The Effect of Exchange Rate Volatility on Iran’s Raisin Export

Directory of Open Access Journals (Sweden)

2014-10-01

Full Text Available Exchange rate volatility is one of the effective and ambiguous factors in agricultural product export. Considering the importance of agricultural trade to avoid single-product economy, the main aim of this study was to investigate the impact of exchange rate volatility on the Raisin export of Iran during the years1959-2011. For this purpose, exchange rate volatility index was estimated using Moving Average Standard Deviation (MASD. Then, the impact of exchange rate volatility on the value of Raisin export was examined using Johansen's and Juselius's cointegration method and Vector Error Correction Model (VECM.The results showed that in the long-term and short-term there is a significant relationship between Raisin exports and its main variables (weighted average of Gross income of importers, Wholesale Prices, real exchange rate, Value-added of agricultural sector; as according to the theory it has negative relationship with exchange rate volatility. The error correction coefficient sentence ECM (-1 significantly and its sign was negative as expected. The value of this coefficient is equal to the -0/20 and indicates that about 20 percent of Raisin exports imbalance from its long-term value, after of a period will be Elapse.

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

Trade Openness And Real Exchange Rate Volatility: Panel Data Evidence

OpenAIRE

César Calderón

2004-01-01

A recent strand of the literature, the so-called “New Open Economy Macroeconomics”, argues that nonmonetary factors have gained importance in explaining exchange rate volatility. In this context, it has been suggested the inclusion of shocks to productivity, terms of trade, and government spending, among others. The goal of the present paper is to explain the real exchange rate volatility by positing a structural relationship between volatility and its determinants. To perform our task we col...

Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

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Adedoyin I. Lawal

2016-09-01

Full Text Available The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

Exchange rate volatility and regime change: a Visegrad comparison

Czech Academy of Sciences Publication Activity Database

Kočenda, Evžen; Valachy, J.

2006-01-01

Roč. 34, č. 4 (2006), s. 727-753 ISSN 0147-5967 Institutional research plan: CEZ:MSM0021620846 Keywords : exchange rate s * exchange rate regime s * volatility Subject RIV: EH - Ecology, Behaviour Impact factor: 0.964, year: 2006 http://dx.doi.org/10.1016/j.jce.2006.07.003

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. ...

ANALYSIS OF MACROECONOMIC DETERMINANTS OF EXCHANGE RATE VOLATILITY IN INDIA

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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.

VOLATILITY OF EXCHANGE RATE IN THE CONTEXT OF FOREIGN TRADE

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Oleg STRATULAT

2016-09-01

Full Text Available Moderate fluctuation of the exchange rate, basically in its floating regime is considered normality. Meanwhile,excessive volatility of the exchange rate is an issue for many countries. Its elimination is directed to foreign trade, which, through essential exports, followed by significant currency inflows, contribute to the stability of exchange rates. Unfortunately, Moldova’s foreign trade has become a key factor in maintaining the stability of foreign exchange.

Effects of exchange rate volatility on export volume and prices of forest products

Science.gov (United States)

Sijia Zhang; Joseph Buongiorno

2010-01-01

The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We...

Is the South African exchange rate volatile? Application of the arch framework.

Directory of Open Access Journals (Sweden)

Thato Julius Mokoma

2015-04-01

Full Text Available This study applies the autoregressive conditional heteroscedasticity (ARCH model to forecast exchange rate volatility in South Africa for the period 1990Q1 to 2014Q2. The ARCH (1 and ARCH (2 models were constructed using four variables; namely, exchange rate, gross domestic product, inflation and interest rates. Upon addressing the issue of stationarity, the models were fitted and the ARCH (1 model was found to be fit. This model revealed a high volatility of exchange rate compared to the ARCH (2 model. Prior to forecasting, the selected model was subjected to a battery of diagnostics tests and was found to be stable and well specified. The forecasts from the ARCH (1 model proved that in the near future, exchange rate will not be highly volatile though SA will experience depreciation in its currency.

An Examination of the Impacts of Exchange Rate Volatility on Sectoral Trade in the Mercosur

OpenAIRE

Larson, Donald W.; Bittencourt, Maurício Vaz Lobo; Thompson, Stanley R.

2005-01-01

This study captures the lack of macroeconomic policy coordination among Mercosur countries, through the impact of real bilateral exchange rate volatility on trade. A sectoral gravity model is estimated under two different measures of exchange rate volatility. Results show that the reduction in exchange rate volatility can increase bilateral trade.

Effects of interest rate, exchange rate and their volatilities on stock prices: evidence from banking industry of Pakistan

Directory of Open Access Journals (Sweden)

Syed Tehseen JAWAID

2012-08-01

Full Text Available This study investigates the effects of exchange rate, interest rates, and their volatilities on stock prices of banking industry of Pakistan. Cointegration results suggests the existance of significant negative long run relationship between exchange rate and short term interest rate with stock prices. On the other hand, positive and significant relationship exists between volatilities of exchange rate and interest rate with stock prices. Causality analysis confirms bidirectional causality between exchange rate and stock prices. Whereas, unidirectional causality runs from short term interest rate to stock prices. Sensitivity analysis confirms that the results are robust. It is suggested that investors should invest in banking sector stocks when exchange rate and interest rates are highly volatile. The result also supports the view that exchange rate and interest rate can be used as an indicator for investment decision making in banking sector stocks.

Investigation the Impact of Exchange Rate Volatility on the Export of Agricultural Products

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M. Jamalipour

2016-10-01

Full Text Available Introduction: Agricultural commodity export is a main attribute of developing countries and it is the basic force of development, however, developing countries have faced domestic and international instability in their markets and monetary and fiscal policies and these instabilities create a difficult condition for most of producers and exporters. Volatility in exchange market is one of the most important factor and vital concentrate for international trade especially agricultural commodity export. Because of this concern many studies have been conducted in this filed; (Aristotelous, 2001; Chen, 2009 and Sabuhoi and Piri, 2009 .Many of these studies has stated that exchange rate fluctuation has a negative impact on aggregated agricultural export; however, none of them has been focused on the effects of exchange rate fluctuation on exported value of important commodities in long run and short run. In recent years, exchange rate fluctuation has been raised about 6 percent since 2007 to 2010 and it seemed that this phenomenon has a negative impact on agricultural commodity export in Iran. To test this hypothesis exported value of three important commodity (date, orange and grape and exchange rate volatility since 1970 to 2013 have been used. Material and Methods: In order to examine the relation between real exchange rate volatility and export values of date, orange and grapes, first GARCH method has been used to draw out exchange rate volatility; then, Panel unite root test has been used to check the level of integration. Since real exchange rate is not heterogeneous for different cross sections Levi-Lin and Chow unit root test has been used for this variable and IPS test has been applied to export value. Pederoni co-integration test has been used to check the integration between these variables. Finally, FMOLS (Fully Modified Ordinary Least Square and DOLS (Dynamic Ordinary Least Square methods have been used to estimate long run and short run

DOES CURRENCY SUBSTITUTION AFFECT EXCHANGE RATE VOLATILITY?

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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.

Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?

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Claudio Henrique Barbedo

2009-07-01

Full Text Available The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented, it is the most important variable. This work investigates whether information embedded in this implied volatility market are explained by other traded variables in the Brazilian market. The results show that there are sources of non-negotiable risk that influence this implied volatility. Therefore, exchange rate implied volatility can assist to understand the behavior of the derivatives indexed to dollar.

The impact of exchange rate volatility on capital flows in BRICS economies

OpenAIRE

Bonga-Bonga, Lumengo; Gnagne, Pascal Xavier

2017-01-01

This study intends to analyse the impact of exchange rate risk on equity returns and bond yields as well as the volatility spillover between the foreign exchange, equity and bond markets in the BRICS economies. To reach this objective, a multivariate GARCH-M with BEKK specifications is applied on weekly data obtained from Thomson Reuters DataStream. The findings of the paper show that exchange rate volatility has a positive impact on ten-year bond yields in all BRICS countries except in South...

Exchange Rate Volatility and Trade among the Asia Pacific Countries

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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

FDI Inflows, Price and Exchange Rate Volatility: New Empirical Evidence from Latin America

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Silvia Dal Bianco

2017-02-01

Full Text Available This paper investigates the impact of price and real exchange rate volatility on Foreign Direct Investment (FDI inflows in a panel of 10 Latin American and Caribbean countries, observed between 1990 and 2012. Both price and exchange rate volatility series are estimated through the Generalized Autoregressive Conditional Heteroscedasticity model (GARCH. Our results obtained, employing the Fixed Effects estimator, confirm the theory of hysteresis and option value, in so far as a statistically significant negative effect of exchange rate volatility on FDI is found. Price volatility, instead, turns out to be positive but insignificant. Moreover, we show that human capital and trade openness are key for attracting foreign capital. From the policy perspective, our analysis suggests the importance of stabilization policies as well as the policy of government credibility in promoting trade openness and human capital formation.

Exchange Rate Volatility and Employment Growth in Developing Countries: Evidence from Turkey

OpenAIRE

Demir, Firat

2010-01-01

Employing a unique panel of 691 private firms that accounted for 26% of total value-added in manufacturing in Turkey, the paper explores the impacts of exchange rate volatility on employment growth during the period of 1983 - 2005. The empirical analysis using a variety of specifications, estimation techniques, and robustness tests suggests that exchange rate volatility has a statistically and economically significant employment growth reducing effect on manufacturing firms. Using point estim...

Exchange rate volatility and regime change: Visegrad comparison

Czech Academy of Sciences Publication Activity Database

Kočenda, Evžen; Valachy, J.

-, č. 7 (2006), s. 1-36 R&D Projects: GA ČR GA402/06/1293 Institutional research plan: CEZ:AV0Z70850503 Keywords : exchange rate regime s * volatility * transition Subject RIV: AH - Economics http://deepblue.lib.umich.edu/bitstream/2027.42/21616/1/IPC-working-paper-007-KocendaValachy.pdf

Exchange Rate Volatility, Its Determinants and Effects on the Manufacturing Sector in Nigeria

OpenAIRE

Chimaobi V. Okolo; Onyinye S. Ugwuanyi; Kenneth A. Okpala

2017-01-01

This study evaluated the effect of exchange rate volatility on the manufacturing sector of Nigeria. The flow and stock market theories of exchange rate determination was adopted considering macroeconomic determinants such as balance of trade, trade openness, and net international investment. Furthermore, the influence of changes in parallel exchange rate, official exchange rate and real effective exchange rate was modeled on the manufacturing sector output. Vector autoregression techniques an...

Testing nonlinearities between Brazilian exchange rate and inflation volatilities

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Christiane R. Albuquerque

2006-12-01

Full Text Available There are few studies, directly addressing exchange rate and inflation volatilities, and lack of consensus among them. However, this kind of study is necessary, especially under an inflation-targeting system where the monetary authority must know well price behavior. This article analyses the relation between exchange rate and inflation volatilities using a bivariate GARCH model, and therefore modeling conditional volatilities, fact largely unexplored by the literature. We find a semi-concave relation between those series, and this nonlinearity may explain their apparently disconnection under a floating exchange rate system. The article also shows that traditional tests, with non-conditional volatilities, are not robust.Existem poucos estudos, e pouco consenso, sobre a relação entre as volatilidades cambial e da inflação. Todavia, tais estudos são necessários, especialmente em um regime de metas de inflação onde a autoridade monetária deve conhecer detalhadamente o comportamento dos preços. Existem poucos estudos, e pouco consenso, sobre a relação entre as volatilidades cambial e da inflação. Todavia, tais estudos são necessários, especialmente em um regime de metas de inflação onde a autoridade monetária deve conhecer detalhadamente o comportamento dos preços. Este artigo analisa a relação entre aquelas volatilidades usando um modelo Garch bivariado, modelando, portanto, as volatilidades condicionais, enfoque pouco explorado pela literatura. Encontramos uma relação semi-côncava entre as séries, e esta não-linearidade pode explicar o aparente descolamento das mesmas em períodos de regime cambial flutuante. O artigo também mostra que os testes tradicionais, com volatilidades não-condicionais, não são robustos.

The Effect of RMB Exchange Rate Volatility on Import and Export Trade in China

OpenAIRE

Wanhui Jiang

2014-01-01

The exchange rate volatility always plays a key role in import and export trade. This paper investigates the effect of nominal RMB exchange rate volatility on economic growth in China from 1981 to 2012. Through the ADF stationary test, the co-integration test, and the associated econometric model and the empirical analysis, the paper concludes that in the long run, exchange rate change has a positive impact on import and export trade. Therefore, it is necessary to take relevant policies and m...

ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE

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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.

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.

Can producer currency pricing models generate volatile real exchange rates?

OpenAIRE

Povoledo, L.

2012-01-01

If the elasticities of substitution between traded and nontraded and between Home and Foreign traded goods are sufficiently low, then the real exchange rate generated by a model with full producer currency pricing is as volatile as in the data.

The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations

Directory of Open Access Journals (Sweden)

Chae-Shick Chung

1998-09-01

Full Text Available This thesis analyzed the feature and different points of the changing of the exchange rate of Korea won against US dollar, then discussed the direction of the completion of Korea exchange rate system. The prediction result of the model GARCH which vividly shows the phenomenon of the auto-regression of the exchange rate has indicated the level of the exchange rate yesterday could explain the circumstance of the change of exchange rate today. Meanwhile, the policy of the US exchange rate will affect the exchange rate of Korea won against US dollar and the volatility of foreign exchange rate. In the present situation of Korean economy in which the liberalization of capital and the independence of the central bank has been established, the choosing range of the exchange system could only be completely changeable exchange rate system or exchange rate system of multilateral arrangement like Europe. However, in terms of the condition of the world economy, the introduction of the latter system is too early. There is an idea that under the changeable exchange rate system which is the only choice, it is the right time to activate the main body of private economy, the financial derivatives market in which the exchange risk could be trade-off. Government should work on and create a policy that would be able to satisfy the expectations of the market participants.

Volatility Analysis of Exchange Rate of Emerging Economies: A ...

African Journals Online (AJOL)

The aim of this study is to analyze the volatility of exchange rates of the currencies of the five East African Community (EAC) countries. Time series modeling is applied to the data of these countries. Various models were fitted and compared using Maximum Likelihood approach in order to select the best fitting model for each ...

DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY

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Radu Alina-Nicoleta

2009-05-01

Full Text Available In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of

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.

Estimating the Effects of Exchange Rate Volatility on Export Volumes

OpenAIRE

Wang, Kai-Li; Barrett, Christopher B.

2007-01-01

This paper takes a new empirical look at the long-standing question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral-level, monthly data and an innovative multivariate GARCH-M estimator with corrections for leptokurtic errors. This estimator allows for the possibility that traders' forward-looking contracting behavior might condition the way in which exchange r...

Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility: GARCH Model

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Abdelkadir BESSEBA

2017-06-01

Full Text Available This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility. For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model. Stock market returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the stock market returns.

SWARCH and the implicit volatility of the Real/USD exchange rate

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Rodrigo De Losso da Silveira Bueno

2008-10-01

Full Text Available This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The first is a markov switching model on the conditional variance – SWARCH (Hamilton, 1994. The second model is based on the Garman e Kohlhagen (1983 option pricing model, from which one extracts the implicit volatility. The results show that the SWARCH’s performance is better in both dimensions and contrast with the literature in two aspects: first because the model with switching regime is not as usual as the ones without it, second because the best model is based on historical data rather than implicit volatility.

"An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates"

OpenAIRE

Akihiko Takahashi; Kohta Takehara

2007-01-01

This paper proposes an asymptotic expansion scheme of currency options with a libor market model of interest rates and stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas for the density functions of the underlying assets and for pricing currency options based on the third order asymptotic expansion scheme; we do not model a foreign exchange rate's variance such as in Heston[1993], but its volatility that follows a general time-inho...

Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

NARCIS (Netherlands)

C-L. Chang (Chia-Lin); H-K. Hsu (Hui-Kuang); M.J. McAleer (Michael)

2012-01-01

textabstractThis paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the volatility specification. Daily data

Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

NARCIS (Netherlands)

C-L. Chang (Chia-Lin); H-K. Hsu (Hui-Kuang); M.J. McAleer (Michael)

2013-01-01

textabstractThis paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the volatility specification. Daily data

Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates: the Asian Crisis vs. the Global Crisis

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Young Wook Han

2014-03-01

Full Text Available This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes, this paper first applies both the parametric FIGARCH model and the semi-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility dependency of the daily returns. The estimation results reflect that the long memory volatility dependency of the KRW-USD is generally greater than that of the JPY-USD returns and the long memory dependency of the two returns appears to be invariant to temporal aggregation. And, the two financial crises appear to affect the volatility dynamics of all the returns by inducing greater long memory dependency in the volatility process of the exchange returns, but the degree of the effects of the two crises seems to be different on the exchange rates.

Modeling exchange rate volatility in CEEC countries: Impact of global financial and European sovereign debt crisis

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Miletić Siniša

2015-01-01

Full Text Available The aim of this study is to envisage the impact of global financial (GFC and European sovereign debt crisis (ESDC on foreign exchange markets of emerg- ing countries in Central and Eastern Europe CEEC countries (Czech Republic, Hungary, Romania, poland and Serbia. The daily returns of exchange rates on Czech Republic koruna (CZK, Hungarian forint (HuF, Romanian lea (RoL, polish zloty (pLZ and Serbian dinar (RSD, all against the Euro are analyzed during the period from 3rd January 2000 to15th April 2013, in respect. To examine the impact of global financial crisis and European sovereign debt crisis, dummy variables were adopted. overall results imply that global financial crisis has no impact on exchange rate returns in selected CEEC countries, while European sovereign debt crisis inf luencing in depreciation of polish zloty by 8% and Roma- nian lea by 6%. obtained results by our calculation, imply that global financial crisis increased enhanced volatility on exchange rate returns of Czech koruna, Romanian lea and polish zloty. Moreover, results of empirical analysis imply that this impact has the strongest inf luence in volatility on exchange rate returns of polish zloty.

Estimation of Exchange Rate Volatility using APARCH-type Models: A Case Study of Indonesia (2010–2015

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Didit B Nugroho

2017-02-01

Full Text Available Volatiliy measurement and modeling is an important aspect in many areas of finance. The main purpose of this study is to apply seven APARCH-type models with (1,1 lags to investigate the behavior of exchange rate volatility for the EUR, JPY, and USD selling exchange rates to IDR for the duration from January 2010 to December 2015. The competing models include ARCH, GARCH, TARCH, TS-ARCH, GJR-GARCH, NARCH, and APARCH used with Gaussian normal distribution. In order to estimate the model parameters, this study applies the Bayesian inference using the adaptive random walk Metropolis method in the MCMC algorithm. Empirical results based on the deviance information criterion indicate that the GARCH (1,1, APARCH (1,1, and TARCH (1,1 models provide the best fit for the EUR, JPY, and USD data, respectively. In those models, both the JPY and USD data have significant negative leverage effect at the 99% credible level. Moreover, the JPY returns also have significant Taylor effect in return volatility at the 99% credible level.   Keywords: APARCH, ARWM, IDR exchange rate, MCMC, volatility

International portfolio flows and exchange rate volatility in emerging Asian markets

OpenAIRE

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

2017-01-01

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 seven Asian developing and emerging countries (India, Indonesia, Pakistan, the Philippines, South Korea, Taiwan and Thailand) over the period 1993:01-2015:11. GARCH models and Markov switching specifications with time-varying transition probabilities are estimated in addition to a benchmark linear model. The evidence suggests that high (low) ex...

Exchange rate dynamics and its effect on macroeconomic volatility in selected CEE countries

Czech Academy of Sciences Publication Activity Database

Audzei, Volha; Brázdik, F.

2017-01-01

Roč. 15, č. 1 (2017), s. 15-19 ISSN 1803-7089 Institutional support: Progres-Q24 Keywords : exchange rate dynamics * macroeconomic volatility Subject RIV: AH - Economic s http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/erb/download/ERB_No1_2017.pdf

Effects of overvaluation and exchange rate volatility over industrial investment: empirical evidence and economic policy proposals for Brazil

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José Luis Oreiro

2014-09-01

Full Text Available The present article aims to analyze the recent behavior of real exchange rate in Brazil and its effects over investment per worker in Brazilian manufacturing and extractive industry. Preliminary estimates presented in the article shows an over-valuation of 48% of real exchange rate in Brazil. The reaction between the level (and volatility of real exchange rate and investment (per worker in Brazil is analyzed by means of a panel data econometric model for 30 sectors of Brazilian manufacturing and extractive industry. The empirical results show that the level and volatility of real exchange rate has a strong effect over investment per worker in Brazilian industry. Finally, we conclude the article presenting a proposal for a new macroeconomic regime that aims to produce an acceleration of economic growth of Brazilian economy and, by that, a catching-up process with developed countries.

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

OpenAIRE

Mark J. Holmes

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.

Determinants of exchange rate volatility: the case of the new EU members

Czech Academy of Sciences Publication Activity Database

Stančík, Juraj

2007-01-01

Roč. 57, 9-10 (2007), s. 414-432 ISSN 0015-1920 R&D Projects: GA ČR GA402/06/1293; GA MŠk LC542 Institutional research plan: CEZ:MSM0021620846 Keywords : exchange - rate volatility * TARCH model * EMU integration Subject RIV: AH - Economics Impact factor: 0.382, year: 2007 http://journal.fsv.cuni.cz/storage/1085_fau_9_10_2007_00000002.pdf

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

OpenAIRE

Chang, C-L.; McAleer, M.J.

2009-01-01

textabstractBoth domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily data from 1 January 1990 to 31 December 2008 are used to model the Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility....

The effects of exchange rate volatility on international trade fl ows: evidence from panel data analysis and fuzzy approach

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Robert M. Kunst

2012-06-01

Full Text Available The aim of this paper is to analyze the effects of exchange rate volatility on international trade flows by using two different approaches, the panel data analysis and fuzzy logic, and to compare the results. To a panel with the crosssection dimension of 91 pairs of EU15 countries and with time ranging from 1964 to 2003, an extended gravity model of trade is applied in order to determine theeffects of exchange rate volatility on bilateral trade flows of EU15 countries. The estimated impact is clearly negative, which indicates that exchange rate volatility has a negative influence on bilateral trade flows. Then, this traditional panel approach is contrasted with an alternative investigation based on fuzzy logic. The key elements of the fuzzy approach are to set fuzzy decision rules and to assignmembership functions to the fuzzy sets intuitively based on experience. Both approaches yield very similar results and fuzzy approach is recommended to be used as a complement to statistical methods.

OUTPUT VOLATILITY AND EXCHANGE RATE CONSIDERATIONS UNDER INFLATION TARGETING : A REVIEW

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Marjan Petreski

2012-01-01

Full Text Available The objective of the paper is to offer a critique on the theoretical and empirical literature on inflation targeting (IT. It seems to exist a consensus in the theoretical literature that this monetary regime reduces both inflation and output volatility, mainly through building monetary policy credibility. When the role of the exchange rate is discussed, while there are some arguments that, as an instrument, it should not be explicitly stated in the central-bank loss function, theoretical arguments and evidence are still mixed as regards the effectiveness of exchange-rate management under IT. On the empirical front, the paper concludes that despite the fact that the work on IT in the last two decades has been immense in quality and quantity, still there is no quantitatively-credible study for the developing world, let alone a study that appropriately measures the regime switch from one monetary strategy to another.

Determinants of exchange rate volatility: the case of the new EU members

Czech Academy of Sciences Publication Activity Database

Stančík, Juraj

2007-01-01

Roč. 57, 9-10 (2007), s. 414-432 ISSN 0015-1920 R&D Projects: GA MŠk LC542 Grant - others:GA ČR(CZ) GA402/06/1293 Program:GA Institutional research plan: CEZ:AV0Z70850503 Keywords : exchange - rate volatility * TARCH model * EMU integration Subject RIV: AH - Economics Impact factor: 0.382, year: 2007 http://journal.fsv.cuni.cz/storage/1085_fau_9_10_2007_00000002.pdf

The determinants of exchange rates and the movements of EUR/RON exchange rate via non-linear stochastic processes

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Petrică Andreea-Cristina

2017-07-01

Full Text Available Modeling exchange rate volatility became an important topic for research debate starting with 1973, when many countries switched to floating exchange rate system. In this paper, we focus on the EUR/RON exchange rate both as an economic measure and present the implied economic links, and also as a financial investment and analyze its movements and fluctuations through two volatility stochastic processes: the Standard Generalized Autoregressive Conditionally Heteroscedastic Model (GARCH and the Exponential Generalized Autoregressive Conditionally Heteroscedastic Model (EGARCH. The objective of the conditional variance processes is to capture dependency in the return series of the EUR/RON exchange rate. On this account, analyzing exchange rates could be seen as the input for economic decisions regarding Romanian macroeconomics - the exchange rates being influenced by many factors such as: interest rates, inflation, trading relationships with other countries (imports and exports, or investments - portfolio optimization, risk management, asset pricing. Therefore, we talk about political stability and economic performance of a country that represents a link between the two types of inputs mentioned above and influences both the macroeconomics and the investments. Based on time-varying volatility, we examine implied volatility of daily returns of EUR/RON exchange rate using the standard GARCH model and the asymmetric EGARCH model, whose parameters are estimated through the maximum likelihood method and the error terms follow two distributions (Normal and Student’s t. The empirical results show EGARCH(2,1 with Asymmetric order 2 and Student’s t error terms distribution performs better than all the estimated standard GARCH models (GARCH(1,1, GARCH(1,2, GARCH(2,1 and GARCH(2,2. This conclusion is supported by the major advantage of the EGARCH model compared to the GARCH model which consists in allowing good and bad news having different impact on the

Effective Exchange Rate Classifications and Growth

OpenAIRE

Justin M. Dubas; Byung-Joo Lee; Nelson C. Mark

2005-01-01

We propose an econometric procedure for obtaining de facto exchange rate regime classifications which we apply to study the relationship between exchange rate regimes and economic growth. Our classification method models the de jure regimes as outcomes of a multinomial logit choice problem conditional on the volatility of a country's effective exchange rate, a bilateral exchange rate and international reserves. An `effective' de facto exchange rate regime classification is then obtained by as...

