probit Model for identifying and evaluating the currency crisis. We utilize some economic indicators that have the ability to predict the crisis. We examined the capability of these indicators in generating an early warning system for Sudan currency crisis. The study confirms that the incidence of currency crisis in Sudan increases by increase in inflation rate, increase in import percentage of GDP, rise in claims against the central government, reduction in external reserves and existence of political crisis. Moreover, the study finds that the most important predictor of currency crisis in Sudan is decline in external reserves.

  4. Study on Hedging Instrument Controlling the Risk of Exchange Rate%使用套期工具管理汇率风险的研究

    Institute of Scientific and Technical Information of China (English)

    杨建平

    2011-01-01

    我国开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。套期工具是管理汇率风险的重要方法。使用套期工具管理汇率风险的研究日益受到关注。%China, based on the market demand, has been carrying on managed floating exchange rates system that is adjusted according to currency basket system. The study on the hedging instrument has been paid more and more attention because it is important for controlling exchange rate.

  5. Testing EMA Indicator for the Currency Pair EUR / USD

    Directory of Open Access Journals (Sweden)

    Kolková Andrea

    2017-06-01

    Full Text Available The aim of this paper is to verify the effectiveness of EMA indicator according to selected time intervals. The underlying assumption is that, on longer timescales EMA is profitable and provides more relevant signals. The second objective of this paper is to test the signals of indicators in different months. It is believed that in September and January the number of trading signals on this indicator will increase. Testing will be done on the five-minute time frame. The test will be subjected to 65,000 rate values of the EUR / USD currency pair. Effectiveness of the analysis will be evaluated on the basis of digital (binary option. Business strategy is based on EMA crossover indicator of current exchange rate. By the contribution there were confirmed hypotheses about more profitable signals when selecting a greater timeframe breadth of moving average. There was also confirmed an increased amount of signals in September, but not in January.

  6. Exchange rate and interest rate distribution and volatility under the Portuguese target zone

    Directory of Open Access Journals (Sweden)

    Portugal Duarte António

    2010-01-01

    Full Text Available The aim of this study is to analyse the exchange rate and interest rate distribution and volatility under the participation of the Portuguese economy in the Exchange Rate Mechanism (ERM of the European Monetary System (EMS based on some of the main predictions of the target zone literature. Portugal adopted this exchange rate target zone from April 6 1992 until December 31 1998. During this period, the exchange rate distribution reveals that the majority of the observations lie close to the central parity, thus rejecting one of the key predictions of the Paul Krugman (1991 model. The analysis of the data also shows that exchange rate volatility tended to increase as the exchange rate approached the edges of the band, contrary to the predictions of the basic model. Interest rate differential volatility, on the other hand, seemed to behave in line with theoretical predictions. This suggests an increase in the credibility of monetary policy, allowing us to conclude that the adoption of a target zone has contributed decisively to the creation of the macroeconomic stability conditions necessary for the participation in the European Monetary Union (EMU. The Portuguese integration process should therefore be considered as an example to be followed by other small open economies in transition to the euro area.

  7. Covariation of synaptonemal complex length and mammalian meiotic exchange rates.

    Science.gov (United States)

    Lynn, Audrey; Koehler, Kara E; Judis, LuAnn; Chan, Ernest R; Cherry, Jonathan P; Schwartz, Stuart; Seftel, Allen; Hunt, Patricia A; Hassold, Terry J

    2002-06-21

    Analysis of recombination between loci (linkage analysis) has been a cornerstone of human genetic research, enabling investigators to localize and, ultimately, identify genetic loci. However, despite these efforts little is known about patterns of meiotic exchange in human germ cells or the mechanisms that control these patterns. Using recently developed immunofluorescence methodology to examine exchanges in human spermatocytes, we have identified remarkable variation in the rate of recombination within and among individuals. Subsequent analyses indicate that, in humans and mice, this variation is linked to differences in the length of the synaptonemal complex. Thus, at least in mammals, a physical structure, the synaptonemal complex, reflects genetic rather than physical distance.

  8. Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model

    Directory of Open Access Journals (Sweden)

    Kaijian He

    2014-01-01

    Full Text Available Exchange rate is one of the key variables in the international economics and international trade. Its movement constitutes one of the most important dynamic systems, characterized by nonlinear behaviors. It becomes more volatile and sensitive to increasingly diversified influencing factors with higher level of deregulation and global integration worldwide. Facing the increasingly diversified and more integrated market environment, the forecasting model in the exchange markets needs to address the individual and interdependent heterogeneity. In this paper, we propose the heterogeneous market hypothesis- (HMH- based exchange rate modeling methodology to model the micromarket structure. Then we further propose the entropy optimized wavelet-based forecasting algorithm under the proposed methodology to forecast the exchange rate movement. The multivariate wavelet denoising algorithm is used to separate and extract the underlying data components with distinct features, which are modeled with multivariate time series models of different specifications and parameters. The maximum entropy is introduced to select the best basis and model parameters to construct the most effective forecasting algorithm. Empirical studies in both Chinese and European markets have been conducted to confirm the significant performance improvement when the proposed model is tested against the benchmark models.