Impact of Exchange Rate Movements, Global Economic Activity, and the BDI Volatility on Loaded Port Cargo Throughput in South Korea

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Chang Beom Kim

2016-12-01

Full Text Available This study examines the effects of exchange rate movements, global economic activity, and the volatility of the Baltic Dry Index (BDI on South Korea's loaded port cargo throughput, based on monthly data for the period from January 2000 to October 2014. The results indicate that the BDI volatility has a negative effect on the loaded cargo throughput, while increases in the nominal exchange rate and in global economy activity have a positive effect. In addition, the error correction model results show that the error correction term is statistically significant with the negative sign.

International Transmission Effects of Volatility Spillovers Between Stock Returns and Exchange Rates: Evidence from Greece, Portugal and Spain since the Introduction of the Euro

OpenAIRE

Morales, Lucia

2007-01-01

This paper investigates the nature of volatility spillovers between stock returns and exchange rate changes for Greece, Spain and Portugal for the 1999-2006 period after the introduction of the Euro as well as the 1999-2001 and 2002-2003/May and 2003/June-2006 periods since the Euro has been introduced. We use an EGARCH model which takes into account whether bad news has the same impact on volatility as good news. We also investigate whether volatility spillovers between exchange rates and e...

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.

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

Directory of Open Access Journals (Sweden)

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.

Modeling the Volatility of Exchange Rates: GARCH Models

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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.

Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

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Muhsin Kar

2016-07-01

Full Text Available In this study, we aim to investigate the impacts of credit default swaps (CDS premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate and what are the possible effects of CDS premium volatility on EUR/TL exchange rate stability in different conditions? In this regard, we developed a MS-VAR regime change model and asymmetric, frequency domain and rolling windows causality analysis methods. Results obtained from all tests imply that risk premium is partially a driver of the EUR/TL exchange rate between the years 2009 and 2015.

KRW/USD Exchange Rate Volatility and Efficient Risk Management

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Sang-Yong Joo

1999-03-01

Full Text Available This thesis analyzes the relationship between the exchange rate of Korean Won and US dollar and the amount of foreign exchange, and studies the direction of the amendment of the risk control of foreign exchange. The GARCH (Generalized Auto Regressive Conditional Heteroscedasticity model which visually embodies the auto-regress of the wave of exchange rate shows that the amount of trade will enhance the fluidity of the exchange rate, that is, the various expects of the participators of the market affect the amount of trade and the fluidity, so in the process of trading, the trader who is in the dry tree of information bears more trading expenditure. It is predicted that the liberalization of foreign exchange rate and fluctuated exchange rate system will jointly bring the enhancement of the fluidity of the exchange rate and the amount of exchange trade. The change of this system will bring the rise of participators in foreign exchange market; meanwhile, it will also initiate superfluous fluidity of foreign exchange market. In order to overcome this problem, the government needs to implement the development strategy of the understructure of the foreign exchange market and the enterprises need to carry through systemic exchange rate risk control.

Exchange rate regulation, the behavior of exchange rates, and macroeconomic stability in Brazil

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Francisco Eduardo Pires de Souza

2011-12-01

Full Text Available In the last two decades an entirely new set of rules governing the foreign exchange transactions was established in Brazil, substituting for the framework inherited from the 1930s. Foreign exchange controls were dismantled and a floating exchange rate regime replaced different forms of peg. In this paper we argue that although successful by comparison to previous experiences, the current arrangement has important flaws that should be addressed. We discuss how it first led to high volatility and extremely high interest rates, which, when overcome, gave way to a long lasting appreciation of the real exchange rate with adverse consequences to industry.

KRW/USD Exchange Rate Volatility and Efficient Risk Management

OpenAIRE

Sang-Yong Joo; Chae-Shick Chung; Young-Woo Lee

1999-01-01

This thesis analyzes the relationship between the exchange rate of Korean Won and US dollar and the amount of foreign exchange, and studies the direction of the amendment of the risk control of foreign exchange. The GARCH (Generalized Auto Regressive Conditional Heteroscedasticity) model which visually embodies the auto-regress of the wave of exchange rate shows that the amount of trade will enhance the fluidity of the exchange rate, that is, the various expects of the participators of the ma...

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.

Floating Exchange Rate Regime

OpenAIRE

Quader, Syed Manzur

2004-01-01

In recent years, many developing countries having a history of high inflation, unfavorable balance of payment situation and a high level of foreign currencies denominated debt, have switched or are in the process of switching to a more flexible exchange rate regime. Therefore, the stability of the exchange rate and the dynamics of its volatility are more crucial than before to prevent financial crises and macroeconomic disturbances. This paper is designed to find out the reasons behind Bangla...

Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility

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Adrian Cantemir Călin

2015-06-01

Full Text Available During the last years the monetary policy initiatives of the main central banks have been profoundly influenced by quantitative easing (QE. Blessing, curse, effective instruments or a simple fad, these unconventional measures have occupied the center stage of academic and public attention. In this context, this paper focuses on a wide set of public speeches delivered by officials belonging to the most relevant central banks. These statements cover a large pallet of topics including areas such as QE, tapering, financial stability, unemployment or interest rates. The aim of this study is to investigate the impact that these speeches have on the volatility of exchange rates. For this purpose, the methodology relies on an econometric event study that incorporates three volatility models and intraday five-minute frequencies. The results indicate the fact that public statements have a clear, evident, significant and robust impact on the observed assets.

Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates Between the 1920s and the 2010s: Case of the USD-GBP Exchange Rate

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Young Wook Han

2016-09-01

Full Text Available This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed than in the 2010s, this paper finds that both the long memory volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be upward biased and overstated because of the structural breaks in the exchange markets. Thus this paper applies the Adaptive-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the structural breaks in the exchange markets affect the long memory volatility property significantly in the two periods but the degree of the long memory volatility property in the 1920s is reduced more remarkably than in the 2010s after the structural breaks are accounted for; thus implying that the structural breaks in the foreign exchange markets in the 1920s seem to be more significant.

Searching for an Appropriate Exchange Rate Regime

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Yunjong Wang

2001-06-01

Full Text Available This paper attempts to survey current debates on the choice of exchange rate regime in emerging market economies. The issue of choosing an appropriate exchange rate regime is being actively discussed since the recent Asian crisis. As a lesson from the recent crises, one widely shared conclusion is that soft peg exchange rate regimes are extremely vulnerable in a world of volatile capital movements. Consequently, new orthodoxy based on the impossible trinity hypothesis favours two corner solutions ― greater flexibility or credible institutional assurance, like a currency board system or dollarization. Nevertheless, questions whether such corner solutions are adequate for developing countries are rising of late. "Fear of floating" is still conspicuous in many developing countries having adopted nominally a free-floating exchange rate regime. Developing countries are sensitive to exchange rate fluctuations because the cost of exchange rate volatility is greater than the benefit when compared to developed countries. Monitoring bands is a compromise solution, but it still needs further enhancement of estimation techniques for fundamental equilibrium exchange rates in order to make those estimation results more workable in practice. Other alternatives include the creation of soft peg of the G-3 currencies. Despite counterarguments, the stability of G-3 currencies could prove to be beneficial to emerging market economies.

Jump spillover between oil prices and exchange rates

Science.gov (United States)

Li, Xiao-Ping; Zhou, Chun-Yang; Wu, Chong-Feng

2017-11-01

In this paper, we investigate the jump spillover effects between oil prices and exchange rates. To identify the latent historical jumps for exchange rates and oil prices, we use a Bayesian MCMC approach to estimate the stochastic volatility model with correlated jumps in both returns and volatilities for each. We examine the simultaneous jump intensities and the conditional jump spillover probabilities between oil prices and exchange rates, finding strong evidence of jump spillover effects. Further analysis shows that the jump spillovers are mainly due to exogenous events such as financial crises and geopolitical events. Thus, the findings have important implications for financial risk management.

The influence of interest rates on the exchange rate and exchange rate volatility

OpenAIRE

Florin MAVRIS; Dumitru-Cristian OANEA

2014-01-01

The dynamic of interest rates has been the subject of attention by both traders and researchers. We see in what manner different factors that depend on the actions of central banks that influence them by using a GARCH type model and we compare its performance with other models to see what approach explains and predicts the movement of the exchange rate. To better understand the type of model that is applicable the data is tested for heteroskedasticity, and only after that the model is impleme...

Estimating Exchange Rate Exposure over Various Return Horizons: Focusing on Major Countries in East Asia

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Jeong Wook Lee

2016-12-01

Full Text Available In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared. A key result from our analysis is that the long term effect of exchange rate movements on firm values is greater than the short term effect. And we find very similar results from using other exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control variable and find that the extent of exposure is not much changed. Third, we examine the changes in exposure to exchange rate volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than for exposure to exchange rate itself. Taken as a whole, our findings suggest that the so-called "exposure puzzle" may be a matter of the methodology used to measure exposure.

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

NARCIS (Netherlands)

van Haastrecht, A.; Lord, R.; Pelsser, A.; Schrager, D.

2009-01-01

We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of

Martingale Regressions for a Continuous Time Model of Exchange Rates

OpenAIRE

Guo, Zi-Yi

2017-01-01

One of the daunting problems in international finance is the weak explanatory power of existing theories of the nominal exchange rates, the so-called “foreign exchange rate determination puzzle”. We propose a continuous-time model to study the impact of order flow on foreign exchange rates. The model is estimated by a newly developed econometric tool based on a time-change sampling from calendar to volatility time. The estimation results indicate that the effect of order flow on exchange rate...

Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model

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Hojin Lee

2009-06-01

Full Text Available We compare the out-of-sample forecasting performance of volatility models using daily exchange rate for the KRW/USD during the period from 1992 to 2008. For various forecasting horizons, historical volatility models with a long memory tend to make more accurate forecasts. Especially, we carefully observe the difference between the EWMA and the GARCH(1,1 model. Our empirical finding that the GARCH model puts too much weight on recent observations relative to those in the past is consistent with prior evidence showing that asset market volatility has a long memory, such as Ding and Granger (1996. The forecasting model with the lowest MSFE and VaR forecast error among the models we consider is the EWMA model in which the forecast volatility for the coming period is a weighted average of recent squared return with exponentially declining weights. In terms of forecast accuracy, it clearly dominates the widely accepted GARCH and rolling window GARCH models. We also present a multiple comparison of the out-of-sample forecasting performance of volatility using the stationary bootstrap of Politis and Romano (1994. We find that the White's reality check for the GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model clearly reject the null hypothesis and there exists a better model than the two benchmark models. On the other hand, when the EWMA model is the benchmark, the White's for all forecasting horizons are very high, which indicates the null hypothesis may not be rejected. The Hansen's report the same results. The GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model are dominated by the best competing model in most of the forecasting horizons. In contrast, the RiskMetrics model seems to be the most preferred. We also consider combining the forecasts generated by averaging the six raw forecasts and a trimmed set of forecasts which calculate the mean of the four forecasts after disregarding the highest and

Exchange rate regimes and macroeconomic instabilities in Sub-Saharan Africa

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Yaya Camara Seydou

2015-01-01

Full Text Available This article addresses macroeconomic instabilities according to exchange rate regimes in Sub-Saharan Africa (SSA. Based on International Monetary Fund's exchange rate regimes de facto classification, the global sample, SSA, is first divided into two subsamples, which are countries within CFA franc zone (ZCFA and those outside CFA franc zone (HZCFA, and then into four categories, which are the Western Economic and Monetary Union (WAEMU, the Central African Economic and Monetary Community, the countries CFA franc zone with fix exchange rate regimes(HZCFA-FIX, and the countries outside CFA franc zone with flexible exchange rate regimes(HZCFA-FLEX. By applying advanced statistical and econometric methods upon internal and external macroeconomic equilibrium conditions, we show that the inflation, the GDP (or the output and the real exchange rate (RER are very volatile in SSA. However, we found out that they are more volatile in the group HZCFA comparatively to the group ZCFA. We also found out that they are higher in the group HZCFA-FIX than the group HZCFA-FLEX. Moreover, we found out that a high instability of the inflation is combined with those of the output and the RER.

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

Effective Exchange Rates in Central and Eastern European Countries: Cyclicality and Relationship with Macroeconomic Fundamentals

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Stavárek Daniel

2015-06-01

Full Text Available This paper examines the evolution of effective exchange rates in nine Central and Eastern European countries in terms of development trends, volatility and cyclicality. Consequently, it provides direct empirical evidence on the nature of the relationship between effective exchange rates and selected macroeconomic fundamentals, addressing a key precondition of numerous exchange rate determination models and theories that attempt to explain the role of exchange rates in the economy. The results suggest that flexible exchange rate arrangements are reflected in both nominal and real effective exchange rates having higher volatility and variability. Furthermore, the results provide mixed evidence in terms of intensity, direction and cyclicality, but show a weak correlation between exchange rates and fundamentals. Sufficiently high coefficients are found only for money supply. Consequently, using fundamentals for the determination of exchange rates and using the exchange rate to explain economic development may be of limited use for the countries analyzed.

Smuggling, non-fundamental uncertainty, and parallel market exchange rate volatility

OpenAIRE

Richard Clay Barnett

2003-01-01

We explore a model where smuggling and a parallel currency market arise, owing to government restrictions that prevent agents from legally holding foreign exchange. Despite such restrictions, agents are able to diversify their savings, holding both domestic and parallel foreign cash, basing their portfolio allocation on current and prospective parallel exchange rates. We attribute movements in parallel rates to non-fundamental uncertainty. The model generates equilibria with both positive and...

Macroeconomic Effects of Nominal Exchange Rate Regimes: New Insights into the Role of Price Dynamics

OpenAIRE

Kollmann, Robert

2004-01-01

This Paper analyses the effects of pegged and floating exchange rates using a two-country dynamic general equilibrium model that is calibrated to the US and a European aggregate. The model assumes shocks to money, productivity and the interest parity condition. It captures the fact that the sharp increase in nominal exchange rate volatility after the abandonment of the Bretton Woods (BW) system was accompanied by a commensurate rise in real exchange rate volatility, but had no pronounced effe...

Exchange rate volatility effects on export competitiveness. Romanian Case

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Anca GHERMAN

2013-09-01

Full Text Available In this paper we determine and analyze the impact of the exchange rate variation over the international trade of Romania. We highlighted the sense of the relationship between exchange rate and exports or imports, but the intensity between the variables and the lags that characterize the interdependency between them. In the context of actual great imbalances in the global economy and other risks (financial, political or social that drive to the decrease in aggregate demand on global level, we consider that external competitivity became one of the key variable for the economic growth in Romania like an integrated process in the European economy.

Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

NARCIS (Netherlands)

S.M. Hammoudeh (Shawkat); Y. Yuan (Yuan); M.J. McAleer (Michael)

2010-01-01

textabstractThis paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct

The American Foreign Exchange Option in Time-Dependent One-Dimensional Diffusion Model for Exchange Rate

International Nuclear Information System (INIS)

Rehman, Nasir; Shashiashvili, Malkhaz

2009-01-01

The classical Garman-Kohlhagen model for the currency exchange assumes that the domestic and foreign currency risk-free interest rates are constant and the exchange rate follows a log-normal diffusion process.In this paper we consider the general case, when exchange rate evolves according to arbitrary one-dimensional diffusion process with local volatility that is the function of time and the current exchange rate and where the domestic and foreign currency risk-free interest rates may be arbitrary continuous functions of time. First non-trivial problem we encounter in time-dependent case is the continuity in time argument of the value function of the American put option and the regularity properties of the optimal exercise boundary. We establish these properties based on systematic use of the monotonicity in volatility for the value functions of the American as well as European options with convex payoffs together with the Dynamic Programming Principle and we obtain certain type of comparison result for the value functions and corresponding exercise boundaries for the American puts with different strikes, maturities and volatilities.Starting from the latter fact that the optimal exercise boundary curve is left continuous with right-hand limits we give a mathematically rigorous and transparent derivation of the significant early exercise premium representation for the value function of the American foreign exchange put option as the sum of the European put option value function and the early exercise premium.The proof essentially relies on the particular property of the stochastic integral with respect to arbitrary continuous semimartingale over the predictable subsets of its zeros. We derive from the latter the nonlinear integral equation for the optimal exercise boundary which can be studied by numerical methods

Fundamental volatility is regime specific

NARCIS (Netherlands)

Arnold, I.J.M.; MacDonald, R.; Vries, de C.G.

2006-01-01

A widely held notion holds that freely floating exchange rates are excessively volatile when judged against fundamentals and when moving from fixed to floating exchange rates. We re-examine the data and conclude that the disparity between the fundamentals and exchange rate volatility is more

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

African Journals Online (AJOL)

2008-10-07

Oct 7, 2008 ... volatility on foreign direct investment (FDI) inflows is important for a developing ... and inflation uncertainty were computed using the GARCH model and the results showed that volatility .... of currency and capital accounts, coupled with stable macroeconomic environment ..... 14.67561 Akaike info criterion.

Volatility modeling for IDR exchange rate through APARCH model with student-t distribution

Science.gov (United States)

Nugroho, Didit Budi; Susanto, Bambang

2017-08-01

The aim of this study is to empirically investigate the performance of APARCH(1,1) volatility model with the Student-t error distribution on five foreign currency selling rates to Indonesian rupiah (IDR), including the Swiss franc (CHF), the Euro (EUR), the British pound (GBP), Japanese yen (JPY), and the US dollar (USD). Six years daily closing rates over the period of January 2010 to December 2016 for a total number of 1722 observations have analysed. The Bayesian inference using the efficient independence chain Metropolis-Hastings and adaptive random walk Metropolis methods in the Markov chain Monte Carlo (MCMC) scheme has been applied to estimate the parameters of model. According to the DIC criterion, this study has found that the APARCH(1,1) model under Student-t distribution is a better fit than the model under normal distribution for any observed rate return series. The 95% highest posterior density interval suggested the APARCH models to model the IDR/JPY and IDR/USD volatilities. In particular, the IDR/JPY and IDR/USD data, respectively, have significant negative and positive leverage effect in the rate returns. Meanwhile, the optimal power coefficient of volatility has been found to be statistically different from 2 in adopting all rate return series, save the IDR/EUR rate return series.

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

OpenAIRE

Cristi Spulbar; Mihai Nitoi

2012-01-01

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 peri...

Time-varying exchange rate pass-through: experiences of some industrial countries

OpenAIRE

Toshitaka Sekine

2006-01-01

This paper estimates exchange rate pass-through of six major industrial countries using a time-varying parameter with stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices (first-stage pass-through) and those of import price movements to consumer prices (second-stage pass-through). The paper finds that both stages of pass-through have declined over time for all the sample countries. The decline in second-stage pass-throu...

The Effect of Exchange Rate Volatility on Turkey’s Agricultural Foreign Trade

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Güngör Karakaş

2017-07-01

Full Text Available In this study, impact of the real effective exchange rate (REER and its volatility (REERV on Turkey's agricultural foreign trade was investigated. 25importantcountries in agricultural trade of Turkey and 1990-2012 periods were examined, and panel data analysis was used in this research. IGARCH model was applied to obtain for the REERV. Influence of the REER and REERV on Turkey's agricultural trade was analyzed whit FMOLS model both individual country and groups panel. According to the results of FMOLS model; It was determined that Turkey agricultural import (7.61% and export (2.24% were increased when the REER was risen about 1%. The agricultural import was decreased 18.83% in case the REERV was increased 1%. On the other hand, when the REERV was increased around 1%, there was no significantly relationship between agricultural export and REERV. As a result, it can be stated that REER and REERV were caused an imbalance on Turkey's agricultural foreign trade. Agricultural producers and industrialists are often adversely affected by the REERV. For these reasons, it is important to take protective measures for them.

Exchange rate risks and their impact upon the energy market

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Abed Al-Zabidi

2007-04-01

Full Text Available The expansion of international business in Slovakia brought not only the opening of markets and expansion of enterprise possibilities but also an increase in the competition and new risks. One of such risks is also the exchange rate risk. The business that realizes a financial transaction exceeding borders of the state or derives his buying or selling prices in Slovak crowns from the foreign currency, is subjected to the exchange rate risks. The exchange rate risks are caused by volatility of exchange courses of Slovak crowns related to foreign currencies. The progress of exchange rates can considerably influence a real result of a transaction negatively; therefore it is important for enterprises to identify possible risks resulting from changes in exchange rates, so they could react accordingly.The proposed article is aimed at the explanation of basic techniques of minimizing exchange rate risks with the use of financial tools available on the financial market.

Estimating long-run equilibrium real exchange rates: short-lived shocks with long-lived impacts on Pakistan.

Science.gov (United States)

Zardad, Asma; Mohsin, Asma; Zaman, Khalid

2013-12-01

The purpose of this study is to investigate the factors that affect real exchange rate volatility for Pakistan through the co-integration and error correction model over a 30-year time period, i.e. between 1980 and 2010. The study employed the autoregressive conditional heteroskedasticity (ARCH), generalized autoregressive conditional heteroskedasticity (GARCH) and Vector Error Correction model (VECM) to estimate the changes in the volatility of real exchange rate series, while an error correction model was used to determine the short-run dynamics of the system. The study is limited to a few variables i.e., productivity differential (i.e., real GDP per capita relative to main trading partner); terms of trade; trade openness and government expenditures in order to manage robust data. The result indicates that real effective exchange rate (REER) has been volatile around its equilibrium level; while, the speed of adjustment is relatively slow. VECM results confirm long run convergence of real exchange rate towards its equilibrium level. Results from ARCH and GARCH estimation shows that real shocks volatility persists, so that shocks die out rather slowly, and lasting misalignment seems to have occurred.

Price volatility, trading volume, and market depth in Asian commodity futures exchanges

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Tanachote Boonvorachote

2016-01-01

Full Text Available This paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1 daily volatility measured by close-to-close returns, (2 non-trading volatility measured by close-to-open returns, and (3 trading volatility measured by open-to-close returns. The impact of trading volume and open interest on price volatility is investigated. Following Bessembinder and Seguin (1993, volume and open interest are divided into expected and unexpected components. The GARCH (1,1 model is employed using expected and unexpected components of trading activity (volume and open interest as explanatory variables. The results show a positive contemporaneous relationship between expected and unexpected trading volume and volatility, while open interest mitigates volatility. Policy makers can use these findings to suggest to investors that trading activity (volume and open interest is a proxy of market information flowing to exchanges, especially unexpected trading activity. New information flowing to exchanges can mostly be noticed in unexpected trading volumes and open interests.

Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options

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Antonie Kotzé

2015-01-01

Full Text Available Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are proposed in order to overcome the shortcomings of the Black-Scholes model that assumes a constant volatility. The Johannesburg Stock Exchange (JSE lists exotic options on its Can-Do platform. Most exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local volatility surface. Dupire derived a mapping from implied volatilities to local volatilities. The JSE uses this mapping in generating the relevant local volatility surfaces and further uses Monte Carlo and Finite Difference methods when pricing exotic options. In this document we discuss various practical issues that influence the successful construction of implied and local volatility surfaces such that pricing engines can be implemented successfully. We focus on arbitrage-free conditions and the choice of calibrating functionals. We illustrate our methodologies by studying the implied and local volatility surfaces of South African equity index and foreign exchange options.

Scaling properties of foreign exchange volatility

NARCIS (Netherlands)

Gençay, R.; Selçuk, F.; Whitcher, B.

2001-01-01

In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology is based on a wavelet multi-scaling approach which decomposes the variance of a time series and the covariance between two time series on a scale by scale basis through the application of a discrete

Extreme-value dependence: An application to exchange rate markets

Science.gov (United States)

Fernandez, Viviana

2007-04-01

Extreme value theory (EVT) focuses on modeling the tail behavior of a loss distribution using only extreme values rather than the whole data set. For a sample of 10 countries with dirty/free float regimes, we investigate whether paired currencies exhibit a pattern of asymptotic dependence. That is, whether an extremely large appreciation or depreciation in the nominal exchange rate of one country might transmit to another. In general, after controlling for volatility clustering and inertia in returns, we do not find evidence of extreme-value dependence between paired exchange rates. However, for asymptotic-independent paired returns, we find that tail dependency of exchange rates is stronger under large appreciations than under large depreciations.

Modeling and estimating the jump risk of exchange rates: Applications to RMB

Science.gov (United States)

Wang, Yiming; Tong, Hanfei

2008-11-01

In this paper we propose a new type of continuous-time stochastic volatility model, SVDJ, for the spot exchange rate of RMB, and other foreign currencies. In the model, we assume that the change of exchange rate can be decomposed into two components. One is the normally small-cope innovation driven by the diffusion motion; the other is a large drop or rise engendered by the Poisson counting process. Furthermore, we develop a MCMC method to estimate our model. Empirical results indicate the significant existence of jumps in the exchange rate. Jump components explain a large proportion of the exchange rate change.

Exchange Rate and International Trade: Case From Indonesian Manufacturing Sector

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Anung Yoga Anindhita

2017-07-01

Full Text Available Exchange rate fluctuation in Floating Exchange Rate Regime is considered to Exchange rate fluctuation in Floating Exchange Rate Regime is considered to have impacts on the international trade through its adjustment to the price and its volatility to the trade risk. This paper is aimed at estimating those impacts on the international trade of manufacturing sector in Indonesia for period 2007 to 2014. To conduct estimation, it uses multiple regression analysis on two models: First, the import of raw-and-auxiliary materials; Second, the export of manufacturing sector. The results show that the exchange rate impacts both work significantly on the import of raw-and-auxiliary materials. The finding implies that, through the import of raw-and-auxiliary materials, manufacturing sector is very susceptible to the shock caused by exchange rate changes. Meanwhile, the export of manufacturing sector is not able to take advantage of the depreciation of the exchange rate due to the lack of competitiveness.DOI: 10.15408/sjie.v6i2.5210

Understanding Interest Rate Volatility

DEFF Research Database (Denmark)

Volker, Desi

This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty...... and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochastic Volatility" (co-authored with Sebastian Fux), investigates the ability of the class of regime switching models...... with and without stochastic volatility to capture the main stylized features of U.S. interest rates. The third essay, \\Variance Risk Premia in the Interest Rate Swap Market", investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk. The essays...

An Empirical Assessment of the Real Exchange Rate and Poverty in Nigeria

OpenAIRE

Ben. U. Omojimite; Victor E. Oriavwote

2012-01-01

This paper investigated the influence of the real exchange rate on poverty within the framework of a dependent economy model. Using data covering 1980 to 2010, the result of a Vector Error Correction model (VECM) showed that the volatility of the real exchange rate has significant influence on the level of poverty in Nigeria. Thus, government policies that targets real exchange rate could play significant role in reducing the level of poverty in Nigeria, particularly if supported by basic ins...

Exchange rate determination and the flaws of mainstream monetary theory

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HEINER FLASSBECK

2018-03-01

Full Text Available ABSTRACT Developing countries in general need flexibility and a sufficient number of instruments to prevent excessive volatility. Evidence does not support the orthodox belief that, with free floating, international financial markets will perform that role by smoothly adjusting exchange rates to their “equilibrium” level. In reality, exchange rates under a floating regime have proved to be highly unstable, leading to long spells of misalignment. The experience with hard pegs has not been satisfactory either: the exchange rate could not be corrected in cases of external shocks or misalignment. Given this experience, “intermediate” regimes are preferable when there is instability in international financial markets.

ECONOMETRIC APPROACH TO DIFFERENCE EQUATIONS MODELING OF EXCHANGE RATES CHANGES

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Josip Arnerić

2010-12-01

Full Text Available Time series models that are commonly used in econometric modeling are autoregressive stochastic linear models (AR and models of moving averages (MA. Mentioned models by their structure are actually stochastic difference equations. Therefore, the objective of this paper is to estimate difference equations containing stochastic (random component. Estimated models of time series will be used to forecast observed data in the future. Namely, solutions of difference equations are closely related to conditions of stationary time series models. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modeling time varying volatility are GARCH type models and their variants. However, GARCH models will not be analyzed because the purpose of this research is to predict the value of the exchange rate in the levels within conditional mean equation and to determine whether the observed variable has a stable or explosive time path. Based on the estimated difference equation it will be examined whether Croatia is implementing a stable policy of exchange rates.

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

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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.

Metas de inflação e volatilidade cambial: uma análise da experiência internacional com PAINEL-GARCH Inflation targeting and exchange rate volatility: an analysis of international experience with PANEL-GARCH

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Marcos Rocha

2011-08-01

Full Text Available A adoção de regimes de metas inflacionárias tem como corolário o funcionamento de um regime de câmbio flutuante. Esta conexão leva alguns analistas a concluírem que um dos custos da implantação de metas de inflação é o aumento da volatilidade do câmbio. Este trabalho segue a sugestão de Edwards (2006 de que a avaliação da volatilidade cambial dentro do regime de metas deve ser feita controlando-se os efeitos do regime cambial vigente. A análise, portanto, dever ser da volatilidade condicional. Este artigo analisa a volatilidade condicional estimando um modelo de PAINEL-GARCH exponencial para 20 países que oficialmente adotaram o regime de metas. Os diferentes regimes cambiais são contemplados na explicação da volatilidade como variáveis de controle, seguindo a classificação acurada de regimes cambiais proposta por Reinhart e Rogoff (2002. Assim, os resultados contrariam muitas ideias cristalizadas por parte da literatura. No caso dos países emergentes, diferentemente do resultado para países desenvolvidos, foi encontrado que a adoção do regime de metas de inflação, Ceteris paribus, reduz a volatilidade condicional da taxa de câmbio real. Apesar de aparentemente desconcertante a princípio, o resultado segue uma lógica que é desenvolvida no artigo e que, em última instância, sugere problemas de credibilidade para o comportamento singular da volatilidade para esses países. Dentro desse contexto, é destacada a conexão entre estabilidade, fear of floating e especificidades dos países emergentes, como a dimensão do pass-trough cambial sobre os preços.The inflation targeting regimes adoption has as its corollary the operation of an exchange rate floating regime. This link makes some analysts to conclude that one of the costs of the inflation targeting implementation is the increase in the exchange rate volatility. This work follows the suggestion of Edwards (2006 that the evaluation of the exchange volatility

Literature study of volatile radioiodine release from ion-exchange resins during transportation

International Nuclear Information System (INIS)

Wren, J.C.

1991-02-01

A transport package is currently being developed by Ontario Hydro to carry used filters and ion-exchange columns from the Pickering and Darlington Nuclear Generating Stations to the Bruce Nuclear Generating Station for disposal. The main reason that the transport package must be licensed is the possibility that volatile radionuclides being transported in the package might be released during transport accidents. Of particular concern is the iodine that might become volatile due to the degradation of the ion exchange resin. This report reviews the literature on the thermal and radiolytic degradation of ion exchange resins and provides calculations to estimate the fraction of volatile iodine as a function of time under postulated accident conditions

Common factors and the exchange rate: results from the Brazilian case

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Wilson Rafael de Oliveira Felício

2014-03-01

Full Text Available This paper studies the usefulness of factor models in explaining the dynamics of the exchange rate Real / Dollar from January 1999 to August 2011. The paper verifies that the inclusion of factors embedded on the common movements of exchange rates of a set of countries significantly improves the in-sample and out-of-sample predictive power of the models comprising only macroeconomic fundamentals commonly used in the literature to forecast the exchange rate. The paper also links the information contained in the factors to global shocks like the demand for dollars - a "dollar effect", volatility and liquidity of global financial markets.

AN ANALYSIS OF MACRO- ECONOMIC DETERMINANTS OF EXCHANGE RATE VOLATILITY IN INDIA

OpenAIRE

Dr. S. Poornima; M. Ganeshwari

2016-01-01

The price of one currency in terms of another currency i.e., exchange rate is a very important variable for an open economy in the global market, because it affects the overall economic performance and growth of the economy. So, the relationship between the related macro-economic factor and exchange rate causing fluctuation in the value of the former carries a high degree of impact for any open economy. This paper empirically investigates the impact between macro-economic factors that affect ...

Forecasting Tehran stock exchange volatility; Markov switching GARCH approach

Science.gov (United States)

Abounoori, Esmaiel; Elmi, Zahra (Mila); Nademi, Younes

2016-03-01

This paper evaluates several GARCH models regarding their ability to forecast volatility in Tehran Stock Exchange (TSE). These include GARCH models with both Gaussian and fat-tailed residual conditional distribution, concerning their ability to describe and forecast volatility from 1-day to 22-day horizon. Results indicate that AR(2)-MRSGARCH-GED model outperforms other models at one-day horizon. Also, the AR(2)-MRSGARCH-GED as well as AR(2)-MRSGARCH-t models outperform other models at 5-day horizon. In 10 day horizon, three models of AR(2)-MRSGARCH outperform other models. Concerning 22 day forecast horizon, results indicate no differences between MRSGARCH models with that of standard GARCH models. Regarding Risk management out-of-sample evaluation (95% VaR), a few models seem to provide reasonable and accurate VaR estimates at 1-day horizon, with a coverage rate close to the nominal level. According to the risk management loss functions, there is not a uniformly most accurate model.

The Effect of Exchange Rate Variability on U.S. Shareholder Wealth

NARCIS (Netherlands)

Müller, Aline; Verschoor, W.F.C.

2009-01-01

We examine the relationship between financial crisis exchange rate variability and equity return volatility for US multinationals. Empirical analysis of the major financial crises of the last decades reveals that stock return variability increases significantly in the aftermath of a crisis, even

Analysis of Changes in the Relationship between the KRW/USD Exchange rate and JPY/USD Exchange Rate Before and After the Economic Crisis

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Chae-Shick Chung

2000-03-01

Full Text Available The purpose of this paper is to investigate the relationship between KRW/USD and JPY/USD exchange rates dividing the sample period into thress sub-periods: pre-crisis, and post-crisis. During the pre-crisis period, JPY/USD affects KRW/USD asymmetrically: the latter moved very closely with the former's depreciation but opposite is not the case. However, we cannot find such asymmetric relation during other periods. We also estimate KRW/USD volatilities using various GARCH models and find that economic hypothesis of JPY/USD affects volatilities of KRW/USD are firmly reject over all periods.

Volatility spillover between crude oil and exchange rate: A copula-CARR approach

Science.gov (United States)

Pu, Y. J.; Guo, M. Y.

2017-11-01

Oil provides a powerful impetus for modern society's production and life. The influences of oil price fluctuations on socio-economic development are obvious, and it draws more attention from scholars. However, the distribution of oil is highly centralized, which leads to the vast majority of oil trading through foreign trade. As a result, exchange rate plays an important role in the oil business. Study on the relationship between exchange rate and crude oil gradually becomes a hot research topic in recent years. In this paper, we use copula and CARR model to study correlation structure and relationship between crude oil price and exchange rate. We establish CARR models as marginal models and use five copulas which are Gaussian Copula, Student-t Copula, Gumbel Copula, Clayton Copula and Frank Copula to study the correlation structure between NYMEX crude oil price range and U. S. Dollar Index range. Furthermore, we use Copula-CARR model with structural breaks to detect the change points in the correlation structure between NYMEX crude oil price range and U. S. Dollar Index range. Empirical results show that the change points are closely related to the actual economic events.

Exchange Rate Exposure and Its Determinants: A Firm and Industry Analysis of the UK Companies

OpenAIRE

He, Jiao

2010-01-01

This study assesses whether the unexpected exchange rate movements volatilize the UK firms’ stock return based on the firm- and industry-level analysis, and examines whether the magnitude of the exchange rate exposure is determined by the firm-specific factors. Using a sample of 244 UK companies listed in the FTSE 350 during the test period between December 1999 and December 2009, the result documents that the exchange rate fluctuation does affect the firm value. Among the five introduced ex...

Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange

Science.gov (United States)

Takaishi, Tetsuya

2018-06-01

The realized stochastic volatility model has been introduced to estimate more accurate volatility by using both daily returns and realized volatility. The main advantage of the model is that no special bias-correction factor for the realized volatility is required a priori. Instead, the model introduces a bias-correction parameter responsible for the bias hidden in realized volatility. We empirically investigate the bias-correction parameter for realized volatilities calculated at various sampling frequencies for six stocks on the Tokyo Stock Exchange, and then show that the dynamic behavior of the bias-correction parameter as a function of sampling frequency is qualitatively similar to that of the Hansen-Lunde bias-correction factor although their values are substantially different. Under the stochastic diffusion assumption of the return dynamics, we investigate the accuracy of estimated volatilities by examining the standardized returns. We find that while the moments of the standardized returns from low-frequency realized volatilities are consistent with the expectation from the Gaussian variables, the deviation from the expectation becomes considerably large at high frequencies. This indicates that the realized stochastic volatility model itself cannot completely remove bias at high frequencies.

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock and Bond Markets

DEFF Research Database (Denmark)

Christensen, Bent Jesper

We study the forecasting of future realized volatility in the stock, bond, and foreign exchange markets, as well as the continuous sample path and jump components of this, from variables in the information set, including implied volatility backed out from option prices. Recent nonparametric...

Alarming of exchange rate crisis: A risk management approach

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Da Zhao

2016-05-01

Full Text Available Recently, with increasing volatility of foreign exchange rate, risk management becomes more and more important not only for multinational companies and individuals but also for central governments. This paper attempts to build an econometrics model so as to forecast and manage risks in foreign exchange market, especially during the eve of turbulent periods. By following McNeil and Frey’s (2000 two stage approach called conditional EVT to estimate dynamic VaR commonly used in stock and insurance markets, we extend it by applying a more general asymmetric ARMA-GARCH model to analyze daily foreign exchange dollar-denominated trading data from four countries of different development levels across Asia and Europe for a period of more than 10 years from January 03, 2005 to May 29, 2015, which is certainly representative of global markets. Conventionally, different kinds of backtesting methods are implemented ultimately to evaluate how well the model behaves. Inspiringly, test results show that by taking several specific characteristics (including fat-tails, asymmetry and long-range dependence of the foreign exchange market return data into consideration, the violation ratio of out-of-sample data can be forecasted very well for both fixed and flexible foreign exchange regimes. Moreover, all of the violations are evenly distributed along the whole period which indicates another favorable property of our model. Meanwhile, we find evidence of asymmetry volatility in all of the studied foreign exchange markets even though the magnitudes of the most of them are weak

The Effects of Oil Price Changes And Exchange Rate Volatility On Unemployment: Evidence From Malaysia

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Mohd Shahidan Shaari

2016-01-01

Full Text Available The study aims to examine the effects of oil price and exchange rate on unemployment in Malaysia. The empirical analysis commence by analyzing the time series property of data. The Johansen VAR-based co-integration technique was applied to examine the long run relationship between exchange rate, oil price and unemployment and found the long run relationship does exist. The vector error correction model was performed to check the short run dynamics and found that the short run dynamics are influenced by the estimated long run equilibrium. Granger causality was done and found that oil price does not affect unemployment but exchange rate has an influence on unemployment. Therefore, putting the exchange rate under control should be implemented to control unemployment.

Volatility transmission in emerging European foreign exchange markets

Czech Academy of Sciences Publication Activity Database

Bubák, V.; Kočenda, Evžen; Žikeš, F.

2011-01-01

Roč. 35, č. 11 (2011), s. 2829-2841 ISSN 0378-4266 R&D Projects: GA ČR(CZ) GAP403/11/0020; GA MŠk LC542 Institutional research plan: CEZ:MSM0021620846 Keywords : foreign exchange markets * volatility * spillovers Subject RIV: AH - Economics Impact factor: 2.600, year: 2011

VOLATILIZATION RATES FROM WATER TO INDOOR AIR ...

Science.gov (United States)

Contaminated water can lead to volatilization of chemicals to residential indoor air. Previous research has focused on only one source (shower stalls) and has been limited to chemicals in which gas-phase resistance to mass transfer is of marginal significance. As a result, attempts to extrapolate chemical emissions from high-volatility chemicals to lower volatility chemicals, or to sources other than showers, have been difficult or impossible. This study involved the development of two-phase, dynamic mass balance models for estimating chemical emissions from washing machines, dishwashers, and bathtubs. An existing model was adopted for showers only. Each model required the use of source- and chemical-specific mass transfer coefficients. Air exchange (ventilation) rates were required for dishwashers and washing machines as well. These parameters were estimated based on a series of 113 experiments involving 5 tracer chemicals (acetone, ethyl acetate, toluene, ethylbenzene, and cyclohexane) and 4 sources (showers, bathtubs, washing machines, and dishwashers). Each set of experiments led to the determination of chemical stripping efficiencies and mass transfer coefficients (overall, liquid-phase, gas-phase), and to an assessment of the importance of gas- phase resistance to mass transfer. Stripping efficiencies ranged from 6.3% to 80% for showers, 2.6% to 69% for bathtubs, 18% to 100% for dishwashers, and 3.8% to 100% for washing machines. Acetone and cyclohexane al

A NEW LOOK AT THE TRADE VOLUME EFFECTS OF REAL EXCHANGE RATE RISK

OpenAIRE

Wang, Kai-Li; Barrett, Christopher B.

2002-01-01

This paper takes a new empirical look at the longstanding question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral level, monthly data and a multivariate GARCH-M estimator with corrections for leptokurtic errors that is consistent with the core hypothesis that traders' forward contracting behavior might be affected by exchange rate risk. We find that real exch...

Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case

International Nuclear Information System (INIS)

Munoz, M. Pilar; Dickey, David A.

2009-01-01

The objective of this paper is to investigate the relationships between Spanish electricity spot prices and the US dollar/Euro (USD/Euro) exchange rate during the period 2005-2007, taking into account the study of the association between dollar and oil prices, in order to better understand the evolution of the former over time. The first finding in this study is that Spanish electricity spots prices, the USD/Euro exchange rate and oil prices are cointegrated; therefore there is a long-run equilibrium relationship between the three variables. Short-run relationships have been detected between oil prices and Spanish electricity prices and USD/Euro exchange rate in the sense that Spanish electricity prices and USD/Euro exchange rate are affected by oil prices in the short run. There is a transmission of volatility between USD/Euro exchange rate and oil prices to Spanish electricity prices; so although Spanish electricity prices are not affected in level by the movements of USD/Euro exchange rate, they are in volatility. In this kind of scenario the conclusions confirm that for countries so dependent on external causes as Spain, one possible solution for guarantying the energy security would be the promotion of the renewable energies. Therefore we cannot ignore the impact in the internal expenses of the cost of installation and generation of green energies so there must be a balance between the increase in renewables and the reasonable market price of the electricity. (author)

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

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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.

Bidirectional exchange of biogenic volatiles with vegetation: emission sources, reactions, breakdown and deposition

Science.gov (United States)

Niinemets, Ülo; Fares, Silvano; Harley, Peter; Jardine, Kolby J.

2014-01-01

Biogenic volatile organic compound (BVOC) emissions are widely modeled as inputs to atmospheric chemistry simulations. However, BVOC may interact with cellular structures and neighboring leaves in a complex manner during volatile diffusion from the sites of release to leaf boundary layer and during turbulent transport to the atmospheric boundary layer. Furthermore, recent observations demonstrate that the BVOC emissions are bidirectional, and uptake and deposition of BVOC and their oxidation products are the rule rather than the exception. This review summarizes current knowledge of within-leaf reactions of synthesized volatiles with reactive oxygen species (ROS), uptake, deposition and storage of volatiles and their oxidation products as driven by adsorption on leaf surface and solubilization and enzymatic detoxification inside leaves. The available evidence indicates that due to reactions with ROS and enzymatic metabolism, the BVOC gross production rates are much larger than previously thought. The degree to which volatiles react within leaves and can be potentially taken up by vegetation depends on compound reactivity, physicochemical characteristics, as well as their participation in leaf metabolism. We argue that future models should be based on the concept of bidirectional BVOC exchange and consider modification of BVOC sink/source strengths by within-leaf metabolism and storage. PMID:24635661

Exchange rate policy

Directory of Open Access Journals (Sweden)

Plačkov Slađana

2013-01-01

Full Text Available Small oscillations of exchange rate certainly affect the loss of confidence in the currency (Serbian dinar, CSD and because of the shallow market even the smallest change in the supply and demand leads to a shift in exchange rate and brings uncertainty. Some economists suggest that the course should be linked to inflation and thus ensure predictable and stable exchange rates. Real exchange rate or slightly depressed exchange rate will encourage the competitiveness of exporters and perhaps ensure the development of new production lines which, in terms of overvalued exchange rate, had no economic justification. Fixed exchange rate will bring lower interest rates, lower risk and lower business uncertainty (uncertainty avoidance, but Serbia will also reduce foreign exchange reserves by following this trend. On the other hand, a completely free exchange rate, would lead to a (real fall of Serbian currency, which in a certain period would lead to a significant increase in exports, but the consequences for businessmen and citizens with loans pegged to the euro exchange rate, would be disastrous. We will pay special attention to the depreciation of the exchange rate, as it is generally favorable to the export competitiveness of Serbia and, on the other hand, it leads to an increase in debt servicing costs of the government as well as of the private sector. Oscillations of the dinar exchange rate, appreciation and depreciation, sometimes have disastrous consequences on the economy, investors, imports and exports. In subsequent work, we will observe the movement of the dinar exchange rate in Serbia, in the time interval 2009-2012, in order to strike a balance and maintain economic equilibrium. A movement of foreign currencies against the local currency is controlled in the foreign exchange market, so in case economic interests require, The National Bank of Serbia (NBS, on the basis of arbitrary criteria, can intervene in the market.

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

NARCIS (Netherlands)

S.M. Hammoudeh (Shawkat); Y. Yuan (Yuan); M.J. McAleer (Michael); M.A. Thompson (Mark)

2009-01-01

textabstractThis study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for

Stationarity test with a direct test for heteroskedasticity in exchange rate forecasting models

Science.gov (United States)

Khin, Aye Aye; Chau, Wong Hong; Seong, Lim Chee; Bin, Raymond Ling Leh; Teng, Kevin Low Lock

2017-05-01

Global economic has been decreasing in the recent years, manifested by the greater exchange rates volatility on international commodity market. This study attempts to analyze some prominent exchange rate forecasting models on Malaysian commodity trading: univariate ARIMA, ARCH and GARCH models in conjunction with stationarity test on residual diagnosis direct testing of heteroskedasticity. All forecasting models utilized the monthly data from 1990 to 2015. Given a total of 312 observations, the data used to forecast both short-term and long-term exchange rate. The forecasting power statistics suggested that the forecasting performance of ARIMA (1, 1, 1) model is more efficient than the ARCH (1) and GARCH (1, 1) models. For ex-post forecast, exchange rate was increased from RM 3.50 per USD in January 2015 to RM 4.47 per USD in December 2015 based on the baseline data. For short-term ex-ante forecast, the analysis results indicate a decrease in exchange rate on 2016 June (RM 4.27 per USD) as compared with 2015 December. A more appropriate forecasting method of exchange rate is vital to aid the decision-making process and planning on the sustainable commodities' production in the world economy.

MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA

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OSAZEE GODWIN OMOROKUNWA

2014-10-01

Full Text Available The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.

Extracting volatility signal using maximum a posteriori estimation

Science.gov (United States)

Neto, David

2016-11-01

This paper outlines a methodology to estimate a denoised volatility signal for foreign exchange rates using a hidden Markov model (HMM). For this purpose a maximum a posteriori (MAP) estimation is performed. A double exponential prior is used for the state variable (the log-volatility) in order to allow sharp jumps in realizations and then log-returns marginal distributions with heavy tails. We consider two routes to choose the regularization and we compare our MAP estimate to realized volatility measure for three exchange rates.

Pricing Volatility Referenced Assets

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Alan De Genaro Dario

2006-12-01

Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.

Trading Mechanisms, Return’s Volatility, and Efficiency in the Casablance Stock Exchange

Directory of Open Access Journals (Sweden)

El Mehdi Ferrouhi

2013-07-01

Full Text Available Normal 0 false false false EN-US X-NONE X-NONE This paper studies the impact of the stock market continuity on the returns volatility and on the market efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanism used is the continuous market which is preceded by a call market pre opening session. Results obtained concerning return volatility and efficiency under the two trading mechanisms show that the continuous market returns are more volatile than the call market returns and 50% of stocks studied show independence between variations.   Keywords: Trading mechanism, microstructure, call market, continuous market, efficiency, volatility

Does Interest rate Exposure explain the Low-Volatility Anomaly?

NARCIS (Netherlands)

Driessen, Joost; Kuiper, Ivo; Beilo, R.

We show that part of the outperformance of low-volatility stocks can be explained by a premium for interest rate exposure. Low-volatility stock portfolios have negative exposure to interest rates, whereas the more volatile stocks have positive exposure. Incorporating an interest rate premium

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

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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.

Interest Rate Rules, Exchange Market Pressure, and Successful Exchange Rate Management

NARCIS (Netherlands)

Klaassen, F.; Mavromatis, K.