  9. Rate of radiocarbon retention onto calcite by isotope exchange

    Energy Technology Data Exchange (ETDEWEB)

    Lempinen, Janne; Lehto, Jukka [Helsinki Univ. (Finland). Lab. of Radiochemistry

    2016-11-01

    Radiocarbon ({sup 14}C) is a top priority class radionuclide associated with the long-term safety of spent nuclear fuel disposal. Dissolved inorganic radiocarbon can be retained in bedrock via isotope exchange with calcite (CaCO{sub 3}) at solubility equilibrium with groundwater. In the present study, the rate of the isotope exchange process was investigated on synthetic calcite using batch experiments. Experiments were performed in solutions with a calcium concentration of 0.0002-0.1 M, including two synthetic reference groundwaters. The radiocarbon activity in the solutions decreased exponentially as a function of time, thus following first-order kinetics. The rate of isotope exchange was quantified from an exponential fit to the activity data over time. The rate of radiocarbon retention increased as a function of the calcium activity. The isotope exchange half-life was only 4.3 days at calcium ion activities over 0.01. This half-life is very much shorter than the half-life of {sup 14}C or the time scale of groundwater movements; consequently calcite can effectively retain radiocarbon from brackish and saline groundwaters.

  10. The theory and crisis of free floating exchange rates

    Directory of Open Access Journals (Sweden)

    R. TAMBORINI

    2013-12-01

    Full Text Available Following the end of the Bretton Woods system faith in a freely floating exchange rate regime, and in particular the complete Laissez-faire policy of the US after 1980, was supported by a large and influential literature - the so-called "stock theory of the exchange rate" - which has had almost absolute dominance in the field. The present work is of primarily a theoretical nature, calling attention to the recent drastic change of opinion regarding the efficiency of foreign exchange markets, of expectations and speculation. In contrast to the previously held belief, agents that anticipate the market are now accused of inefficient, if not irrational behaviour; they are said to be misinterpreting or violating the "hard data" that should lead the market on the path of equilibrium. According to the author, this new vein is challenging, yet the new "bad" deus ex machina is as unconvincing as its "good" predecessors. Thus, the focus is precisely on the fundamental factors of the dynamics of exchange rates in the current environment of integrated finance.

  11. Modeling emotional dynamics : currency versus field.

    Energy Technology Data Exchange (ETDEWEB)

    Sallach, D .L.; Decision and Information Sciences; Univ. of Chicago

    2008-08-01

    Randall Collins has introduced a simplified model of emotional dynamics in which emotional energy, heightened and focused by interaction rituals, serves as a common denominator for social exchange: a generic form of currency, except that it is active in a far broader range of social transactions. While the scope of this theory is attractive, the specifics of the model remain unconvincing. After a critical assessment of the currency theory of emotion, a field model of emotion is introduced that adds expressiveness by locating emotional valence within its cognitive context, thereby creating an integrated orientation field. The result is a model which claims less in the way of motivational specificity, but is more satisfactory in modeling the dynamic interaction between cognitive and emotional orientations at both individual and social levels.

  12. Interest in Currency Trading Learning – Preferred Methods and Motivational Factors

    Directory of Open Access Journals (Sweden)

    Pintar Rok

    2016-02-01

    Full Text Available Background and purpose: This paper analyzes the interest of potential users for learning in the field of currency trading or foreign exchange (forex, FX. The purpose of our article is a to present currency trading, b to present different options, methods and learning approaches to educating in forex, c to present the research results discovering the interest of potential users for learning in the field of currency trading.

  13. The European Currency Unit: An Economical, Financial, and Political Currency.

    Science.gov (United States)

    Strysick, Pam

    Intended to provide a basic understanding of the history and complexity of a relatively new foreign currency measure, this paper briefly describes the history leading to the formation of the European Economic Community (EEC), its objectives, its governance structure, and its development of the European Currency Unit (ECU) as a means of stabilizing…

  14. Community Currency in Korea : How do we envision Community Currency?

    NARCIS (Netherlands)

    J. Kang (Joonmo); B.E. Hong (Baeg)

    2015-01-01

    textabstractCommunity currency schemes were first introduced in Korea in 1998. Since then, there have been many efforts to use them but no report or academic research on the topic in Korea. Thus, we conducted a field investigation to identify the scope of community currency schemes in Korea and as o

  15. TESTING MONETARY EXCHANGE RATE MODELS WITH PANEL COINTEGRATION TESTS

    Directory of Open Access Journals (Sweden)