2016-01-01

Central banks with an exchange rate objective set the interest rate in response to what they call ''pressure.'' Instead, existing interest rate rules rely on the exchange rate minus its target. To stay closer to actual policy, we introduce a rule that uses exchange market pressure (EMP), the

Talking heads : the effects of ECB statements on the euro-dollar exchange rate

NARCIS (Netherlands)

Jansen, DJ; De Haan, J

This paper studies the reaction of the conditional mean and volatility of the euro-dollar exchange rate to statements by European Central Bank and national central bank officials. We focus on comments on monetary policy and the external value of the euro. We find that the Bundesbank has dominated

Understanding Interest Rate Volatility

OpenAIRE

Volker, Desi

2016-01-01

This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochast...

Effects of the Trilemma Policies on Inflation, Growth and Volatility in Bulgaria

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Yu HSING

2012-04-01

Full Text Available This paper finds evidence of the trilemma for Bulgaria, suggesting that exchange rate stability, monetary independence and free capital mobility are binding and constrained. The policy combination of exchange rate stability and monetary independence has been prevalent. More exchange rate stability increases the growth rate of real GDP whereas more monetary independence or free capital mobility reduces the growth rate. The inflation rate, inflation volatility and output volatility are not affected by either one of the three trilemma policies.

Intertemporal Risk-Return Trade-off in Foreign Exchange Rates

OpenAIRE

Christiansen, Charlotte

2010-01-01

We investigate the intertemporal risk-return trade-off of foreign ex-change (FX) rates for ten currencies quoted against the USD. For each currency,we use three risk measures simultaneously that pertain to that currency; its re-alized volatility, its realized skewness, and its value-at-risk. We apply monthlyFX excess returns and monthly FX risk measures calculated from daily ob-servations. We find that there is a positive and signi…cant contemporaneousrisk-return trade-off for most currencies...

Searching for long-range dependence in real effective exchange rate: towards parity?

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André M. Marques

2015-12-01

Full Text Available Abstract After the widespread adoption of flexible exchange rate regime since 1973 the volatility of the exchange rate has increased, as a consequence of greater trade openness and financial integration. As a result, it has become difficult to find evidence of the purchasing power parity hypothesis (PPP. This study investigates the possibility of a fall in the persistence of the real exchange rate as a consequence of the financial and commercial integration by employing monthly real effective exchange rate dataset provided by the International Monetary Fund (IMF. Beginning with an exploratory data analysis in the frequency domain, the fractional coefficient d was estimated employing the bias-reduced estimator on a sample of 20 countries over the period ranging from 1975 to 2011. As the main novelty, this study applies a bias-reduced log-periodogram regression estimator instead of the traditional method proposed by GPH which eliminates the first and higher orders biases by a data-dependent plug-in method for selecting the number of frequencies to minimize asymptotic mean-squared error (MSE. Additionally, this study also estimates a moving window of fifteen years to observe the path of the fractional coefficient in each country. No evidence was found of a statistically significant change in the persistence of the real exchange rate.

The National Bank of Ukraine Communication Strategy Optimization within the Framework of Impact on Exchange Rate Expectations of Economic Agents

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Roksolana Holub

2017-09-01

Full Text Available An important challenge in terms of smoothing excessive exchange rate volatility under the conditions of flexible exchange rate arrangement is optimization of the communication strategy of the country’s monetary regulator. Over the past two decades, communication (information support has become an increasingly important aspect of monetary policy. Communication enables influence of the volatility of financial markets, improvement of the predictability of monetary policy, and helps to achieve macroeconomic objectives. Nevertheless, as of today, consensus on the issue into what the optimal strategy of the central bank communication is has not been reached, either in Ukraine, nor in developed countries yet. Considering the abovementioned, the methodical approaches to improve the central bank’s communication strategies, based on the use of its verbal interventions in the context of smoothing out excessive cyclical volatility of exchange rates of the national currency, are determined in this article. It is suggested to consider the growth of the factor “information signal/information noise” as a criterion of the central bank’s optimal communication strategy. It is proved that the monetary regulator’s main task should be the continual provision of information concerning a fundamentally justified level of the exchange rate and the level of deviation of the actual rate of the national currency from its fundamental-equilibrium level, as of a given time, to the national foreign exchange market participants. The methodological approach to the improvement of information support of forecasting fundamentally specified value of the national currency is outlined.

Field observations of volatile organic compound (VOC) exchange in red oaks

Science.gov (United States)

Cappellin, Luca; Algarra Alarcon, Alberto; Herdlinger-Blatt, Irina; Sanchez, Juaquin; Biasioli, Franco; Martin, Scot T.; Loreto, Francesco; McKinney, Karena A.

2017-03-01

Volatile organic compounds (VOCs) emitted by forests strongly affect the chemical composition of the atmosphere. While the emission of isoprenoids has been largely characterized, forests also exchange many oxygenated VOCs (oVOCs), including methanol, acetone, methyl ethyl ketone (MEK), and acetaldehyde, which are less well understood. We monitored total branch-level exchange of VOCs of a strong isoprene emitter (Quercus rubra L.) in a mixed forest in New England, where canopy-level fluxes of VOCs had been previously measured. We report daily exchange of several oVOCs and investigated unknown sources and sinks, finding several novel insights. In particular, we found that emission of MEK is linked to uptake of methyl vinyl ketone (MVK), a product of isoprene oxidation. The link was confirmed by corollary experiments proving in vivo detoxification of MVK, which is harmful to plants. Comparison of MEK, MVK, and isoprene fluxes provided an indirect indication of within-plant isoprene oxidation. Furthermore, besides confirming bidirectional exchange of acetaldehyde, we also report for the first time direct evidence of benzaldehyde bidirectional exchange in forest plants. Net emission or deposition of benzaldehyde was found in different periods of measurements, indicating an unknown foliar sink that may influence atmospheric concentrations. Other VOCs, including methanol, acetone, and monoterpenes, showed clear daily emission trends but no deposition. Measured VOC emission and deposition rates were generally consistent with their ecosystem-scale flux measurements at a nearby site.

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...... the state of the market is not abnormally volatile. Our results are consistent with the notion that illiquidity arises when traders fear speculative pressure against the smaller currency and confirms the asymmetry hypothesis of our theoretical model....

The Effects Of Asymmetric Transmission Of Exchange Rate On Inflation In Iran: Application Of Threshold Models

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Naghdi Yazdan

2015-08-01

Full Text Available Given the recent fluctuation in the exchange rate and the presence of several factors such as the various economy-political sanctions (mainly embargos on oil and banking, extreme volatility in different economic fields, and consequently the devaluation of national and public procurement -A landmark that is emanating from exchange rate fluctuation - two points should be noted: First, it is essential to review the effect of exchange rate fluctuation on macro economic variables such as inflation and to provide appropriate policies. Second, the existence of this condition provides the chance to study the relation between exchange rate and inflation in a non-linear and asymmetric method. Hence, the present study seeks to use TAR model and, on the basis of monthly time series data over the period March 2002 to March 2014, to analyze the cross-asymmetric and non-linear exchange rate on consumer price index (CPI in Iran. The results also show the presence of an asymmetric long-term relationship between these variables (exchange rate and CPI. Also, in the Iranian economy, the effect of negative shocks of exchange rate on inflation is more sustainable than the one from positive shocks.

Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

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Taly I

2015-09-01

Full Text Available The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1 model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

Forecasting Volatility of USD/MUR Exchange Rate using a GARCH ...

African Journals Online (AJOL)

that both distributions may forecast quite well with a slight advantage to the. GARCH(1 ... Financial time series tend to exhibit certain characteristic features such as volatility ... Heteroscedasticity-adjusted MAE to evaluate the forecasts. Chuanga et .... the Student's-t distribution or the GED with the following probability density.

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.

The Influences of the Exchange Rate on the Performance of Romanian Trade

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Gabriela Dobrotă

2016-01-01

Full Text Available The unprecedented development of international trade relations has generated the possibility of obtaining a significant part of the GDP of the participating countries in foreign trade. As a result, the issue of competitiveness in international economy has become a major concern to authorities. In the category of factors which are influencing the competitiveness level is registered the volatility of the exchange rate. In this paper there were analyzed the aspects regarding the evolution of Romania's foreign trade and exchange rate, in the context of monetary policy measures. The conclusion is that the development plan of the national economy is determined by the action of a complex of economic, social and political factors, but measures taken by the monetary authorities in relation to the regime of exchange may generate visible effects at this level and thus to the volume of foreign trade relations.

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 –...

Automated exchange transfusion and exchange rate.

Science.gov (United States)

Funato, M; Shimada, S; Tamai, H; Taki, H; Yoshioka, Y

1989-10-01

An automated blood exchange transfusion (BET) with a two-site technique has been devised by Goldmann et al and by us, using an infusion pump. With this method, we successfully performed exchange transfusions 189 times in the past four years on 110 infants with birth weights ranging from 530 g to 4,000 g. The exchange rate by the automated method was compared with the rate by Diamond's method. Serum bilirubin (SB) levels before and after BET and the maximal SB rebound within 24 hours after BET were: 21.6 +/- 2.4, 11.5 +/- 2.2, and 15.0 +/- 1.5 mg/dl in the automated method, and 22.0 +/- 2.9, 11.2 +/- 2.5, and 17.7 +/- 3.2 mg/dl in Diamond's method, respectively. The result showed that the maximal rebound of the SB level within 24 hours after BET was significantly lower in the automated method than in Diamond's method (p less than 0.01), though SB levels before and after BET were not significantly different between the two methods. The exchange rate was also measured by means of staining the fetal red cells (F cells) both in the automated method and in Diamond's method, and comparing them. The exchange rate of F cells in Diamond's method went down along the theoretical exchange curve proposed by Diamond, while the rate in the automated method was significantly better than in Diamond's, especially in the early stage of BET (p less than 0.01). We believe that the use of this automated method may give better results than Diamond's method in the rate of exchange, because this method is performed with a two-site technique using a peripheral artery and vein.

The restoration of the gold standard after the US Civil War : A volatility analysis

NARCIS (Netherlands)

Meulemann, Max; Uebele, Martin; Wilfling, Bernd

This paper presents a new view on the gold price of greenbacks during and after the American Civil War by analyzing exchange-rate volatility rather than exchange-rate levels. Our empirical investigation detects regimes of high and low volatility alternating in a way that is consistent with a

Direct observations of Biogenic Volatile Organic Compound (BVOC) Air-Sea Exchange in the remote North Atlantic from the High-Wind Gas-Exchange Study (HiWinGS)

Science.gov (United States)

Kim, M.; Yang, M. X.; Blomquist, B.; Huebert, B. J.; Bertram, T. H.

2014-12-01

Biogenic Volatile Organic Compounds (BVOCs) are reactive trace gases that impact both chemistry and climate by regulating oxidant loadings, determining secondary organic aerosol production rates as well as altering particle hygroscopicity. While continental BVOC exchange rates are well studied, global marine flux estimates are poorly constrained. In Fall 2013, a chemical-ionization time-of-flight mass spectrometer (CI-ToF-MS) utilizing benzene cations was deployed as part of the High Wind Gas Exchange Study (HiWinGs) to quantify monoterpenes, isoprene and dimethylsulfide fluxes in the remote North Atlantic. Dimethylsulfide measurements are in strong agreement with those determined by the University of Hawaii's atmospheric pressure ionization mass-spectrometer. In the remote marine boundary layer, positive monoterpene fluxes (i.e. emissions) were observed while isoprene levels rarely exceeded the detection limit.

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

OpenAIRE

Aktham I. Maghyereh; Haitham A. Al Zoubi; Haitham Nobanee

2007-01-01

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

Production and Trade Situation in Iran and USA and Impact of Exchange rate Volatility on the Exports

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M. Salarpour

2015-05-01

Full Text Available In the present study, pistachio production and trade and influential factors on its exports in Iran and the USA are compared the the .Using the annual data from 1970 to 2011; this study aimed to analyze the effects of pistachio price and the effects of food security. Moreover, the relationship between exchange rate and pistachio export in the Iranian economy was analyzed through examining a non linear relation between the two factors. Therefore, the hypothesis validation upon nonlinearity relationship between exchange rate and pistachio export was analyzed using smooth transition autoregressive model (STAR. The results of smooth transition model (STAR show that there is a nonlinear Granger causality between exchange rate and pistachio export and vice versa. It is therefore recommended ,in order to determine the threshold level of potential benefits of pistachio exports, the existence of the nonlinear relationship between the dynamic exchange rate and pistachio exports should be considered. Furthermore, in order to maintain market share in the international level, understanding target markets of export and achieving complete information upon the position of the major competitors in the production and trade of Pistachio is essential.

Inflation, Exchange Rates and the Conceptual Framework: The FASB’s Debates from 1973 to 1984

NARCIS (Netherlands)

Detzen, D.

2014-01-01

In this article, I explain how two economic forces of the 1970s and 1980s, volatile exchange rates and inflation, provided a constant and compelling backdrop to the FASB’s debates on its conceptual framework. While it has been acknowledged that rising prices contributed to a move towards greater

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 ...

Modeling and forecasting exchange rate volatility in time-frequency domain

Czech Academy of Sciences Publication Activity Database

Baruník, Jozef; Křehlík, Tomáš; Vácha, Lukáš

2016-01-01

Roč. 251, č. 1 (2016), s. 329-340 ISSN 0377-2217 R&D Projects: GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : Realized GARCH * Wavelet decomposition * Jumps * Multi-period-ahead volatility forecasting Subject RIV: AH - Economics Impact factor: 3.297, year: 2016 http://library.utia.cas.cz/separaty/2016/E/barunik-0456184.pdf

Essays in applied macroeconomics: Asymmetric price adjustment, exchange rate and treatment effect

Science.gov (United States)

Gu, Jingping

This dissertation consists of three essays. Chapter II examines the possible asymmetric response of gasoline prices to crude oil price changes using an error correction model with GARCH errors. Recent papers have looked at this issue. Some of these papers estimate a form of error correction model, but none of them accounts for autoregressive heteroskedasticity in estimation and testing for asymmetry and none of them takes the response of crude oil price into consideration. We find that time-varying volatility of gasoline price disturbances is an important feature of the data, and when we allow for asymmetric GARCH errors and investigate the system wide impulse response function, we find evidence of asymmetric adjustment to crude oil price changes in weekly retail gasoline prices. Chapter III discusses the relationship between fiscal deficit and exchange rate. Economic theory predicts that fiscal deficits can significantly affect real exchange rate movements, but existing empirical evidence reports only a weak impact of fiscal deficits on exchange rates. Based on US dollar-based real exchange rates in G5 countries and a flexible varying coefficient model, we show that the previously documented weak relationship between fiscal deficits and exchange rates may be the result of additive specifications, and that the relationship is stronger if we allow fiscal deficits to impact real exchange rates non-additively as well as nonlinearly. We find that the speed of exchange rate adjustment toward equilibrium depends on the state of the fiscal deficit; a fiscal contraction in the US can lead to less persistence in the deviation of exchange rates from fundamentals, and faster mean reversion to the equilibrium. Chapter IV proposes a kernel method to deal with the nonparametric regression model with only discrete covariates as regressors. This new approach is based on recently developed least squares cross-validation kernel smoothing method. It can not only automatically smooth

Information arrival and volatility: Evidence from the Saudi Stock Exchange (Tadawul

Directory of Open Access Journals (Sweden)

Ezzat Hassan

2017-01-01

Full Text Available This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH using trading volume and number of trades as contemporaneous proxies for information arrival in 15 sector indices of the Saudi Stock Exchange (Tadawul using the TGARCH model. Findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence decreases when the trading volume and the number of trades are included in the conditional variance equation. The most striking finding is that contemporaneous number of trades is a better proxy for information arrival than trading volume, interacting with volatility in a manner anticipated under the MDH. This can be attributed to the unique characteristic of the Saudi equity market where only domestic investors are allowed to execute trade transactions. Further, the results reveal that the leverage effect was amplified, indicating a more pronounced asymmetric effect of bad news on volatility.

Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan

OpenAIRE

Chia-Lin Chang; Michael Mcaleer

2009-01-01

Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily data from 1 January 1990 to 31 December 2008 are used to model the Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility. The sample ...

Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA

Science.gov (United States)

Lu, Xinsheng; Sun, Xinxin; Ge, Jintian

2017-05-01

This paper investigates the dynamic relationship between Japanese Yen exchange rates and market anxiety during the period from January 5, 1998 to April 18, 2016. A quantitative technique of multifractal detrended cross-correlation analysis (MF-DCCA) is used to explore the multifractal features of the cross-correlations between USD/JPY, AUD/JPY exchange rates and the market anxiety gauge VIX. The investigation shows that the causal relationship between Japanese Yen exchange rates and VIX are bidirectional in general, and the cross-correlations between the two sets of time series are multifractal. Strong evidence suggests that the cross-correlation exponents tend to exhibit different volatility patterns in response to diverse external shocks such as financial distress and widening in interest rate spread, suggesting that the cross-correlated behavior between Japanese Yen exchange rates and VIX are susceptible to economic uncertainties and risks. In addition, the performances of two market anxiety gauges, the VIX and the TED spread, are compared and the sources of multifractality are also traced. Thus, this paper contributes to the literature by shedding light on the unique driving forces of the Yen exchange rate fluctuations in the international foreign exchange market.

The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

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Demirhan Erdal

2015-01-01

Full Text Available This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1 model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria

Directory of Open Access Journals (Sweden)

Agya Atabani Adi

2017-03-01

Full Text Available The paper examined effect of passed return on current return, shocks spillover and volatility transmission between FX-Stock markets. Using result obtained from VAR-GARCH models, we also calculate the optimal weight and risk minimizing hedging ratio for FX-Stock markets and employed the newly developed bivariate GARCH framework Findings reveal evidence of short term predictability in both markets through time. One period lagged returns significantly impact current return in both markets, and impact was greater in FX market both VAR-GARCH and VAR-AGARCH models. There were evidence of bi-directional volatility transmission in both markets and uni-directional shocks spillover from stock to FX market in both models. VAR-AGARCH model showed evidence of leverage effect; bad news has more impact on volatility than positive news of the same magnitude. We showed that optimal polio of FX-Stock market should holds more foreign exchange to stocks in their asset polio. Our result showed evidence of effective hedging in FX-Stock markets in Nigerian. Hence, the inclusion of stocks in diversified polio of foreign exchange could improve it risks adjusted performance of hedging ratio.

CORPORATE DIVIDEND POLICY AND SHARE PRICE VOLATILITY:A STUDY OF THE BOMBAY STOCK EXCHANGE

OpenAIRE

Vijayakumar, Arvind

2012-01-01

Purpose: The research paper aims to identify the empirical relationship between Corporate Dividend policy in India and share price volatility. Design/Methodology/Approach: A sample of 197 dividend paying companies listed on the Bombay stock exchange (BSE 500) was examined from 2006 to 2010.A panel data approach was applied to identify the relationship between price volatility against dividend yield and dividend payout ratio. Findings: The findings observe a significant relationship be...

The memory of volatility

Directory of Open Access Journals (Sweden)

Kai R. Wenger

2018-03-01

Full Text Available The focus of the volatility literature on forecasting and the predominance of theconceptually simpler HAR model over long memory stochastic volatility models has led to the factthat the actual degree of memory estimates has rarely been considered. Estimates in the literaturerange roughly between 0.4 and 0.6 - that is from the higher stationary to the lower non-stationaryregion. This difference, however, has important practical implications - such as the existence or nonexistenceof the fourth moment of the return distribution. Inference on the memory order is complicatedby the presence of measurement error in realized volatility and the potential of spurious long memory.In this paper we provide a comprehensive analysis of the memory in variances of international stockindices and exchange rates. On the one hand, we find that the variance of exchange rates is subject tospurious long memory and the true memory parameter is in the higher stationary range. Stock indexvariances, on the other hand, are free of low frequency contaminations and the memory is in the lowernon-stationary range. These results are obtained using state of the art local Whittle methods that allowconsistent estimation in presence of perturbations or low frequency contaminations.

Exchange rate smoothing in Hungary

OpenAIRE

Karádi, Péter

2005-01-01

The paper proposes a structural empirical model capable of examining exchange rate smoothing in the small, open economy of Hungary. The framework assumes the existence of an unobserved and changing implicit exchange rate target. The central bank is assumed to use interest rate policy to obtain this preferred rate in the medium term, while market participants are assumed to form rational expectations about this target and influence exchange rates accordingly. The paper applies unobserved varia...

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.

Exchange Rate Policy in Philippine Development

OpenAIRE

Bautista, Romeo M.

2003-01-01

This paper examines the conduct of exchange rate policy in the Philippines since the early 1980s, paying particular attention to the influence of exchange rate adjustments on relative production incentives. While primary interest is in the exchange rate regime and its incentive effects, the role of trade policy has to be simultaneously analyzed in view of its influence on the conduct of exchange rate policy as well as its direct effect on the real exchange rate. Moreover, there are analytical...

AN ESTIMATION OF CHINESE RENMINBI EXCHANGE RATE IMPACT ON THE REAL EXPORTS OF INDONESIA TO THE US: IS THERE A J-CURVE?

Directory of Open Access Journals (Sweden)

Diyah Putriani

2016-12-01

Full Text Available This paper seeks whether a J-Curve exists on the impact of changes in the Chinese Renminbi (RMB exchange rates on bilateral exports of Indonesia to the United States (US, particularly in the long run. The Johansen cointegration procedures and Vector Error Correction Model (VECM regression are applied. The cointegration test shows that there are long-term relationships amongst real GDP of US, Indonesian Rupiah (IDR, real exchange rates and volatility, and Chinese RMB real exchange rates. The result shows that the RMB exchange rate has a negative significant impact (substitution relationship on Indonesian export to the US. The result also suggests a dissatisfaction of the Marshall-Lerner condition indicating the J-curve phenomenon does not exist.

Models for financial crisis detection in Indonesia based on bank deposits, real exchange rate and terms of trade indicators

Science.gov (United States)

Sugiyanto; Zukhronah, Etik; Nur Aini, Anis

2017-12-01

Several times Indonesia has experienced to face a financial crisis, but the crisis occurred in 1997 had a tremendous impact on the economy and national stability. The impact of the crisis fall the exchange rate of rupiah against the dollar so it is needed the financial crisis detection system. Some data of bank deposits, real exchange rate and terms of trade indicators are used in this paper. Data taken from January 1990 until December 2016 are used to form the models with three state. Combination of volatility and Markov switching models are used to model the data. The result suggests that the appropriate model for bank deposit and terms of trade is SWARCH (3,1), and for real exchange rates is SWARCH (3,2).

Rethinking ASGISA and the rand exchange rate

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Willem H Boshoff

2012-05-01

Full Text Available Abstract: The ASGISA policy document identifies the exchange rate as one of the factors constraining accelerated growth in South Africa. This note argues that currency developments do not translate into business cycle movements in the aggregate economy, and that a weaker exchange rate is less likely to boost either foreign investment or export performance in the face of regulatory uncertainty. The South African government has recently launched the Accelerated and Shared Growth Initiative (ASGISA aimed at raising the long-term growth path of the economy. The plan identifies several so-called “binding constraints” that are considered to be inhibiting the economy from rising to more elevated levels of economic growth. One such “constraint”, according to the ASGISA policy document, is the “volatility and level of the currency” (Republic of South Africa, 2006. By including this issue, policymakers have signalled that fluctuations in the Rand are considered significant to broader economic fluctuations in South Africa. This research note questions such a conviction by offering evidence that currency fluctuations are not mirrored in the South African business cycle. Nonetheless, proponents may argue that a weaker Rand will stimulate particular sectors, mostly those that are export-oriented, while it will boost Foreign Direct Investment (FDI. However, this note argues further that a weaker Rand is less likely to generate sustainable improvement in either export-oriented industries or FDI in the absence of other reforms. The following sections consider these two issues in sequence.

Modeling the exchange rate of the euro against the dollar using the ARCH/GARCH models

Directory of Open Access Journals (Sweden)

Kovačević Radovan

2016-01-01

Full Text Available The analysis of time series with conditional heteroskedasticity (changeable time variability, conditional variance instability, the phenomenon called volatility is the main task of ARCH and GARCH models. The aim of these models is to calculate some of the volatility indicators needed for financial decisions. This paper examines the performance of generalized autoregressive conditional heteroscedasticity (GARCH model in modeling the daily changes of the log exchange rate of the euro against the dollar. Several GARCH models have been applied for modeling the daily log exchange rate returns of the euro, with a different number of parameters. The characteristic of estimated GARCH models is that the obtained coefficients of lagged squared residuals and the conditional variance parameters in the equation of conditional variance have a strong statistical significance. The sum of these two coefficients' estimates is close to a unit, which is typical for GARCH models that are applied on the data of financial assets returns. This means that the shocks in the conditional variance equation will be long lasting. The great value of the sum of these two coefficients shows that the high rates of positive or negative returns leads to a large forecasted value of the variance in the prolonged period. The asymmetrical EGARCH (1,1 model has showed the best results in modeling the euro exchange rate returns. The asymmetry term in the conditional variance equation of this model is negative and statistically significant. A negative value of this term suggests that the positive shock has less impact on the conditional variance than the negative shocks. The asymmetric EGARCH (1,1 model provides evidence of a leverage effect.

The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR

OpenAIRE

Arratibel, Olga; Michaelis, Henrike

2014-01-01

This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to analyse whether the reaction of output and prices to interest rate and exchange rate shocks has changed across time (1996-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding some rev...

76 FR 2934 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Science.gov (United States)

2011-01-18

... Proprietary transaction fee to $.25 per contract for OEX, XEO, SPX and volatility indexes. This rate would be... in volatility index options $.02 per contract and $.01 per contract for crossed orders. The Exchange...\\ transactions in volatility index options. The Exchange proposes to increase the surcharge fee for volatility...

Macroeconomic Variables, International Islamic Indices, and The Return Volatility in Jakarta Islamic Index

Directory of Open Access Journals (Sweden)

Yoghi Citra Pratama

2018-01-01

Full Text Available According to understand the behavior of Islamic equity markets the primary objective of this research is to analyze the effect of macroeconomic indicators and International Islamic Index on return volatility of Jakarta Islamic Index. The analysis method used in this study is AutoRegressive Conditional Heteroscedastic-Generalized AutoRegressive Conditional Heteroscedastic (ARCH-GARCH. The result of this research showed that all variables, i.e., BI rate, inflation rate, IDR-USD exchange rate, DJIUS index, DJIUK index, FTSJP index and FTSMY index have a simultaneously significant impact on return volatility of JII. While t-test results show that BI rate, IDR-USD exchange rate, DJIUK index and FTSMY index have a substantial effect on return volatility of JII.DOI: 10.15408/aiq.v10i1.5550

Investigation of the Greek Stock Exchange volatility and the impact of foreign markets from 2007 to 2012

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Nikolaos Sariannidis

2015-10-01

Full Text Available Purpose of this paper - The current paper aims to analyze the impact of the debt crisis on the FTSE / ASE 20 index volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the seasonality returns (Day-of-the-Week effect and the volatility structure. Design/methodology/approach - The analysis of data is made by employing the GARCH models, and more specifically the GJR-GARCH model. Findings - The results of the GJR-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the Greek market does not react asymmetrically to negative information. In addition, the results indicate the importance of foreign markets in shaping the first moment of the FTSE / ASE 20 index and the presence of the Reverse Day of the Week effect. Research limitations/implications - The implication of volatility measurement is vital in determining the cost for investment, security pricing markets, hedging and other trading strategies, and also for regulatory policies conducted within financial markets. Originality/value - The paper may prove helpful to regulatory authorities, investors and financial analysts to understand the structure and behavior of volatility in a small stock exchange market under crisis.

Can Exchange Rates Be Predicted?

OpenAIRE

Siriwutiset, Trin

2007-01-01

Foreign exchange rates produce significant impacts on both the macroeconomic and microeconomic scale. Countries� government and multinational companies have been seeking ways to stabilize the exchange rates for a few decades. However, there is no perfect consensus on methods to control and stabilize the exchange rates. In fact, there are several occasions in history where turbulence movements caused crisis in the economies. There are several factors that are identified by economis...

Exchange Rate Determinants in Russia; 1992-1993

OpenAIRE

Vincent Koen; Eric Meyermans

1994-01-01

This paper examines the evolution of the exchange rate of the ruble vis-à-vis the U.S. dollar from exchange rate unification, in July 1992, to the end of 1993. The expected and actual paths of the exchange rate are related to the exchange and trade regime and to the stance of financial and exchange rate policies. An econometric analysis based on weekly data is offered, which suggests that monetary factors have a significant impact on the short run behavior of the exchange rate.

Exchange Rate Pass-Through in Turkey

OpenAIRE

Marco Rossi; Daniel Leigh

2002-01-01

In light of the strong correlation between exchange rate movements and domestic prices in Turkey, it is important to assess the impact of the exchange rate on domestic prices, in particular as Turkey moves to an inflation targeting regime. This paper uses a recursive vector autoregression model to investigate the impact of exchange rate movements on prices in Turkey. We find that (i) the impact of the exchange rate on prices is over after about a year, but is mostly felt in the first four mon...

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.

Real exchange rate misalignments

OpenAIRE

Terra, Maria Cristina T.; Valladares, Frederico Estrella Carneiro

2003-01-01

This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with fundamentals). Then, departures from equilibrium real exchange rate (misalignments) are obtained, and a Markov Switching Model is used to characterize the misalignments series as stochastic autor...

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...

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.

Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

DEFF Research Database (Denmark)

Bach, Christian; Christensen, Bent Jesper

process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....

Interest Rates and Exchange Rate Relationship in BRIC-T Countries

OpenAIRE

Selim KAYHAN; Tayfur BAYAT; Ahmet UGUR

2013-01-01

This study examines the dynamic relationships between the real exchange rate and the real interest rate in the BRIC-T (Brazil, Russia, India, China and Turkey) countries by employing monthly data from the beginning of flexible exchange rate regime to July 2011. For this aim, non-linear causality test and frequency domain causality test approaches are used. According to frequency domain causality test results, interest rate affects exchange rate in only China and this effect exist only in the ...

The dynamic conditional relationship between stock market returns and implied volatility

Science.gov (United States)

Park, Sung Y.; Ryu, Doojin; Song, Jeongseok

2017-09-01

Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.

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.

Turbulence effects on volatilization rates of liquids and solutes.

Science.gov (United States)

Lee, Jiunn-Fwu; Chao, Huan-Ping; Chiou, Cary T; Manes, Milton

2004-08-15

Volatilization rates of neat liquids (benzene, toluene, fluorobenzene, bromobenzene, ethylbenzene, m-xylene, o-xylene, o-dichlorobenzene, and 1-methylnaphthalene) and of solutes (phenol, m-cresol, benzene, toluene, ethylbenzene, o-xylene, and ethylene dibromide) from dilute water solutions have been measured in the laboratory over a wide range of air speeds and water-stirring rates. The overall transfer coefficients (K(L)) for individual solutes are independent of whether they are in single- or multi-solute solutions. The gas-film transfer coefficients (kG) for solutes in the two-film model, which have hitherto been estimated by extrapolation from reference coefficients, can now be determined directly from the volatilization rates of neat liquids through a new algorithm. The associated liquid-film transfer coefficients (kL) can then be obtained from measured K(L) and kG values and solute Henry law constants (H). This approach provides a novel means for checking the precision of any kL and kG estimation methods for ultimate prediction of K(L). The improved kG estimation enables accurate K(L) predictions for low-volatility (i.e., low-H) solutes where K(L) and kGH are essentially equal. In addition, the prediction of K(L) values for high-volatility (i.e., high-H) solutes, where K(L) approximately equal to kL, is also improved by using appropriate reference kL values.

Turbulence effects on volatilization rates of liquids and solutes

Science.gov (United States)

Lee, J.-F.; Chao, H.-P.; Chiou, C.T.; Manes, M.

2004-01-01

Volatilization rates of neat liquids (benzene, toluene, fluorobenzene, bromobenzene, ethylbenzene, m-xylene, o-xylene, o-dichlorobenzene, and 1-methylnaphthalene) and of solutes (phenol, m-cresol, benzene, toluene, ethylbenzene, o-xylene, and ethylene dibromide) from dilute water solutions have been measured in the laboratory over a wide range of air speeds and water-stirring rates. The overall transfer coefficients (KL) for individual solutes are independent of whether they are in single- or multi-solute solutions. The gas-film transfer coefficients (kG) for solutes in the two-film model, which have hitherto been estimated by extrapolation from reference coefficients, can now be determined directly from the volatilization rates of neatliquids through anew algorithm. The associated liquid-film transfer coefficients (KL) can then be obtained from measured KL and kG values and solute Henry law constants (H). This approach provides a novel means for checking the precision of any kL and kG estimation methods for ultimate prediction of KL. The improved kG estimation enables accurate K L predictions for low-volatility (i.e., low-H) solutes where K L and kGH are essentially equal. In addition, the prediction of KL values for high-volatility (i.e., high-H) solutes, where KL ??? kL, is also improved by using appropriate reference kL values.

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

A Case for Intermediate Exchange-Rate Regimes

OpenAIRE

Agnès Bénassy-Quéré; Véronique Salins

2010-01-01

Despite increasing capital mobility and the subsequent difficulty in controlling exchange rates, intermediate exchange-rate regimes have remained widespread, especially in emerging and developing economies. This piece of evidence hardly fits the "impossible Trinity" theory arguing that it becomes difficult to control the exchange rate without a "hard" device when capital flows are freed. Calvo and Reinhart (2000) have suggested several explanations for such "fear of floating": exchange rate p...

Inflation Targeting and Exchange Rate Management in Korea

Directory of Open Access Journals (Sweden)

Won-Am Park

2008-06-01

Full Text Available This paper investigates the experience of inflation targeting in Korea with an emphasis on exchange rate management. The Korean call rate responded to not only expected inflation, but also to output gap and changes in the real effective exchange rate of the Korean won, when we estimated the call rate reaction function over the period of 1999-2007. It was found that the call rate responded to changes in real effective exchange rate more than it did to expected inflation. We also examined whether Korean inflation targeting was actually centered on the exchange rate by estimating the Singaporean style of exchange rate reaction function. It was found that Korean monetary policy was not exchange-rate- centered, since the nominal effective exchange rate of the Korean won responded modestly to inflation and output gap, far less than did the Singaporean dollar.

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...

Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency

OpenAIRE

Richard M. Levich

1983-01-01

Theoretical and empirical research completed over the last decade has dramatically increased our understanding of exchange rate behavior. The major insight to come from this decade of research is that foreign exchange is a financial asset. In an asset pricing framework, current exchange rates reflect the expected values of future exogenous variables. The purpose of this paper is to survay the empirical evidence on exchange rate behavior, market efficiency and related topics. Section 2 present...

Effect of wind and currents on gas exchange in an estuarine system. Final technical report, 1 August 1986-31 July 1987

International Nuclear Information System (INIS)

Broecker, W.S.; Ledwell, J.R.; Bopp, R.

1987-11-01

The objectives were to develop a non-volatile tracer to use in gas exchange experiments in laterally unconfined systems and to study applications of deliberate tracers in limnology and oceanography. Progress was made on both fronts but work on the development of the non-volatile tracer proved to be more difficult and labor intensive that anticipated so no field experiments using non-volatile tracers was performed as yet. In the search for a suitable non-volatile tracer for an ocean scale gas exchange experiment a tracer was discovered which does not have the required sensitivity for a large scale experiment, but is very easy to analyze and will be well suited for smaller experiments such as gas exchange determinations on rivers and streams. Sulfur hexafluoride, SF 6 , was used successfully as a volatile tracer along with tritium as a non-volatile tracer to study gas exchange rates from a primary stream. This is the first gas exchange experiment in which gas exchange rates were determined on a head water stream where significant groundwater input occurs along the reach. In conjunction with SF 6 , Radon-222 measurements were performed on the groundwater and in the stream. The feasibility of using a combination of SF 6 and radon is being studied to determine groundwater inputs and gas exchange of rates in streams with significant groundwater input without using a non-volatile tracer

Search for a new exchange-rate regime.

Science.gov (United States)

Williamson, J

1987-07-31

The regime of unmanaged floating exchange rates was implicitly judged a failure when, with the Plaza Agreement, attempts at cooperative exchange-rate management were reintroduced primarily because of concern at the size of misalignments. Any satisfactory successor regime will need to limit misalignments while retaining the genuine social benefits of exchange-rate flexibility. It is argued that a system of target zones for exchange rates, ideally embedded in a more comprehensive set of guidelines for international economic policy coordination, could best reconcile these needs.

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.

An Econometric Diffusion Model of Exchange Rate Movements within a Band - Implications for Interest Rate Differential and Credibility of Exchange Rate Policy

OpenAIRE

Rantala, Olavi

1992-01-01

The paper presents a model ofexchange rate movements within a specified exchange rate band enforced by central bank interventions. The model is based on the empirical observation that the exchange rate has usually been strictly inside the band, at least in Finland. In this model the distribution of the exchange rate is truncated lognormal from the edges towards the center of the band and hence quite different from the bimodal distribution of the standard target zone model. The model is estima...

Impact Of Volatility And Performance Of Major Stock Markets On Sarajevo Stock Exchange In 2008 – 2012 Period

OpenAIRE

Dzanic, Enis; Omerbegovic, Sead

2014-01-01

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by the performance of major world exchanges such as New York, Frankfurt or Tokyo stock exchange. This research analyses weekly composite index data for SASE (Sarajevo Stock Exchange), NYSE, NIKKEI, and DAX indices, for the period from 2008 until the end of 2012. This time period contains significant events in the US and the rest of the world, including the housing bubble, and a gr...

77 FR 60491 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing of Proposed Rule Change...

Science.gov (United States)

2012-10-03

... volatility. \\8\\ See IM-3120-2 to Rule 3120. Economically Equivalent Products The Exchange has considered the... rate, which the Exchange believes is a direct result of the implementation of the Delta-Based Equity... 55972. Market on Close Volatility The Exchange has also considered the potential for resulting or...

The Deceptive Resilience of Fixed Exchange Rates

OpenAIRE

Mushin, Jerry

2004-01-01

This paper is an examination of the experience of exchange-rate systems since 1978. Despite the accelerating trend in favour of floating exchange rates, a substantial minority of IMF members have continued to fix the value of their currencies. The recent incidence of each of the principal types of exchange-rate peg is described.

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.

Testing the Relationship between Interest Rates Volatility and Market Capitalization: the case of Mauritius

Directory of Open Access Journals (Sweden)

Edesiri Godsday Okoro

2014-12-01

Full Text Available This paper tests the relationship between interest rates volatility and market capitalization in Mauritius. Using annual time series data sourced from the Financial Services Commission Annual Statistical Bulletin of Mauritius during the period 2006 through 2010, data of interest rates volatility and market capitalization were estimated in a non-linear model using the Vector Auto-regression technique. The study found that interest rates volatility has significant effect on the level of market capitalization although a negative effect. This implies a negative relationship between interest rates volatility and market capitalization. Thus, if market capitalization is affected by interest rates, then the economy becomes highly susceptible to volatile external distress. This indicates some dangers for the economic survival of Mauritius. It was on this note that we recommended an effective policy aimed at stabilizing macroeconomic variable like interest rates, focusing at the same time on alternative measures of promoting market capitalization if aggregate economic growth must be harnessed. Policymakers should design the optimal policy mix that would help the nation cope efficiently with the economic and social costs of the external distress accompanying higher and dwindling interest rates in Mauritius.

Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries

International Nuclear Information System (INIS)

Liu, Chang; Sun, Xiaolei; Chen, Jianming; Li, Jianping

2016-01-01

This paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stem from uncertainty of macroeconomic fluctuations. Firstly, two statistical properties of country risk ratings, volatility clustering and asymmetrical revision were identified in a theoretical framework based on Cruces (2006). Secondly, considering the oil price volatility, numerical experiments were conducted based on extended models to test and verify specific properties of country risk ratings in selected oil-exporting countries. Empirical results suggest that properties of country risk remain comparatively steady despite oil price volatility. It is also found that the oil price volatility can obviously exaggerate the country risk volatility, as it happened during 2007–2009. Country clustering based on the properties of country risk ratings shows that the selected countries maintain a significant clustering tendency. These features are of great importance for estimating risk exposure of international trade and investments in oil export during extreme situations. - Highlights: •Relationship between oil price volatility and country risk is the focus. •An extended model based on Cruces (2006) is proposed. •Volatility clustering and asymmetrical revision of country risk ratings is explored. •Oil price volatility can obviously exaggerate properties of country risk volatility.

Modeling Real Exchange Rate Persistence in Chile

Directory of Open Access Journals (Sweden)

Leonardo Salazar

2017-07-01

Full Text Available The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR model, provide evidence of error-increasing behavior in prices and interest rates, which is consistent with the persistence observed in the data. The movements in the real exchange rate are compensated by movements in the interest rate spread, which restores the equilibrium in the product market when the real exchange rate moves away from its long-run benchmark value. Fluctuations in the copper price also explain the deviations of the real exchange rate from its long-run equilibrium value.

Interdependence and Exchange Rate Regimes in East Asia: Intra-regional Transmissions of Exchange Rate Policies after the Crisis (in Japanese)

OpenAIRE

OHNO Sanae; FUKUDA Shin-ichi

2003-01-01

Since the onset of the Asian crisis, what characterizes the East Asian exchange rates has been a topic of considerable discussion. In the pre-crisis period, the de facto pegs to the U.S. dollar sometimes destabilized the real "effective" exchange rates of these currencies. Several economists have, thus, proposed the desirability of intermediate exchange rate regimes in East Asia that might stabilize their effective exchange rates. The post-crisis experience in East Asia, however, taught us th...

The implied volatility of U.S. interest rates: evidence from callable U. S. Treasuries

OpenAIRE

Robert R. Bliss; Ehud I. Ronn

1995-01-01

The prices for callable U.S. Treasury securities provide the sole source of evidence concerning the implied volatility of interest rates over the extended 1926-1994 period. This paper uses the prices of callable as well as non-callable Treasury instruments to estimate implied interest rate volatilities for the past sixty years, and, for the more recent 1989-1994 period, the cross-sectional term structures of implied interest rate volatility. We utilize these estimates to perform cross-section...

On exchange rate misalignments in the Eurozone's peripheral countries

Science.gov (United States)

Grochová, Ladislava; Plecitá, Klára

2013-10-01

In this paper we model equilibrium exchange rates for the Eurozone's countries on the basis of the Behavioural Equilibrium Exchange Rate approach, which assumes, that equilibrium exchange rates are in the long run affected by economic fundamentals. To assess the degree of exchange rate misalignment for the Eurozone's peripheral countries - Portugal, Ireland, Greece and Spain - the gap between the actual and the modelled equilibrium exchange rate value is calculated. Our results show that Spain, Portugal and Ireland had their real exchange rates in equilibrium when they joined the Eurozone; however their real exchange rates have been persistently overvalued since the beginning of the 2000s. Greece, on the other hand, has experienced diminishing undervaluation at the beginning of its membership in the Eurozone and since 2009 has exhibited an overvalued real exchange rate.

A new assessment of floating exchange rates

OpenAIRE

Waimann, D. R.

1981-01-01

The switch to floating exchange rates during the 1970s has given economists the first comprehensive opportunity to assess the arguments for and against floating. Much new work has been done on various aspects of floating exchange rate behaviour. This article attempts a limited survey of the evidence concerning two important issues—whether floating exchange rates are inherently unstable and whether they harm international trade.

Model Uncertainty and Exchange Rate Forecasting

NARCIS (Netherlands)

Kouwenberg, R.; Markiewicz, A.; Verhoeks, R.; Zwinkels, R.C.J.

2017-01-01

Exchange rate models with uncertain and incomplete information predict that investors focus on a small set of fundamentals that changes frequently over time. We design a model selection rule that captures the current set of fundamentals that best predicts the exchange rate. Out-of-sample tests show

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

14 CFR 65.43 - Rating privileges and exchange.

Science.gov (United States)

2010-01-01

... 14 Aeronautics and Space 2 2010-01-01 2010-01-01 false Rating privileges and exchange. 65.43... § 65.43 Rating privileges and exchange. (a) The holder of a senior rating on August 31, 1970, may at any time after that date exchange his rating for a facility rating at the same air traffic control...

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

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

Causes of Interest Rate Volatility and its Economic Implications in Nigeria

OpenAIRE

Wehnam Peter Dabale; Nelson Jagero

2013-01-01

The paper explored causes of interest rate volatility and its implications on the socio-economic development of Nigeria for the year 2000–2005 periods. Its objective had been the provision of a deeper understanding of the causes of interest rate volatility and whether this has effects on the Nigerian economy. Data for this study were mainly collected from secondary sources and have been log- linearised. An econometric model specification was then built and E-View 5.0 software was used in comp...

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

African Journals Online (AJOL)

Southern African Business Review ... This finding is inconsistent with the monetary model of exchange rate determination, which asserts that there is a long-run relationship between the exchange rate ... Key words: Exchange rates, monetary model, autoregressive distributed lag, cointegration, exchange rate overshooting ...

Exchange Rate Regime in Russia, Evaluation and Recommendations

OpenAIRE

Olga, Vasilevskaya

2009-01-01

This paper studies exchange rate choice in Russia with respect to social, economic and political determinants. The study deliberately narrowed the scope of the discussion to two extreme cases, i.e. fixed and floating exchange rate. Today Russia applies managed floating exchange rate arrangement and it is important to determine the direction of the further monetary policy development either towards fixed or floating exchange rate. The paper argues that the logical extension of the historical t...

Volatiles and char combustion rates of demineralised lignite and wood blends

International Nuclear Information System (INIS)

Yilgin, Melek; Pehlivan, Dursun

2009-01-01

Today, much interest is given to the utilisation of materials of plant origin as substitutions of fossil fuels in meeting energy needs to reduce the level of atmospheric pollutant emissions and global warming threat, and emphasis has been placed on the co-combustion of coal and biomass. In this study, volatiles and char combustion behaviour of the fuel pellets composed from demineralised lignite and poplar wood sawdust, were investigated in a cylindrical wire mesh basket placed in a preheated tube furnace. The results have shown that ignition times of the pellets decreased with the burning temperature and shortened further due to demineralisation of lignite. Volatiles combustion rates of the samples did not correlate well with combustion times. However, they can be correlated with their respective proximate volatile matter contents. Char burnout times decreased with increasing combustion rates and correlated well with the respective proximate fixed carbon contents of the samples. Deviations were more considerable in the case of rate data. (author)

78 FR 45279 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Science.gov (United States)

2013-07-26

... VOLATILITY INDEXES, to reflect this change, the Exchange also proposes to amend Footnote 11 to state that no... Options Rate Table--SPX, SPXW, SPXpm, SRO, OEX, XEO, VIX and VOLATILITY INDEXES and remove SPXPM from... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70014; File No. SR-CBOE-2013-072] Self...

Private Sector Credit and Inflation Volatility

Directory of Open Access Journals (Sweden)

Lorna Katusiime

2018-04-01

Full Text Available This paper investigates the effect of inflation volatility on private sector credit growth. The results indicate that private sector credit growth is positively linked to the one period lagged inflation volatility. Given that past monetary policy actions continue to affect the targeted variables due to the substantial lags in the transmission mechanism, the positive response of private sector credit growth to past inflation volatility suggests a credible monetary policy regime in Uganda, which has led to a reduction in the level of macroeconomic uncertainty and the restoration of favorable economic conditions and prospects, thus increasing the demand for credit. Further, the study finds that the lagged private sector credit growth, nominal exchange rate, and inflation have a statistically significant effect on private sector credit growth while financial innovation, interest rates, and GDP growth appear not to be important determinants of private sector credit growth. The robustness of our findings is confirmed by sensitivity checks.

Essays on exchange rate policy in developing countries

OpenAIRE

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 to the rationale for choosing one type of regime over another and how the variations in the nominal or real exchange rate affect the economies of these countries. This Ph.D. thesis is a combination ...

Fiscal Policy and Welfare under Different Exchange Rate Regimes

DEFF Research Database (Denmark)

Østrup, Finn

a representativeindividual's utility, it is demonstrated that there are differences betweenexchange rate regimes with respect to the level of government spending. Thesedifferences arise first because a rise in government spending affects macroeconomicvariables differently under different exchange rate regimes......, and secondbecause the government's inclination to expand government spending is affectedby inflation which depends on the exchange rate regime. At low rates of inflation,the government is inclined to set a higher level of government spending under afixed exchange rate regime than under a floating exchange rate...... 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...

EFECT OF FOREIGN EXCHANGE RATE FLUCTUATIONS ON NIGERIAN ECONOMY

Directory of Open Access Journals (Sweden)

Lawrence Olisaemeka UFOEZE

2018-03-01

Full Text Available This study investigated the effect of exchange rate fluctuations on Nigerian economy. The fixed and floating exchange eras were compared to know the exchange rate system in which the economy has fairly better. The time period covered was 1970 to 2012. The study employed the ordinary least square (OLS multiple regression technique for the analysis. The coefficient of determination (R2, F-test, t-test, beta and Durbin-Watson were used in the interpretation of the results. The resulted revealed that about 85% of the changes in macroeconomic indicators are explained in the fixed exchange era. In the floating exchange era, 99% was explained while the whole periods has 73% explanatory power, hence the floating exchange era (1986 to date is more effective in explaining economic trend in Nigeria. Also, exchange rate has significant positive effect on GDP during the fixed exchange rate era and negative effect the eras floating and all-time; inflation has insignificant negative effect on GDP during the fixed exchange era; significant effect in floating era and significant negative effect in the all-time period; money supply has insignificant negative effect GDP in fixed exchange era; and significant positive effect during the floating and all-time period; and oil revenue has significant positive effect on the GDP in all the exchange rate regimes (floating, fixed and all-time in Nigeria.  The study thus conclude that exchange rate movement is a good indicator for monitoring Nigerian economic growth. So far exchange rate has always been a key economic indicator for Nigeria. The floating exchange period has outperformed the fixed exchange rate in terms of contribution inflation, money supply and oil revenue to economic growth. This indicate that the floating exchange rate has been a better economic regime for sustainable economic growth in Nigeria. From the findings, it is evident that oil revenue has positive effect in Nigeria and has remained the mainstay

China; Sources of Real Exchange Rate Fluctuations

OpenAIRE

Tao Wang

2004-01-01

This paper reviews the evolution of China's real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition shows that relative real demand and supply shocks account for most of the variations in real exchange rate changes during the estimation period. The paper also finds that supply shocks are as important ...