    Szabo Andrea

    2015-07-01

    Full Text Available The monetary exchange rate models explain the long run behaviour of the nominal exchange rate. Their central assertion is that there is a long run equilibrium relationship between the nominal exchange rate and monetary macro-fundamentals. Although these models are essential tools of international macroeconomics, their empirical validity is ambiguous. Previously, time series testing was prevalent in the literature, but it did not bring convincing results. The power of the unit root and the cointegration tests are too low to reject the null hypothesis of no cointegration between the variables. This power can be enhanced by arranging our data in a panel data set, which allows us to analyse several time series simultaneously and enables us to increase the number of observations. We conducted a weak empirical test of the monetary exchange rate models by testing the existence of cointegration between the variables in three panels. We investigated 6, 10 and 15 OECD countries during the following periods: 1976Q1-2011Q4, 1985Q1-2011Q4 and 1996Q1-2011Q4. We tested the reduced form of the monetary exchange rate models in three specifications; we have two restricted models and an unrestricted model. Since cointegration can only be interpreted among non-stationary processes, we investigate the order of the integration of our variables with IPS, Fisher-ADF, Fisher-PP panel unit root tests and the Hadri panel stationary test. All the variables can be unit root processes; therefore we analyze the cointegration with the Pedroni and Kao panel cointegration test. The restricted models performed better than the unrestricted one and we obtained the best results with the 1985Q1-2011Q4 panel. The Kao test rejects the null hypotheses – there is no cointegration between the variables – in all the specifications and all the panels, but the Pedroni test does not show such a positive picture. Hence we found only moderate support for the monetary exchange rate models.

  16. 78 FR 74212 - Self-Regulatory Organizations; BATS Exchange, Inc.; Order Granting Approval of Proposed Rule...

    Science.gov (United States)

    2013-12-10

    ..., treasury futures to hedge against rising interest rates, currency futures to hedge against foreign exchange rates, interest rate swaps, credit default swaps, total return swaps, and equity index options. The... average length of time to maturity (fixed-rate) or the next interest rate reset (floating-rate) for each...

  17. The impact of exchange rate uncertainty on exports: the case of Turkey

    OpenAIRE

    Orhan KARACA; Saatcioğlu, Cem

    2004-01-01

    In this paper we examined the relationship between exchange rate uncertainty and exports in Turkey. Sample period of the study is 1981, May 1, the date Turkey introduced flexible exchange rate system after quiting fixed exchange rate system, and 2001, February 22 when exchange rates were left floating. The results of this study, in which quarterly data are used, indicate that exchange rate uncertainty affects exports negatively in Turkey. This finding is valid both for long-run and short-run.

  18. Hybrid empirical mode decomposition- ARIMA for forecasting exchange rates

    Science.gov (United States)

    Abadan, Siti Sarah; Shabri, Ani; Ismail, Shuhaida

    2015-02-01

    This paper studied the forecasting of monthly Malaysian Ringgit (MYR)/ United State Dollar (USD) exchange rates using the hybrid of two methods which are the empirical model decomposition (EMD) and the autoregressive integrated moving average (ARIMA). MYR is pegged to USD during the Asian financial crisis causing the exchange rates are fixed to 3.800 from 2nd of September 1998 until 21st of July 2005. Thus, the chosen data in this paper is the post-July 2005 data, starting from August 2005 to July 2010. The comparative study using root mean square error (RMSE) and mean absolute error (MAE) showed that the EMD-ARIMA outperformed the single-ARIMA and the random walk benchmark model.

  19. TESTING FOR LONG MEMORY IN THE ASIAN FOREIGN EXCHANGE RATES

    Institute of Scientific and Technical Information of China (English)

    Abdol S. SOOFI; Shouyang WANG; Yuqin ZHANG

    2006-01-01

    In this paper, we use the plug-in and Whittle methods that are based on spectral regression analysis to test for the long memory property in 12 Asian/dollar daily exchange rates. The results according to the plug-in method show that with the exception of Chinese renminbi all series may have long memory properties. The results based on the Whittle method, on the other hand, show that only Japanese yen and Malaysian ringgit may have long memory properties. It is well known that inference about the differencing parameter, d, in presence of structural break in a series entails considerable difficulties. Therefore, given the financial crisis of 1997-1998 in Asia, further tests for unravelling of the memory property and presence of structural break in the exchange rate series are required.

  20. Determination of the optimal exchange rate via control of the domestic interest rate in Nigeria

    OpenAIRE

    Virtue Ekhosuehi; Sunday Ogbonmwan

    2014-01-01

    We consider an economic scenario where the government seeks to achieve a favourable balance-of-payments over a fixed planning horizon through exchange rate policy and control of the domestic interest rate. We view the dynamics of such an economy as a bounded optimal control problem where the exchange rate is the state variable and the domestic interest rate is the control variable. The idea of balance-of-payments is used as a theoretical underpinning to specify the objective function. By assu...