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

Increasing Stability in the Mix of Exchange-rate Policies.

OpenAIRE

Mushin, Jerry

2008-01-01

This paper is an examination of the experience of exchange-rate policy systems since 1996 and a comparison with the experience of 1978 to 1995. Exchange-rate policy has become more stable than it was in the earlier period. In addition, it has become polarized, with almost all countries choosing either a fixed exchange-rate regime (especially in low-GDP countries) or a floating exchange-rate regime (especially in high-GDP countries). Limited-flexibility exchange-rate systems have become unimpo...

Estimating Foreign Exchange Reserve Adequacy

Directory of Open Access Journals (Sweden)

Abdul Hakim

2013-04-01

Full Text Available Accumulating foreign exchange reserves, despite their cost and their impacts on other macroeconomics variables, provides some benefits. This paper models such foreign exchange reserves. To measure the adequacy of foreign exchange reserves for import, it uses total reserves-to-import ratio (TRM. The chosen independent variables are gross domestic product growth, exchange rates, opportunity cost, and a dummy variable separating the pre and post 1997 Asian financial crisis. To estimate the risky TRM value, this paper uses conditional Value-at-Risk (VaR, with the help of Glosten-Jagannathan-Runkle (GJR model to estimate the conditional volatility. The results suggest that all independent variables significantly influence TRM. They also suggest that the short and long run volatilities are evident, with the additional evidence of asymmetric effects of negative and positive past shocks. The VaR, which are calculated assuming both normal and t distributions, provide similar results, namely violations in 2005 and 2008.

Real Exchange Rates in Advanced Transition Economies

Directory of Open Access Journals (Sweden)

Sanja Grubacic

2015-10-01

Full Text Available The recent evidence from Eastern Europe suggests that one of the major obstacles towards the adoption of euro may lie in the impact that the recession of 2008 exerted on the trajectory of real exchange rates in new member countries (European Commission, 2015.  This paper aims to establish and explain the relationship between the external shocks derived from the global financial crisis and recession of 2008 and equilibrium real exchange rate in advanced transition economies of Eastern Europe. The interplay between the external and internal balances is explained by developing an inter-temporal optimizing model of the real exchange rate determination in a small open economy with structural distortions. The results of our model suggest that, in the aftermath of recession, if the Eastern European economies attempt to restore and maintain the balance between the consumption, saving, and investment, the equilibrium real exchange rate will tend to reverse its trajectory from appreciation to depreciation over time in order to encourage a greater production in the future. The equilibrium real exchange rate depreciation in the future may obtain either as a result of an increase in the direct subsidies on investment or as a result of reduced subsidies on the "net-of-investment" income.  The deprecation of countries’ real exchange rate, however, may continue to act as an effective constraint against the adoption of euro.

Exchange rate policy under sovereign default risk

OpenAIRE

Schabert, Andreas

2011-01-01

We examine monetary policy options for a small open economy where sovereign default might occur due to intertemporal insolvency. Under interest rate policy and floating exchange rates the equilibrium is indetermined. Under a fixed exchange rate the equilibrium is uniquely determined and independent of sovereign default.

Russian – Chinese Trade and Exchange Rate

Directory of Open Access Journals (Sweden)

Dmitry Alexandrovich Izotov

2012-09-01

Full Text Available The author assesses the impact of the Yuan exchange rate volatility on the indicators of the Russian-Chinese trade (the analysis is made on the ground of the statistical database CEIC. Quantitative estimates of changes in Russian-Chinese merchandise trade by commodity groups (in the HS classification due to the revaluation of the CNY against the USD were obtained via the regression analysis. In the case of the revaluation of the Yuan to the US dollar the value of Russian exports may increase for such commodity groups as mineral products, chemical industry products, base metals, precious stones and metals, and vehicles. This article shows that the value of Chinese imports will decrease for such merchandise groups as transport vehicles, machinery and equipment, leather industry products, non-precious metals and products from them; in this case, the import of the food industry products, mineral products and optical instruments will decrease insignificantly. The author concludes that the revaluation of the Yuan, contributing to the growth of Russian exports and the reduction in Chinese imports, will not cause a radical change in structure of the Russian-Chinese trade

Sparseness and Roughness of Foreign Exchange Rates

Science.gov (United States)

Vandewalle, N.; Ausloos, M.

An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H1 which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C1 has been also estimated. In the (H1,C1) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H1=0.5,C1=0) and have a significantly intermittent component (C1≠0).

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.

Modeling long-term uptake and re-volatilization of semi-volatile organic compounds (SVOCs) across the soil-atmosphere interface.

Science.gov (United States)

Bao, Zhongwen; Haberer, Christina; Maier, Uli; Beckingham, Barbara; Amos, Richard T; Grathwohl, Peter

2015-12-15

Soil-atmosphere exchange is important for the environmental fate and atmospheric transport of many semi-volatile organic compounds (SVOCs). This study focuses on modeling the vapor phase exchange of semi-volatile hydrophobic organic pollutants between soil and the atmosphere using the multicomponent reactive transport code MIN3P. MIN3P is typically applied to simulate aqueous and vapor phase transport and reaction processes in the subsurface. We extended the code to also include an atmospheric boundary layer where eddy diffusion takes place. The relevant processes and parameters affecting soil-atmosphere exchange were investigated in several 1-D model scenarios and at various time scales (from years to centuries). Phenanthrene was chosen as a model compound, but results apply for other hydrophobic organic compounds as well. Gaseous phenanthrene was assumed to be constantly supplied to the system during a pollution period and a subsequent regulation period (with a 50% decline in the emission rate). Our results indicate that long-term soil-atmosphere exchange of phenanthrene is controlled by the soil compartment - re-volatilization thus depends on soil properties. A sensitivity analysis showed that accumulation and transport in soils in the short term is dominated by diffusion, whereas in the long term groundwater recharge and biodegradation become relevant. As expected, sorption causes retardation and slows down transport and biodegradation. If atmospheric concentration is reduced (e.g. after environmental regulations), re-volatilization from soil to the atmosphere occurs only for a relatively short time period. Therefore, the model results demonstrate that soils generally are sinks for atmospheric pollutants. The atmospheric boundary layer is only relevant for time scales of less than one month. The extended MIN3P code can also be applied to simulate fluctuating concentrations in the atmosphere, for instance due to temperature changes in the topsoil. Copyright �

The relationship between trading volumes, number of transactions, and stock volatility in GARCH models

Science.gov (United States)

Takaishi, Tetsuya; Chen, Ting Ting

2016-08-01

We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatility. The impact of trading volumes or number of transactions on volatility is measured using the generalized autoregressive conditional heteroscedasticity (GARCH) model. We find that the GARCH effects, that is, persistence of volatility, is not always removed by adding trading volumes or number of transactions, indicating that trading volumes and number of transactions do not adequately represent the rate of information arrivals.

Assessing Volatilities of Monetary Policy and their Effects on the Islamic and Conventional Stock Markets in Indonesia

Directory of Open Access Journals (Sweden)

M Shabri Abd Majid

2018-03-01

Full Text Available The main objective of this study is to empirically assess the volatilities of the monetary policy instruments and their effects on the Indonesian Islamic and conventional stock market. The changes in exchange rate, interest rates, and money supply and their effects on the stock markets are investigated using the using the Generalized Autoregressive Conditional Heteroskedasticity frameworks. As a big-open economy, the capital market of Indonesia is vulnerable to the global monetary shocks changes, thus the US federal funds rate is also incorporated into the GARCH model. The study documented that, with the exception of the US interest rate, the volatilities of all monetary policy variables of interest rate, exchange rate, and money supply were documented affecting the volatilities of both Islamic and conventional stock markets. These findings imply that the volatilities of Islamic and conventional stock markets have similar determinants, thus to stabilize the markets, the investigated monetary policy variables should be controlled for by the policy-makers. Any monetary policy design imposed by the policy-makers would have a similar effect on both conventional and Islamic stocks in Indonesia.DOI: 10.15408/sjie.v7i2.7352

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.

Exchange-rate regimes and economic growth: An empirical evaluation

OpenAIRE

Simón Sosvilla-Rivero; María del Carmen Ramos-Herrera

2014-01-01

Based on a dataset of 123 economies, this paper empirically investigates the relation between exchange-rate regimes and economic growth. We find that growth performance is best under intermediate exchange rate regimes, while the smallest growth rates are associated with flexible exchange rates. Nevertheless, this conclusion is tempered when we analyze the countries by income level: even though countries that adopt intermediate exchange-rate regimes are characterized by higher economic growth,...

Modeling volatility using state space models.

Science.gov (United States)

Timmer, J; Weigend, A S

1997-08-01

In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).

Exchange rate behavior with negative interest rates: Some early negative observations

OpenAIRE

Hameed, Allaudeen S.; Rose, Andrew

2017-01-01

This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data on 61 currencies from January 2010 through May 2016, during which five economies - Denmark, the European Economic and Monetary Union, Japan, Sweden, and Switzerland - experienced negative nominal interest rates. We examine both effective exchange rates and bilateral rates; the latter typically measured against the Swiss franc since Switzerland has had the long...

Seasonal soil VOC exchange rates in a Mediterranean holm oak forest and their responses to drought conditions

Science.gov (United States)

Asensio, Dolores; Peñuelas, Josep; Ogaya, Romà; Llusià, Joan

Available information on soil volatile organic compound (VOC) exchange, emissions and uptake, is very scarce. We here describe the amounts and seasonality of soil VOC exchange during a year in a natural Mediterranean holm oak forest growing in Southern Catalonia. We investigated changes in soil VOC dynamics in drought conditions by decreasing the soil moisture to 30% of ambient conditions by artificially excluding rainfall and water runoff, and predicted the response of VOC exchange to the drought forecasted in the Mediterranean region for the next decades by GCM and ecophysiological models. The annual average of the total (detected) soil VOC and total monoterpene exchange rates were 3.2±3.2 and -0.4±0.3 μg m -2 h -1, respectively, in control plots. These values represent 0.003% of the total C emitted by soil at the study site as CO 2 whereas the annual mean of soil monoterpene exchange represents 0.0004% of total C. Total soil VOC exchange rates in control plots showed seasonal variations following changes in soil moisture and phenology. Maximum values were found in spring (17±8 μg m -2 h -1). Although there was no significant global effect of drought treatment on the total soil VOC exchange rates, annual average of total VOC exchange rates in drought plots resulted in an uptake rate (-0.5±1.8 μg m -2 h -1) instead of positive net emission rates. Larger soil VOC and monoterpene exchanges were measured in drought plots than in control plots in summer, which might be mostly attributable to autotrophic (roots) metabolism. The results show that the diversity and magnitude of monoterpene and VOC soil emissions are low compared with plant emissions, that they are driven by soil moisture, that they represent a very small part of the soil-released carbon and that they may be strongly reduced or even reversed into net uptakes by the predicted decreases of soil water availability in the next decades. In all cases, it seems that VOC fluxes in soil might have greater

Exchange Rate Fluctuation and the Nigeria Economic Growth

Directory of Open Access Journals (Sweden)

Lawal Adedoyin Isola

2016-11-01

Full Text Available The aim of this study is to investigate the impact of exchange rate fluctuation on economic growth in Nigeria within the context of four profound theories: purchasing power parity; monetary model of exchange rates; the portfolio balance approach; and the optimal currency area theory. Data was collected from the CBN statistical bulletin in Nigeria from 2003– 2013and the Autoregressive Distributed Lag (ARDL model was employed to estimate the model. In the model, real GDP (RGDP was used as the proxy for economic growth while Inflation rate (IF, Exchange rate (EXC, Interest rate (INT and Money Supply(M2 as proxies for other macroeconomic variables. The empirical results show that exchange rate fluctuation has no effect on economic growth in the long run though a short run relationship exist between the two. Based on these findings, this paper recommends that the Central bank for policy purposes should ensure that stern foreign exchange control policies are put in place in order to help in appropriate determination of the value of the exchange rate. This will in the long run help to strengthen the value of the Naira.

Interest-Rate Volatility in the Baltics: Issues of Measurement and International Contagion

OpenAIRE

Scott W. Hegerty

2015-01-01

Prior to their entry into the Eurozone, the Baltic countries of Estonia, Latvia, and Lithuania faced a major financial crisis that was brought about by events abroad. This financial risk led to instability in the real economy as well. This study uses monthly data to first model interest-rate volatility as a measure of financial instability before using our preferred volatility measure to test for international spillovers among interest-rate and output fluctuations. Vector Autoregressive (VAR)...

38 CFR 3.32 - Exchange rates for foreign currencies.

Science.gov (United States)

2010-07-01

... Exchange rates for foreign currencies. When determining the rates of pension or parents' DIC or the amounts... parents' DIC. (1) Because exchange rates for foreign currencies cannot be determined in advance, rates of... 38 Pensions, Bonuses, and Veterans' Relief 1 2010-07-01 2010-07-01 false Exchange rates for...

Determining the Exchange Rate: Purchasing Power Parity – PPP

Directory of Open Access Journals (Sweden)

Bangun WIDOYOKO

2018-05-01

Full Text Available This study aimed to examine the effect of inflation on the issue of exchange rate determination of the forward exchange rate on the exchange rate of RMB (Renminbi to Rupiah. Inflation has been chosen as an independent variable because of its close relation to PPP (purchasing power parity theory. Analyses in this research have used logistic analysis with time series data. The data that has been used include exchange rate data with the period 2007-2017 with a sample size of 132 data. The results of this study have shown that inflation is effective in determining the exchange rate.

Volatility transmission and patterns in Bund futures

NARCIS (Netherlands)

Ph.H.B.F. Franses (Philip Hans); R. van Ieperen; A.J. Menkveld (Bert); P. Kofman (Paul); M.P.E. Martens (Martin)

1997-01-01

textabstractWe analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a

Structural VAR analysis of monetary transmission mechanism and central bank’s response to equity volatility shock in Taiwan

OpenAIRE

Lo, Chi-Sheng

2016-01-01

This research applies recursive Structural Vector Auto Regression (SVAR) model with short-run restriction into two kinds of shocks: monetary and volatility. The first SVAR estimates the shock of contractionary monetary policy on Taiwan’s key monthly macroeconomic variables including exports, CPI, exchange rate, money supply, and Taiwan Weighted Stock Exchange (TWSE) Index. The second SVAR estimates the shock of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) volatility of TW...

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

OpenAIRE

Laakkonen, Helinä; Lanne, Markku

2008-01-01

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and go...

Exchange Rate and the PRC Foreign Trade

Directory of Open Access Journals (Sweden)

Izotov D. A.

2009-09-01

Full Text Available The stages of exchange rate regulation and foreign trade systems reforming in PRC during the period 1978-2008 are examined. A quantitative assessment of PRC foreign trade parameters reactions to the currency rate dynamics on the national and regional levels is made. Also the import and export impact of potential exchange rate changes is estimated

Overcoming Fear of Floating: Exchange Rate Policies in Chile.

OpenAIRE

Jose De Gregorio; Andrea Tokman R.

2004-01-01

The paper reviews the exchange rate management experience in Chile, with particular emphasis on the floating exchange rate regime and its two forex intervention episodes. It presents evidence on Chile’s favorable conditions to face exchange rate shocks: a well-developed financial sector, that offers hedging opportunities taken up by the corporate sector to decrease its vulnerability through balance sheet effects; and a low and decreasing level of passthrough from the exchange rate to prices. ...

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

The Foreign Exchange 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.

Exchange rates and climate change: An application of fund

NARCIS (Netherlands)

Tol, R.S.J.

2006-01-01

As economic and emissions scenarios assume convergence of per capita incomes, they are sensitivity to the exchange rate used for international comparison. Particularly, developing countries are project to grow slower with a purchasing power exchange rate than with a market exchange rate. Different

Exchange rate predictability and state-of-the-art models

OpenAIRE

Yeșin, Pınar

2016-01-01

This paper empirically evaluates the predictive performance of the International Monetary Fund's (IMF) exchange rate assessments with respect to future exchange rate movements. The assessments of real trade-weighted exchange rates were conducted from 2006 to 2011, and were based on three state-of-the-art exchange rate models with a medium-term focus which were developed by the IMF. The empirical analysis using 26 advanced and emerging market economy currencies reveals that the "diagnosis" of ...

Exchange-Rate Unification with Black Market Leakages; Russia 1992

OpenAIRE

Linda S. Goldberg

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...

The macroeconomic effects of oil shocks under fixed and flexible exchange rates - a comparison

International Nuclear Information System (INIS)

Harvie, C.

1993-01-01

The objective of this paper is to explore further, from a primarily theoretical perspective, the macroeconomic implications arising for an oil-producing economy operating with either a fixed or flexible exchange rate system - to explore, in particular, which of these two extreme systems best offers insulatory properties, in the sense of reducing the volatility of adjustment of key macroeconomic variables arising primarily from oil-related shocks. The issue is explored by analyzing a theoretical framework, which emphasizes the long-run nature of the adjustment process. Such an emphasis is particularly pertinent in models which assume that economic agents possess rational expectations, where long-run equilibrium will have a major bearing upon the short-run adjustment process itself. However, due to the complexity of the model developed here, it is not possible to derive analytical unambiguous results, hence emphasis is placed upon deriving results through numerical simulation. The results derived enable an identification to be made of the importance, for policy purposes, of implementing an appropriate exchange rate system for oil producing and exporting economics with the characteristics emphasised in this paper. (3 figures). (Author)

Fluctuation Dynamics of Exchange Rates on Indian Financial Market

Science.gov (United States)

Sarkar, A.; Barat, P.

Here we investigate the scaling behavior and the complexity of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Our analysis revealed that the average daily exchange rate return of the Indian Rupee against the US Dollar exhibits a persistent scaling behavior and follow Levy stable distribution. On the contrary the average daily exchange rate returns of the other three foreign currencies show randomness and follow Gaussian distribution. Moreover, it is seen that the complexity of the average daily exchange rate return of the Indian Rupee against US Dollar is less than the other three exchange rate returns.

Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models

Directory of Open Access Journals (Sweden)

Andreea – Cristina PETRICĂ

2017-03-01

Full Text Available The aim of this study consists in examining the changes in the volatility of daily returns of EUR/RON exchange rate using on the one hand symmetric GARCH models (ARCH and GARCH and on the other hand the asymmetric GARCH models (EGARCH, TARCH and PARCH, since the conditional variance is time-varying. The analysis takes into account daily quotations of EUR/RON exchange rate over the period of 04th January 1999 to 13th June 2016. Thus, we are modeling heteroscedasticity by applying different specifications of GARCH models followed by looking for significant parameters and low information criteria (minimum Akaike Information Criterion. All models are estimated using the maximum likelihood method under the assumption of several distributions of the innovation terms such as: Normal (Gaussian distribution, Student’s t distribution, Generalized Error distribution (GED, Student’s with fixed df. Distribution, and GED with fixed parameter distribution. The predominant models turned out to be EGARCH and PARCH models, and the empirical results point out that the best model for estimating daily returns of EUR/RON exchange rate is EGARCH(2,1 with Asymmetric order 2 under the assumption of Student’s t distributed innovation terms. This can be explained by the fact that in case of EGARCH model, the restriction regarding the positivity of the conditional variance is automatically satisfied.

MONETARY MODELS AND EXCHANGE RATE DETERMINATION ...

African Journals Online (AJOL)

Power Party [PPP] based on the law of one price asserts that the change in the exchange rate between .... exchange in international economic transactions has made it vitally evident that the management of ... One lesson from this episode is to ...

The Skill-Biased Effects of Exchange Rate Fluctuations

OpenAIRE

Boris Kaiser; Michael Siegenthaler

2015-01-01

This paper examines the linkages between real exchange rate movements and firms' skill demand. Real exchange rate movements may affect unskilled workers differently than skilled workers because of skill-specific adjustment costs, or because exchange rates lead to changes in relative factor prices and firms' competition intensity. Using panel data on Swiss manufacturers, we find that an appreciation increases high-skilled and reduces low-skilled employment in most firms, while total employment...

Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries

Directory of Open Access Journals (Sweden)

Minh Thi Hong Le

2017-04-01

Full Text Available The study aims to analyse the impact of exchange rate exposure on stock returns in six countries representative of Southeast Asia, including Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam from 2009 to 2014. Both nominal and real exchange rates are taken into account for evaluating exchange rate fluctuations via panel data. In order to achieve this goal, a panel regressive estimation approach is proposed in which a GLS model is firstly used to treat heteroscedasticity in the panel data and, then, a GMM estimator is employed to ensure the consistency of the estimates. The results point out that the exchange rate exposure of these countries is asymmetric. At market level, for a rise in the exchange rate (or local currency depreciates, the average stock returns tend to decrease. However, due to the favourable impact of currency depreciation on the net export position, the reduction speed of stock returns is faster than the rising speed of the exchange rate.

Triangular arbitrage as an interaction among foreign exchange rates

Science.gov (United States)

Aiba, Yukihiro; Hatano, Naomichi; Takayasu, Hideki; Marumo, Kouhei; Shimizu, Tokiko

2002-07-01

We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction among three rates. The model explains the actual data of the multiple foreign exchange rates well.

Causes and Results of Exchange Rate Intervention Under Inflation Targeting

Directory of Open Access Journals (Sweden)

Bora Suslu

2012-06-01

Full Text Available Under inflation targeting, central banks exchange rate interventions are discussed frequently in the economic literature recently. Effectiveness of intervention in exchange rate under inflation targeting are examined from three perspectives. These are expectations of the actors and the impact on the variance, reserve accumulation and the cost of sterilization. Since 2003 the Central Bank of Turkey has intervened exchange rate with both direct and indirect methods. The purpose of this study is to examine the results of these three aspects of the CBRT and the foreign exchange interventions. We found that by logit analysis under the inflation targeting of CBRT as a result of the intervention of exchange rate is effect expectations of economic unit and reduce of exchange rate the variance; after thes intervention the variance of exchange rate and cost of sterilization are increased. In this respect, the effectiveness of the intervention of the Central Bank exchange rate market is only reserve accumulation

Production and Trade Situation in Iran and USA and Impact of Exchange rate Volatility on the Exports

OpenAIRE

M. Salarpour; S. Mojarad; M. Sabouhi

2015-01-01

In the present study, pistachio production and trade and influential factors on its exports in Iran and the USA are compared the the .Using the annual data from 1970 to 2011; this study aimed to analyze the effects of pistachio price and the effects of food security. Moreover, the relationship between exchange rate and pistachio export in the Iranian economy was analyzed through examining a non linear relation between the two factors. Therefore, the hypothesis validation upon nonlinearity re...

What determines the exchange rate: economic factors or market sentiment?

OpenAIRE

Gregory P. Hopper

1997-01-01

Do economic factors influence exchange rates? Or does market sentiment play a bigger role? Are short-run exchange rates predictable? Greg Hopper reviews exchange-rate economics, focusing on what is predictable and what isn't. He also examines the practical implications of exchange-rate theories for currency option pricing, risk management, and portfolio selection.

Determination of the Optimal Exchange Rate Via Control of the Domestic Interest Rate in Nigeria

Directory of Open Access Journals (Sweden)

Virtue U. Ekhosuehi

2014-01-01

Full Text Available An economic scenario has been considered 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. The dynamics of such an economy was considered in terms of 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 was used as a theoretical underpinning to specify the objective function. By assuming that, changes in exchange rates were induced by two effects: the impact of the domestic interest rate on the exchange rate and the exchange rate system adopted by the government. Instances for both fixed and flexible optimal exchange rate regimes have been determined. The use of the approach has been illustrated employing data obtained from the Central Bank of Nigeria (CBN statistical bulletin. (original abstract

Volatility forecasting for interbank offered rate using grey extreme learning machine: The case of China

International Nuclear Information System (INIS)

Liu, Xiaoyong; Fu, Hui

2016-01-01

Interbank Offered rate is the only direct market rate in China’s currency market. Volatility forecasting of China Interbank Offered Rate (IBOR) has a very important theoretical and practical significance for financial asset pricing and financial risk measure or management. However, IBOR is a dynamics and non-steady time series whose developmental changes have stronger random fluctuation, so it is difficult to forecast the volatility of IBOR. This paper offers a hybrid algorithm using grey model and extreme learning machine (ELM) to forecast volatility of IBOR. The proposed algorithm is composed of three phases. In the first, grey model is used to deal with the original IBOR time series by accumulated generating operation (AGO) and weaken the stochastic volatility in original series. And then, a forecasting model is founded by using ELM to analyze the new IBOR series. Lastly, the predictive value of the original IBOR series can be obtained by inverse accumulated generating operation (IAGO). The new model is applied to forecasting Interbank Offered Rate of China. Compared with the forecasting results of BP and classical ELM, the new model is more efficient to forecasting short- and middle-term volatility of IBOR.

The Exchange Rate Exposure of Danish Non-Financial Companies

DEFF Research Database (Denmark)

Aabo, Tom

1999-01-01

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......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......,1) regression analysis is shown to further improve the detection of exposures. The success in identifying exposures for Danish non-financial companies is in contrast to earlier US studies and is relevant in a European context....

Chartist Trading in Exchange Rate Theory

OpenAIRE

Selander, Carina

2006-01-01

This thesis consists of four papers, of which paper 1 and 4 are co-written with Mikael Bask. Paper [1] implements chartists trading in a sticky-price monetary model for determining the exchange rate. It is demonstrated that chartists cause the exchange rate to "overshoot the overshooting equilibrium" of a sticky-price monetary model. Chartists base their trading on a short-long moving average. The importance of technical trading depends inversely on the time horizon in currency trade. The exc...

real exchange rate misalignment and economic performance in ...

African Journals Online (AJOL)

... effects of real exchange rate misalignment on economic performance in Nigeria. .... main factors that impacts on real exchange rate in India .... financial assets and ignores non-economic factor such as .... and fiscal policies to control inflation.

Basic Exchange Rate Theories

NARCIS (Netherlands)

J.G.M. van Marrewijk (Charles)

2005-01-01

textabstractThis four-chapter overview of basic exchange rate theories discusses (i) the elasticity and absorption approach, (ii) the (long-run) implications of the monetary approach, (iii) the short-run effects of monetary and fiscal policy under various economic conditions, and (iv) the transition

Monetary policy and exchange rate dynamics: the exchange rate as a shock absorber

Czech Academy of Sciences Publication Activity Database

Audzei, Volha; Brázdik, F.

2015-01-01

Roč. 65, č. 5 (2015), s. 391-410 ISSN 0015-1920 Institutional support: PRVOUK-P23 Keywords : Czech Republic * exchange rates * sign restrictions Subject RIV: AH - Economics Impact factor: 0.449, year: 2015 http://journal.fsv.cuni.cz/storage/1340_audzei.pdf

Current Account and Real Exchange Rate Dynamics in Indonesia

Directory of Open Access Journals (Sweden)

Firman Mochtar

2015-07-01

Full Text Available We analyze the role of both permanent and temporary factors in affecting the Indonesian current account and real exchange dynamics before and after 2000. Adopting Lee and Chinn (1998; 2006 approach as well as Chinn et al. (2007, two results stand out. First, we confirm that the behavior of the real exchange rate has altered since 2000. Identifications show that permanent shocks are the primary causes for the movement of the real exchange rate after 2000, while in the period before 2000, the Indonesian real exchange rate changes are characterized by greater dominance of temporary shocks. The apparent change in the real exchange rate behavior may be strongly justified by the implementation of free-floating exchange rate system since August 1997. Second, the shift of the real exchange rate behavior after 2000 does not necessarily affect the current account dynamics. Empirical evidence confirms that the variance of current account post 2000 remains largely due to temporary shocks. Albeit having increasing influence, permanent shocks have insignificant effect in explaining fluctuations of the current account. In this sense, the current account surplus after 2000 is attributed largely to nominal variables such as price increase, while the impact of productivity improvement is still limited.

Real Exchange Rate Dynamics in a Small, Primary-Exporting Country

OpenAIRE

Mohsin S. Khan; Peter J. Montiel

1987-01-01

Although the nominal exchange rate is often used as a policy instrument in small, primary-commodity-exporting countries, the real exchange rate is an endogenous variable that responds to both exogenous and policyinduced shocks. This paper examines the dynamic effects on the real exchange rate of various shocks, such as devaluation, fiscal and trade policies, and changes in the terms of trade and foreign real interest rates. Because the path of the real exchange rate differs for different type...

Fear of Floating: Exchange Rate Flexibility Indices

OpenAIRE

Reinhart, Carmen

2001-01-01

Many emerging market countries have suffered financial crises. One view blames soft pegs for these crises. Adherents to that view suggest that countries move to corner solutions--hard pegs or floating exchange rates. We analyze the behavior of exchange rates, reserves, and interest rates to assess whether there is evidence that country practice is moving toward corner solutions. We focus on whether countries that claim they are floating are indeed doing so. We find that countries that say th...

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.

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

Exchange-rate-based stabilization in Argentina and Chile : a fresh look

OpenAIRE

Kiguel, Miguel A.; Liviatan, Nissan

1994-01-01

Exchange-rate-based stabilization is designed to reduce inflation by using the exchange rate as the main nominal anchor. This does not necessarily mean a fixed exchange rate. A crawling peg with a low rate of depreciation or a pre-announced gradual reduction in the rate of devaluation are alternative ways to use the exchange rate as a nominal anchor. Exchange-rate-based stabilization (ERBS) has been widely used in the high-inflation economies of Latin America. Argentina, Chile, and Uruguay ad...

Visibility graph approach to exchange rate series

Science.gov (United States)

Yang, Yue; Wang, Jianbo; Yang, Huijie; Mang, Jingshi

2009-10-01

By means of a visibility graph, we investigate six important exchange rate series. It is found that the series convert into scale-free and hierarchically structured networks. The relationship between the scaling exponents of the degree distributions and the Hurst exponents obeys the analytical prediction for fractal Brownian motions. The visibility graph can be used to obtain reliable values of Hurst exponents of the series. The characteristics are explained by using the multifractal structures of the series. The exchange rate of EURO to Japanese Yen is widely used to evaluate risk and to estimate trends in speculative investments. Interestingly, the hierarchies of the visibility graphs for the exchange rate series of these two currencies are significantly weak compared with that of the other series.

Solvent Exchange Rates of Side-chain Amide Protons in Proteins

International Nuclear Information System (INIS)

Rajagopal, Ponni; Jones, Bryan E.; Klevit, Rachel E.

1998-01-01

Solvent exchange rates and temperature coefficients for Asn/Gln side-chain amide protons have been measured in Escherichia coli HPr. The protons of the eight side-chain amide groups (two Asn and six Gln) exhibit varying exchange rates which are slower than some of the fast exchanging backbone amide protons. Differences in exchange rates of the E and Z protons of the same side-chain amide group are obtained by measuring exchange rates at pH values > 8. An NOE between a side-chain amide proton and a bound water molecule was also observed

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.

Impact of exchange rates on the world uranium market

International Nuclear Information System (INIS)

Fulton, M.E.; Combs, G.F. Jr.

1986-01-01

A preliminary analysis of the relationship between exchange rates and US uranium prices and product ion is presented. This analysis supplements the discussions on the broader topic of fuel prices, exchange rates and other international economic phenomena scheduled during the 1985 EPRI Fuel Supply Seminar. By varying exchange rate assumptions in the recently developed Uranium Market Model, estimates of the magnitude and timing of price and production effects were obtained. These effects do indeed appear to be large and have implications in procurement, fuel planning and commodity policy. While analysts may differ on details, the inescapable conclusion is that exchange rates matter a great deal in the uranium market. The case described is for a scenario of exchange rates with other currencies returning to their 1980 levels. A second case, an across the board weakening of the dollar by 25%, the results of which are somewhat less dramatic is also examined

Investigation of Chemical Exchange at Intermediate Exchange Rates using a Combination of Chemical Exchange Saturation Transfer (CEST) and Spin-Locking methods (CESTrho)

Science.gov (United States)

Kogan, Feliks; Singh, Anup; Cai, Keija; Haris, Mohammad; Hariharan, Hari; Reddy, Ravinder

2011-01-01

Proton exchange imaging is important as it allows for visualization and quantification of the distribution of specific metabolites with conventional MRI. Current exchange mediated MRI methods suffer from poor contrast as well as confounding factors that influence exchange rates. In this study we developed a new method to measure proton exchange which combines chemical exchange saturation transfer (CEST) and T1ρ magnetization preparation methods (CESTrho). We demonstrated that this new CESTrho sequence can detect proton exchange in the slow to intermediate exchange regimes. It has a linear dependence on proton concentration which allows it to be used to quantitatively measure changes in metabolite concentration. Additionally, the magnetization scheme of this new method can be customized to make it insensitive to changes in exchange rate while retaining its dependency on solute concentration. Finally, we showed the feasibility of using CESTrho in vivo. This sequence is able to detect proton exchange at intermediate exchange rates and is unaffected by the confounding factors that influence proton exchange rates thus making it ideal for the measurement of metabolites with exchangeable protons in this exchange regime. PMID:22009759

Investigation of chemical exchange at intermediate exchange rates using a combination of chemical exchange saturation transfer (CEST) and spin-locking methods (CESTrho).

Science.gov (United States)

Kogan, Feliks; Singh, Anup; Cai, Keija; Haris, Mohammad; Hariharan, Hari; Reddy, Ravinder

2012-07-01

Proton exchange imaging is important as it allows for visualization and quantification of the distribution of specific metabolites with conventional MRI. Current exchange mediated MRI methods suffer from poor contrast as well as confounding factors that influence exchange rates. In this study we developed a new method to measure proton exchange which combines chemical exchange saturation transfer and T(1)(ρ) magnetization preparation methods (CESTrho). We demonstrated that this new CESTrho sequence can detect proton exchange in the slow to intermediate exchange regimes. It has a linear dependence on proton concentration which allows it to be used to quantitatively measure changes in metabolite concentration. Additionally, the magnetization scheme of this new method can be customized to make it insensitive to changes in exchange rate while retaining its dependency on solute concentration. Finally, we showed the feasibility of using CESTrho in vivo. This sequence is able to detect proton exchange at intermediate exchange rates and is unaffected by the confounding factors that influence proton exchange rates thus making it ideal for the measurement of metabolites with exchangeable protons in this exchange regime. Copyright © 2011 Wiley Periodicals, Inc.

Misalignment under different exchange rate regimes: the case of Turkey

OpenAIRE

Dağdeviren, Sengül; Ogus Binatli, Ayla; Sohrabji, Niloufer

2011-01-01

The paper examines misalignment of the Turkish lira between 1998 to 2008. Misalignment, specifically overvaluation has been linked to fixed exchange rate regimes. By studying the case of Turkey during this period which covers both a fixed and floating exchange rate regime, we contribute to the literature on the relation between misalignment and exchange rate regimes. We first estimate the equilibrium real exchange rate for Turkey, then compute misalignment and finally test for structural brea...

The Estimation of the Equilibrium Real Exchange Rate for Romania

OpenAIRE

Bogdan Andrei Dumitrescu; Vasile Dedu

2009-01-01

This paper aims to estimate the equilibrium real exchange rate for Romania, respectively the real exchange rate consistent with the macroeconomic balance, which is achieved when the economy is operating at full employment and low inflation (internal balance) and has a current account that is sustainable (external balance). This equilibrium real exchange rate is very important for an economy because deviations of the real exchange rate from its equilibrium value can affect the competitiveness ...

Exchange Rate and Inflation Dynamics

OpenAIRE

Eatzaz Ahmad; Saima Ahmed Ali

1999-01-01

This paper studies simultaneous determination of nominal exchange rate and domestic price level in Pakistan. The estimated model contains sufficient built-in dynamics to trace the pattern and speed of adjustment in the two variables in response to temporary or permanent shocks. The two domestic shocks considered in the paper are monetary and real shocks, while the three external shocks considered are import price, export price and foreign exchange reserves shocks. The study finds that the imp...

Indoor Levels of Formaldehyde and Other Pollutants and Relationship to Air Exchange Rates and Human Activities

Science.gov (United States)

Huangfu, Y.; O'Keeffe, P.; Kirk, M.; Walden, V. P.; Lamb, B. K.; Jobson, B. T.

2017-12-01

This paper reports results on an indoor air quality study conducted on six homes in summer and winter, contrasting indoor and outdoor concentrations of O3, CO, CO2, NOx, PM2.5, and selected volatile organic hydrocarbons measured by PTR-MS. Data were collected as 1 minute averages. Air exchange rates of the homes were determined by CO2 tracer release. Smart home sensors, recording human activity level in various places in the home, and window and doors openings, were utilized to better understand the link between human activity and indoor air pollution. From our study, averaged air exchange rates of the homes ranged from 0.2 to 1.2 hour-1 and were greatly affected by the ventilation system type and window and door openings. In general, a negative correlation between air exchange rate and indoor VOCs levels was observed, with large variation of pollutant levels between the homes. For most of the VOCs measured in the house, including formaldehyde and acetaldehyde, summer levels were much higher than winter levels. In some homes formaldehyde levels displayed a time of day variation that was linked to changes in indoor temperature. During a wildfire period in the summer of 2015, outdoor levels of PM2.5, formaldehyde, and benzene dramatically increased, significantly impacting indoor levels due to infiltration. Human activities, such as cooking, can significantly change the levels of most of the compounds measured in the house and the levels can be significantly elevated for short periods of time, with peak levels can be several orders higher compared with typical levels. The data suggest that an outcome of state energy codes that require new homes to be energy efficient, and as a consequence built with lower air exchange rates, will be unacceptable levels of air toxics, notably formaldehyde.

Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through

OpenAIRE

Takatoshi Ito; Kiyotaka Sato

2006-01-01

Macroeconomic consequences of a large currency depreciation among the crisis-hit Asian economies had varied from one country to another. Inflation did not soar in most Asian countries, including Thailand and Korea, after the exchange rate depreciated during the crisis. Indonesia, however, suffered very high inflation following a very large nominal depreciation of the rupiah. As a result, price competitive advantage by the rupiah depreciation was lost in the real exchange rate terms. The objec...

Exchange rate formation in Ukraine and its impact on macroeconomic indicators

OpenAIRE

Koroliuk Tatiana Aleksandrovna

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.

Relationship between indoor radon concentrations and air exchange rate

International Nuclear Information System (INIS)

Wang Jingshu; Liu Yuyu; Yao Xiaohua; Meng Jianfeng; Zhang Yongyi; Wang Xiaohe; Yu Xiufen.

1995-01-01

The indoor concentration of radon and the air exchange rate were simultaneously measured in four empty rooms, made of brick and cement, which were located in different floors of dwelling houses in Taiyuan, Shanxi, China. SF 6 tracer gas decay method was used to measure the air exchange rate. Indoor radon was collected with the dimembrane method. When the ventilation rate increased, the concentration of radon dropped rapidly. Regression analysis indicated that the indoor concentration of radon was equal to the outdoor level of radon when the air exchange rate was greater than 3-4. SF 6 decay method was an effective and convenient method for measuring the air exchange rate. There was no marked difference in measurements obtained in different locations of a room. (N.K.)

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....

Political pressures and exchange rate stability in emerging market economies

OpenAIRE

Ester Faia; Massimo Giuliodori; Michele Ruta

2008-01-01

This paper presents a political economy model of exchange rate policy. The theory is based on a common agency approach with rational expectations. Financial and exporter lobbies exert political pressures to influence the government’s choice of exchange rate policy, before shocks to the economy are realized. The model shows that political pressures affect exchange rate policy and create an over-commitment to exchange rate stability. This helps to rationalize the empirical evidence on fear of l...

The case for regional exchange rate arrangement in East Asia

OpenAIRE

Takuji Kinkyo

2004-01-01

The Asian crisis highlighted the difficulties for developing countries to actively manage exchange rates in an environment of high capital mobility. Now it became fashionable to argue that the exchange rate should be either allowed to float freely or irrevocably fixed. This paper examines the case for regional exchange rate arrangements as an instrument to enhance the manageability of exchange rates and discusses the options in East Asia. It critically assess the existing proposal of common b...

Exchange Rate Effects on International Commercial Trade Competitiveness

Directory of Open Access Journals (Sweden)

Ionel Bostan

2018-04-01

Full Text Available This study is meant to be an evaluation sustained by theoretical and empirical considerations of the exchange rate impact on international commercial trade competitiveness. In this respect, the study aims to find how the exchange rate influences Romanian competitiveness through assessing the effects generated on exports and imports. The main purpose of the study is to assess the complex action of the exchange rate on international commercial trade competitiveness in contemporaneity and the connections between these variables. The empirical part contains a regression analysis where exports and imports are dependent variables influenced by a series of determinants.

CHANGES IN EXCHANGE RATE REGIMES

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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.

Investigating the effects of liquidity and exchange rate on Tehran Stock Exchange

Directory of Open Access Journals (Sweden)

Younos Vakil Alroaia

2014-08-01

Full Text Available This paper presents an empirical investigation to study the effects of two macroeconomic factors; namely exchange rate and liquidity on stock index. The proposed study was applied in Iran and on major index of Tehran Stock Exchange over the period 2001-2011. They reported that the currency exchange maintained negative impact on stock exchange for the period of investigation. This is due to the fact that when currency devalued, working capital decreases and firms did not enough money to purchase raw materials, pay wages, etc. In addition, liquidity marinated a direct and positive relationship with exchange index. However, the impact of liquidity seems to be bigger than currency exchange.

Brazilian exchange rate complexity: Financial crisis effects

Science.gov (United States)

Piqueira, José Roberto C.; Mortoza, Letícia Pelluci D.

2012-04-01

With the financial market globalization, foreign investments became vital for the economies, mainly in emerging countries. In the last decades, Brazilian exchange rates appeared as a good indicator to measure either investors' confidence or risk aversion. Here, some events of global or national financial crisis are analyzed, trying to understand how they influenced the "dollar-real" rate evolution. The theoretical tool to be used is the López-Mancini-Calbet (LMC) complexity measure that, applied to real exchange rate data, has shown good fitness between critical events and measured patterns.

Volatilization from borosilicate glass melts of simulated Savannah River Plant waste

International Nuclear Information System (INIS)

Wilds, G.W.

1979-01-01

Laboratory scale studies determined the rates at which the semivolatile components sodium, boron, lithium, cesium, and ruthenium volatilized from borosilicate glass melts that contained simulated Savannah River Plant waste sludge. Sodium and boric oxides volatilize as the thermally stable compound sodium metaborate, and accounted for approx. 90% of the semivolatiles that evolved. The amounts of semivolatiles that evolved increased linearly with the logarithm of the sodium content of the glass-forming mixture. Cesium volatility was slightly suppressed when titanium dioxide was added to the melt, but was unaffected when cesium was added to the melt as a cesium-loaded zeolite rather than as a cesium carbonate solution. Volatility of ruthenium was not suppressed when the glass melt was blanketed with a nonoxidizing atmosphere. Trace quantities of mercury were removed from vapor streams by adsorption onto a silver-exchanged zeolite. A bed containing silver in the ionic state removed more than 99.9% of the mercury and had a high chemisorption capacity. Beds of lead-, copper-, and copper sulfide-exchanged zeolite-X and also an unexchanged zeolite-X were tested. None of these latter beds had high removal efficiency and high chemisorption capacity

Volatilization from borosilicate glass melts of simulated Savannah River Plant waste

International Nuclear Information System (INIS)

Wilds, G.W.

1978-01-01

Laboratory scale studies determined the rates at which the semivolatile components sodium, boron, lithium, cesium, and ruthenium volatilized from borosilicate glass melts that contained simulated Savannah River Plant waste sludge. Sodium and boric oxides volatilize as the thermally stable compound sodium metaborate, and accounted for approx. 90% of the semivolatiles that evolved. The amounts of semivolatiles that evolved increased linearly with the logarithm of the sodium content of the glass-forming mixture. Cesium volatility was slightly suppressed when titanium dioxide was added to the melt, but was unaffected when cesium was added to the melt as a cesium-loaded zeolite rather than as a cesium carbonate solution. Volatility of ruthenium was not suppressed when the glass melt was blanketed with a nonoxidizing atmosphere. Trace quantities of mercury were removed from vapor streams by adsorption onto a silver-exchanged zeolite. A bed containing silver in the ionic state removed more than 99.9% of the mercury and had a high chemisorption capacity. Beds of lead-, copper-, and copper sulfide-exchanged zeolite-X and also an unexchanged zeolite-X were tested. None of these latter beds had high removal efficiency and high chemisorption capacity

Analysing movements in investor’s risk aversion using the Heston volatility model

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Alexie ALUPOAIEI

2013-03-01

Full Text Available In this paper we intend to identify and analyze, if it is the case, an “epidemiological” relationship between forecasts of professional investors and short-term developments in the EUR/RON exchange rate. Even that we don’t call a typical epidemiological model as those ones used in biology fields of research, we investigated the hypothesis according to which after the Lehman Brothers crash and implicit the generation of the current financial crisis, the forecasts of professional investors pose a significant explanatory power on the futures short-run movements of EUR/RON. How does it work this mechanism? Firstly, the professional forecasters account for the current macro, financial and political states, then they elaborate forecasts. Secondly, based on that forecasts they get positions in the Romanian exchange market for hedging and/or speculation purposes. But their positions incorporate in addition different degrees of uncertainty. In parallel, a part of their anticipations are disseminated to the public via media channels. Since some important movements are viewed within macro, financial or political fields, the positions of professsional investors from FX derivative market are activated. The current study represents a first step in that direction of analysis for Romanian case. For the above formulated objectives, in this paper different measures of EUR/RON rate volatility have been estimated and compared with implied volatilities. In a second timeframe we called the co-integration and dynamic correlation based tools in order to investigate the relationship between implied volatility and daily returns of EUR/RON exchange rate.

Macroeconomic and financial market volatilities: an empirical evidence of factor model

OpenAIRE

Wei-Choun Yu

2008-01-01

In this paper, we provide two empirical findings. First, exploring 140 monthly macroeconomic and financial variables and applying the principal components method, we find 12 static factors and 8 dynamic factors from 1959 to 2005 in the US. Second, we find the real factor and interest rate factor have been less volatile since the mid 1980s. The price factor and foreign exchange factor, in contrast, became more volatile in the late 1990s. The rest of the factors show no obvious pattern. We find...

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

Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries

OpenAIRE

Minh Thi Hong Le; Ha Thi Cam Huynh; Hong Thi Thu Dinh

2017-01-01

The study aims to analyse the impact of exchange rate exposure on stock returns in six countries representative of Southeast Asia, including Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam from 2009 to 2014. Both nominal and real exchange rates are taken into account for evaluating exchange rate fluctuations via panel data. In order to achieve this goal, a panel regressive estimation approach is proposed in which a GLS model is firstly used to treat heteroscedasticity in the...

77 FR 20680 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Science.gov (United States)

2012-04-05

... index options; and $0.40 per contract in volatility index options. The Exchange notes that CBOE Market.... The Exchange also notes that the $0.25 per contract transaction rates for Professionals and Voluntary... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-66704; File No. SR-CBOE-2012-030] Self...

An empirical study of exchange rate pass-through in China

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Jin Xiaowen

2012-01-01

Full Text Available This paper seeks to estimate exchange rate pass-through in China and investigate its relationship with monetary policy. Linear and VAR models are applied to analyze robustness. The linear model shows that, over the long run, a 1% appreciation of NEER causes a decline in the CPI inflation rate of 0.132% and PPI inflation rate of 0.495%. The VAR model supports the results of the linear model, suggesting a fairly low CPI pass-through and relatively higher PPI pass-through. Furthermore, this paper finds that, with the fixed exchange rate regime, CPI pass-through remains higher. The exchange rate regimes influence on CPI pass through, combined with the fact that appreciation diminishes inflation, suggests that the Chinese government could pursue a more flexible exchange rate policy. In addition, reasons for low exchange rate pass-through for CPI are analyzed. The analysis considers price control, basket and weight of Chinese price indices, distribution cost, and imported and non-tradable share of inputs.

A New Approach to Forecasting Exchange Rates

OpenAIRE

Kenneth W Clements; Yihui Lan

2006-01-01

Building on purchasing power parity theory, this paper proposes a new approach to forecasting exchange rates using the Big Mac data from The Economist magazine. Our approach is attractive in three aspects. Firstly, it uses easily-available Big Mac prices as input. These prices avoid several serious problems associated with broad price indexes, such as the CPI, that are used in conventional PPP studies. Secondly, this approach provides real-time exchange-rate forecasts at any forecast horizon....

Introducing False EUR and False EUR exchange rates

Science.gov (United States)

Ausloos, M.; Ivanova, K.

2000-10-01

The Euro ( EUR) is a new currency introduced by the European Community. Its exchange rate is very puzzling. We have invented a false Euro ( FEUR) dating back to 1993 and have derived the exchange rates of the FEUR with respect to currencies not belonging to the EUR, i.e., DKK, CHF, JPY and USD. This allows us to search for correlations between the fluctuations preexisting to the introduction of EUR and present ones in such financial data. The detrended fluctuation analysis ( DFA) statistical method is used. This leads to assume a power-law behavior, i.e., a scaling hypothesis, through an exponent α. The latter has demonstrated its usefulness for the investigations of long-range power-law correlations in several types of financial sequences. Our findings show that the α exponent interestingly characterizes fractional Brownian motion of the currency exchange rates between EUR and DKK over a 25 day interval, and usual Brownian motion otherwise and for the three other investigated exchange rates. We can devise an investment strategy based on the localα technique and obtain appreciable gains for the time being.

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. © 2016 The Authors. NMR in Biomedicine published by John Wiley & Sons Ltd.

Exchange rate regimes and inflation: Evidence from India.

OpenAIRE

Mohanty, Biswajit; Bhanumurthy, N.R.

2014-01-01

Exchange rate stability is crucial for inflation management as a stable rate is expected to reduce domestic inflation pressures through a `policy discipline effect'- restricting money supply growth, and a `credibility effect'- inducing higher money demand and reduced velocity of money. Alternatively, the impossibility trillema predicts that in the presence of an open capital account, a stable exchange rate may lead to lack of control on monetary policy and, hence, higher inflation. Using a mo...

Impacts of Changes of Indoor Air Pressure and Air Exchange Rate in Vapor Intrusion Scenarios.

Science.gov (United States)

Shen, Rui; Suuberg, Eric M

2016-02-01

There has, in recent years, been increasing interest in understanding the transport processes of relevance in vapor intrusion of volatile organic compounds (VOCs) into buildings on contaminated sites. These studies have included fate and transport modeling. Most such models have simplified the prediction of indoor air contaminant vapor concentrations by employing a steady state assumption, which often results in difficulties in reconciling these results with field measurements. This paper focuses on two major factors that may be subject to significant transients in vapor intrusion situations, including the indoor air pressure and the air exchange rate in the subject building. A three-dimensional finite element model was employed with consideration of daily and seasonal variations in these factors. From the results, the variations of indoor air pressure and air exchange rate are seen to contribute to significant variations in indoor air contaminant vapor concentrations. Depending upon the assumptions regarding the variations in these parameters, the results are only sometimes consistent with the reports of several orders of magnitude in indoor air concentration variations from field studies. The results point to the need to examine more carefully the interplay of these factors in order to quantitatively understand the variations in potential indoor air exposures.

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

OpenAIRE

Klára Plecitá; Luboš Střelec

2012-01-01

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 ...

Exchange rate policy and devaluation in Malawi:

OpenAIRE

Pauw, Karl; Dorosh, Paul A.; Mazunda, John

2013-01-01

This study demonstrates why devaluation was ultimately necessary in Malawi and also what its eventual impact might be in terms of prices, income distribution, and domestic production. Our approach is to use a computable general equilibrium (CGE) model to evaluate the economywide impacts of foreign exchange shortages in Malawi under two alternative exchange rate regimes. The foreign exchange shortages are modeled by simulating the effect of actual shocks, including tobacco price declines and r...

3ON PAK RUPEE EXCHANGE RATES: WHETHER STOCK OR FLOW MATTERS?

Directory of Open Access Journals (Sweden)

Razzaque H Bhatti

2011-01-01

Full Text Available This paper examines whether the monetary model or the flow model of exchange rate explains the long-run movements in Pak rupee exchange rates vis-à-vis the four major currencies – the US dollar, British pound, Swiss franc and Japanese yen – over the period 1983q1-2009q4. Results obtained by employing the Johansen and Juselius (1990 technique of cointegration are supportive of the monetary model in two Pak rupee exchange rates vis-à-vis the US dollar and the Swiss franc when both short- and long-run interest rates are used and of the flow model in three exchange rates vis-à-vis the British pound, Swiss franc and Japanese yen when the short-run interest rate is used. These results show that both stock equilibrium in capital markets and flow equilibrium in foreign exchange markets determine Pak rupee exchange rates.

THE DETERMINATION OF THE COSTA RICA COLON/USD EXCHANGE RATE

OpenAIRE

Yu Hsing

2009-01-01

The purpose of this paper is to compare four major exchange rate models for the Costa Rica Colon. We examine exchange rate data for the Costa Rica/U.S. dollar relationship from 1981-2007 and find that monetary models have a higher explanatory ability whereas the Mundell-Fleming model performs better in forecasting exchange rates than other models. The coefficient of the interest rate differential in the uncovered interest parity model has a wrong sign.

Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India

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Sharma Chandan

2017-08-01

Full Text Available This paper examines the effect of monetary policy shocks on exchange rate in a Multiple Indicator Approach (MIA framework. This study has employed a monetary policy index of key monetary policy instruments in India (Bank rate, Cash Reserve Ratio, Repo and Reverse Repo rates. The study finds the empirical evidence for puzzling behavior of price level and exchange rate. Both price and exchange rate increase initially in response to a contractionary policy shock. Policy shocks affect output, inflation and exchange rate to an appreciable extent over a forecasting horizon of one year.

Empirical Correction for Differences in Chemical Exchange Rates in Hydrogen Exchange-Mass Spectrometry Measurements.

Science.gov (United States)

Toth, Ronald T; Mills, Brittney J; Joshi, Sangeeta B; Esfandiary, Reza; Bishop, Steven M; Middaugh, C Russell; Volkin, David B; Weis, David D

2017-09-05

A barrier to the use of hydrogen exchange-mass spectrometry (HX-MS) in many contexts, especially analytical characterization of various protein therapeutic candidates, is that differences in temperature, pH, ionic strength, buffering agent, or other additives can alter chemical exchange rates, making HX data gathered under differing solution conditions difficult to compare. Here, we present data demonstrating that HX chemical exchange rates can be substantially altered not only by the well-established variables of temperature and pH but also by additives including arginine, guanidine, methionine, and thiocyanate. To compensate for these additive effects, we have developed an empirical method to correct the hydrogen-exchange data for these differences. First, differences in chemical exchange rates are measured by use of an unstructured reporter peptide, YPI. An empirical chemical exchange correction factor, determined by use of the HX data from the reporter peptide, is then applied to the HX measurements obtained from a protein of interest under different solution conditions. We demonstrate that the correction is experimentally sound through simulation and in a proof-of-concept experiment using unstructured peptides under slow-exchange conditions (pD 4.5 at ambient temperature). To illustrate its utility, we applied the correction to HX-MS excipient screening data collected for a pharmaceutically relevant IgG4 mAb being characterized to determine the effects of different formulations on backbone dynamics.

A panel data investigation of real exchange rate misalignment and growth

Directory of Open Access Journals (Sweden)

Flávio Vilela Vieira

2012-09-01

Full Text Available The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (fixed and random effects for the real exchange rate in order to produce estimates of the equilibrium real exchange rate and this is then used to construct measures of real exchange rate misalignment. We provide an alternative set of estimates of RER misalignment using panel cointegration methods. The results for the two-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different model specification and samples, which means that a more depreciated (appreciated real exchange rate helps (harms long-run growth. The estimated coefficients are higher for developing and emerging countries.

Exchange Rate Instability: Japan's Micro-Macro Experiences and Implications for China

Institute of Scientific and Technical Information of China (English)

Mamoru Ishida

2006-01-01

Since 1985, the yen-dollar exchange rates repeatedly fluctuated and climbed to a level that could not be justified by economic fundamentals. The impacts on the Japanese economy were serious and far-reaching.Since 21 July 2005, China has been moving toward a more flexible exchange rate regime. Keeping RMB exchange rates basically stable and providing Chinese industries with means to hedge exchange rate risks are essential for China's sound economic development.

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...

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...

Exchange Rate and Interest Rate in the Monetary Policy Reaction Function

Directory of Open Access Journals (Sweden)

Krušković Borivoje D.

2017-01-01

Full Text Available In recent years there has been a particular interest in the relation between exchange rates and interest rates both in developed countries and emerging countries. This is understandable given the important role that these variables have in determining the movement of nominal and real economic variables, including the movement of domestic inflation, real output, exports and imports, foreign exchange reserves, etc. To realized the importance of the given instruments selected macroeconomic indicators, data analysis (monthly data relating to Serbia was made on the basis of the Transfer Function Model, a data analysis (annual data relating to emerging countries was done on the basis of the Stepvise Multiple Regression model. In the transfer function model we used the Maximum Likelihood method for assessing unknown coefficients. In the gradual multiple regression model we used the Least Square method for the evaluation of unknown coefficients. All indicator values were used in the original unmodified form, i.e. there was no need for a variety of transformations. Empirical analysis showed that the exchange rate is a more significant transmission mechanism than the interest rate both in emerging markets and Serbia.

Exchange rate stabilization under imperfect credibility

OpenAIRE

Calvo, Guillermo; Vegh, Carlos

1991-01-01

This paper analyzes stabilization policy under predetermined exchange rates in a cash-in-advance, staggered-prices model. Under full credibility, a reduction in the rate of devaluation results in an immediate and permanent reduction in the inflation rate, with no effect on output or consumption. In contrast, a non-credible stabilization results in an initial expansion of output, followed by a later recession. The inflation rate of home goods remains above the rate of devaluation throughout...

A multiscale extension of the Margrabe formula under stochastic volatility

International Nuclear Information System (INIS)

Kim, Jeong-Hoon; Park, Chang-Rae

2017-01-01

Highlights: • Fast-mean-reverting stochastic volatility model is chosen to extend the classical Margrabe formula. • The resultant formula is explicitly given by the greeks of Margrabe price itself. • We show how the stochastic volatility corrects the Margrabe price behavior. - Abstract: The pricing of financial derivatives based on stochastic volatility models has been a popular subject in computational finance. Although exact or approximate closed form formulas of the prices of many options under stochastic volatility have been obtained so that the option prices can be easily computed, such formulas for exchange options leave much to be desired. In this paper, we consider two different risky assets with two different scales of mean-reversion rate of volatility and use asymptotic analysis to extend the classical Margrabe formula, which corresponds to a geometric Brownian motion model, and obtain a pricing formula under a stochastic volatility. The resultant formula can be computed easily, simply by taking derivatives of the Margrabe price itself. Based on the formula, we show how the stochastic volatility corrects the Margrabe price behavior depending on the moneyness and the correlation coefficient between the two asset prices.

Exchange rate policy and external debt in emerging economies: an empirical analysis

OpenAIRE

Cebir, Bilgen

2012-01-01

In this thesis, we empirically analyze the e ects of exchange rate policy on external debt accumulation in emerging market economies with a sample of 15 countries over the period 1998-2010. The exchange rate policy is captured by the de facto exchange rate classi cation of Ilzetzki, Reinhart, and Rogo (2008). This classification is based on the actual exchange rate behavior rather than the officially declared regimes. Therefore, it is expected to better reflect the exchange rate policies act...

Cross-correlations between RMB exchange rate and international commodity markets

Science.gov (United States)

Lu, Xinsheng; Li, Jianfeng; Zhou, Ying; Qian, Yubo

2017-11-01

This paper employs multifractal detrended analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) to study cross-correlation behaviors between China's RMB exchange rate market and four international commodity markets, using a comprehensive set of data covering the period from 22 July 2005 to 15 March 2016. Our empirical results from MF-DFA indicate that the RMB exchange rate is the most inefficient among the 4 selected markets. The results from quantitative analysis have testified the existence of cross-correlations and the result from MF-DCCA have further confirmed a strong multifractal behavior between RMB exchange rate and international commodity markets. We also demonstrate that the recent financial crisis has significant impact on the cross-correlated behavior. Through the rolling window analysis, we find that the RMB exchange rates and international commodity prices are anti-persistent cross-correlated. The main sources of multifractality in the cross-correlations are long-range correlations between RMB exchange rate and the aggregate commodity, energy and metals index.

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.

EXCHANGE-RATES FORECASTING: EXPONENTIAL SMOOTHING TECHNIQUES AND ARIMA MODELS

Directory of Open Access Journals (Sweden)

Dezsi Eva

2011-07-01

Full Text Available Exchange rates forecasting is, and has been a challenging task in finance. Statistical and econometrical models are widely used in analysis and forecasting of foreign exchange rates. This paper investigates the behavior of daily exchange rates of the Romanian Leu against the Euro, United States Dollar, British Pound, Japanese Yen, Chinese Renminbi and the Russian Ruble. Smoothing techniques are generated and compared with each other. These models include the Simple Exponential Smoothing technique, as the Double Exponential Smoothing technique, the Simple Holt-Winters, the Additive Holt-Winters, namely the Autoregressive Integrated Moving Average model.

Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange

Science.gov (United States)

Lahmiri, Salim

In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.

Nasal congestion in relation to low air exchange rate in schools. Evaluation by acoustic rhinometry.

Science.gov (United States)

Wålinder, R; Norbäck, D; Wieslander, G; Smedje, G; Erwall, C

1997-09-01

Upper airway symptoms are common, but there is little information available on clinical findings in relation to indoor air pollution. This pilot study was conducted to test whether increased levels of indoor air pollutants in schools may correlate to a swelling of the nasal mucosa. The assumption was made that the degree of swelling could be related to the degree of decongestive effect of xylometazoline, and measured by acoustic rhinometry. The study was performed among 15 subjects in a school with low air exchange rate (0.6 air changes/h) and 12 subjects in a school with high air exchange rate (5.2 air changes/h). Hygienic measurements were performed in both schools. Acoustic rhinometry was performed for each individual under standardized forms. Cross-sectional areas and volumes of the nasal cavity were measured before and after decongestion with xylometazoline hydrochloride. Absolute values of the minimal cross-sectional area were lower in the school with poor ventilation. The decongestive effect of xylometazoline was significantly higher in the school with low air exchange, when correction for the influence of age was made. A diminished decongestive effect was seen with increasing age. The exposure measurements showed that indoor concentrations of volatile organic compounds, bacteria and moulds were higher in the school with low ventilation. In conclusion, raised levels of indoor air pollutants due to inadequate ventilation in schools may affect the upper airways and cause a swelling of the nasal mucosa, and acoustic rhinometry could be a useful objective method to measure human nasal reactions to the indoor environment.

Estimating Exchange Market Pressure and the Degree of Exchange Market Intervention for Finland during the Floating Exchange Rate Regime

OpenAIRE

Pösö, Mika; Spolander, Mikko

1997-01-01

In this paper, we use a fairly simple monetary macro model to calculate the quarterly measures of exchange market pressure and the degree of the Bank of Finland's intervention during the time the markka was floated. Exchange market pressure measures the size of the exchange rate change that would have occurred if the central bank had unexpectedly refrained from intervening in the foreign exchange market. Intervention activity of the central bank is measured as the proportion of exchange marke...

A re-examination of the exchange rate overshooting hypothesis

African Journals Online (AJOL)

kirstam

Studies on exchange rate overshooting on the Zambian foreign exchange rate market are .... depreciation between 2008 and 2009 during the great recession. Figure 2 shows ...... manufacturing sector in Nigeria', European Journal of Business and Management, 5(22):. 67–73 .... paper. Washington, DC: IMF Working Paper.

Application for Determination of the Forward Exchange Rate in Access 2003

Directory of Open Access Journals (Sweden)

Loredana MOCEAN

2006-01-01

Full Text Available The exchange rate set the present rate for a foreign currency transaction with payment or delivery at some future date. Forward rates are calculated by using the current exchange rate for the currency pair and the interest rates for the two currencies and allow you to lock in rate now for a future. This paper describes the formulas which determinate the forward exchange rate and how can we implement them in a short, but efficient informatics application.

The Brazilian experience in managing interest-exchange rate nexus

OpenAIRE

Ricardo Carneiro; Pedro Rossi

2013-01-01

This paper addresses four main questions: firstly, it discusses some theoretical background related to the interest-exchange rate nexus; secondly, it makes an attempt to explain why the interest rate in Brazil is so high, examining briefly the main explanations for it; thirdly, it describes Brazil’s foreign exchange markets, their size and hierarchy; and lastly, it explains the carry trade dynamics considering the institutionalism of the Brazilian foreign exchange market and also the govern...

Real Exchange Rate and Productivity in an OLG Model

OpenAIRE

Thi Hong Thinh DOAN; Karine GENTE

2013-01-01

This article develops an overlapping generations model to show how demography and savings affect the relationship between real exchange rate (RER) and productivity. In high-saving (low-saving) countries and/or low-population-growth-rate countries, a rise in productivity leads to a real depreciation (appreciation) whereas the RER may appreciate or depreciate in highproduction-growth-rate. Using panel data, we conclude that a rise in productivity generally causes a real exchange rate appreciati...

Exchange Rate Regime and External Adjustment in CEE Countries

Directory of Open Access Journals (Sweden)

Jacek Pietrucha

2015-04-01

Full Text Available The paper reviews effects of exchange rate regime's choice for adjustments processes in current accounts (CA in the Central and Eastern Europe countries between 2008-2012. During the period of global financial crisis, Poland may be treated as a handbook example of the reaction of floating exchange rate to shock and adjustments in the form of expenditure switching. However, the Polish experience is not typical among the Central and Eastern Europe countries. There is no evidence for the positive role of floating exchange rate in macroeconomic adjustments after the crisis in Central and Eastern Europe countries which belong to EU. The adjustments in the countries with fixed regimes were fast and deep. The real exchange rate decreased and export, CA and goods and services balance improved, development distance against EU countries was reduced. However, the experience of Baltic countries, which have internal devaluation, should be very carefully conveyed to other countries.

Research on release rate of volatile organic compounds in typical vessel cabin

Directory of Open Access Journals (Sweden)

ZHANG Jinlan

2018-02-01

Full Text Available [Objectives] Volatile Organic Compounds (VOC should be efficiently controlled in vessel cabins to ensure the crew's health and navigation safety. As an important parameter, research on release rate of VOCs in cabins is required. [Methods] This paper develops a method to investigate this parameter of a ship's cabin based on methods used in other closed indoor environments. A typical vessel cabin is sampled with Tenax TA tubes and analyzed by Automated Thermal Desorption-Gas Chromatography-Mass Spectrometry (ATD-GC/MS. The lumped mode is used and the release rate of Benzene, Toluene, Ethylbenzene and Xylene (BTEX, the typical representatives of VOCs, is obtained both in closed and ventilated conditions. [Results] The results show that the content of xylene and Total Volatile Organic Compounds (TVOC exceed the indoor environment standards in ventilated conditions. The BTEX release rate is similar in both conditions except for the benzene. [Conclusions] This research builds a method to measure the release rate of VOCs, providing references for pollution character evaluation and ventilation and purification system design.

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.

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

How Do Countries Choose their Exchange Rate Regime?

OpenAIRE

Helene Poirson Ward

2001-01-01

This paper investigates the determinants of exchange rate regime choice in 93 countries during 1990-98. Cross-country analysis of variations in international reserves and nominal exchange rates shows that (i) truly fixed pegs and independent floats differ significantly from other regimes and (ii) significant discrepancies exist between de jure and de facto flexibility. Regression results highlight the influence of political factors (political instability and government temptation to inflate),...

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

African Journals Online (AJOL)

the impact of real exchange rate misalignment has not received adequate attention .... investment (FDI) and the commercial exploitation of oil in 1999. Notably, the flow of .... the analysis proceeds in two steps: 1) we measure the exchange rate misalignment, ... non-tradable goods (TAX) and the net foreign income (NFI).

The effect of exchange rate devaluation on selected agricultural ...

African Journals Online (AJOL)

The effect of exchange rate devaluation on selected agricultural export commodities in Nigeria. ... The overall results confirmed that in most cases, the lagged values of exchange rate devaluation had a significant and positive relationship with agricultural export commodities but of a higher magnitude in the Total agricultural ...

Are international fund flows related to exchange rate dynamics?

NARCIS (Netherlands)

Li, Suxiao; de Haan, Jakob; Scholtens, Bert

2018-01-01

Employing monthly data for 53 countries between 1996 and 2015, we investigate the relationship between international fund flows and exchange rate dynamics. We find strong co-movement between funds flows (as measured with the EPFR Global data base) and bilateral real exchange rates vis-à-vis the USD.

Investigating the asymmetric relationship between inflation-output growth exchange rate changes

Science.gov (United States)

Chu, Jenq Fei; Sek, Siok Kun

2017-08-01

The relationship between inflation-output growth or output variation has long been studied. In this study, we extend the investigation under two exchange rate flexibility/regime in four Asian countries (Indonesia, Korea, Philippines and Thailand) that have experienced drastic exchange rate regime changes aftermath the financial crisis of 1997. These countries have switched from fixed/rigid exchange rate regime to flexible exchange rate and inflation targeting (IT) regime after the crisis. Our main objective is to compare the inflation-output trade-off relationship in the pre-IT and post-IT periods as a tool to evaluate the efficiency of monetary policy. A nonlinear autoregressive distributed lags (NARDL) model is applied to capture the asymmetric effects of exchange rate changes (increases and decreases). The data ranging from 1981M1 onwards till 2016M3. Our results show that exchange rate has asymmetric effect on inflation both short-run and long-run with larger impact in the post-IT period under flexible regime. Depreciation of exchange rate has leads to higher inflation. Furthermore, we find evidences on the relationship between inflation and growth in both short-run and long-run, but the trade-off only detected in the short run both in the pre- and post-IT periods.

A Critical Appraisal of Exchange Rate Policies and the Value of ...

African Journals Online (AJOL)

This paper critically appraised exchange rate policies and its influence on the value of the domestic currency (i.e. Naira) in Nigeria for the period 1970 through 2002 within the framework of tabular approach. Exchange rate theories and the exchange rate policies prior to SAP, during SAP and after SAP were reviewed.

Terms of trade and exchange rate regimes in developing countries

OpenAIRE

Christian Broda

2002-01-01

Since Friedman (1953), an advantage often attributed to flexible exchange rate regimes over fixed regimes is their ability to insulate more effectively the economy against real shocks. I use a post-Bretton Woods sample (1973-96) of seventy-five developing countries to assess whether the responses of real GDP, real exchange rates, and prices to terms-of-trade shocks differ systematically across exchange rate regimes. I find that responses are significantly different across regimes in a way tha...

Fiscal imbalances and exchange rate management: Greece on the track of EMU

OpenAIRE

Δημόπουλος, Γ. Δ.; Φρατζέσκος, Ε. Κ.; Καπόπουλος, Παναγιώτης

1998-01-01

Measured against PPP. the drachma effective exchange rate was overvalued by a significant amount, implying that the devaluation on March 1998 was an adjustment of the exchange rate towards the long-run price differentials. The paper also analyses the links between fiscal policy, interest rates and the real exchange rate in Greece and attempts to empirically measure the forces that push the exchange rate toward real appreciation. The results suggest that positive shocks to governme...

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

NARCIS (Netherlands)

Jiang, G.J.; van der Sluis, P.J.

2000-01-01

This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the

Emission trading in Europe with an exchange rate

International Nuclear Information System (INIS)

Klassen, G.A.J.; Amann, M.; Foersund, F.R.

1994-01-01

The analytical and empirical properties of a new method for emission trading according to a fixed exchange rate are explored. The exchange rate is based on the ratios of the marginal costs of abatement in the optimal solution in order to account for the impact of the location of emission sources on the deposition. It is shown that, generally, this system will not achieve the optimal solution and does not guarantee that environmental deposition constraints are not violated, although total abatement costs are always reduced. A routine was developed to mimic trading as a bilateral, sequential process, subject to an exchange rate. Use has been made of an adapted version of the optimization module in the RAINS (REgional Acidification INformation and Simulation) model. In the example used, results for SO 2 emissions in Europe show that, starting from a uniform reduction, exchange-rate trading achieves higher cost savings than one-to-one trading, without achieving the cost minimum. Sulfur deposition targets are not violated since the initial emission allocation overfulfilled targets at many places. The results are sensitive to: pre-trade emission levels, the transaction costs, the availability of information on potential cost savings and assumptions made on the behavior of trading partners. 6 figs., 3 tabs., 28 refs

Quantitation of chemical exchange rates using pulsed-field-gradient diffusion measurements

International Nuclear Information System (INIS)

Andrec, Michael; Prestegard, James H.

1997-01-01

A new approach to the quantitation of chemical exchange rates is presented, and its utility is illustrated with application to the exchange of protein amide protons with bulk water. The approach consists of a selective-inversion exchange HMQC experiment in which a short spin echo diffusion filter has been inserted into the exchange period. In this way, the kinetics of exchange are encoded directly in an apparent diffusion coefficient which is a function of the position of the diffusion filter in the pulse sequence. A detailed theoretical analysis of this experiment indicates that, in addition to the measurement of simple exchange rates, the experiment is capable of measuring the effect of mediated exchange, e.g. the transfer of magnetization from bulk water to an amide site mediated by an internal bound water molecule or a labile protein side-chain proton in fast exchange with bulk water. Experimental results for rapid water/amide exchange in acyl carrier protein are shown to be quantitatively consistent with the exchange rates measured using a selective-inversion exchange experiment

Multivariable nonlinear analysis of foreign exchange rates

Science.gov (United States)

Suzuki, Tomoya; Ikeguchi, Tohru; Suzuki, Masuo

2003-05-01

We analyze the multivariable time series of foreign exchange rates. These are price movements that have often been analyzed, and dealing time intervals and spreads between bid and ask prices. Considering dealing time intervals as event timing such as neurons’ firings, we use raster plots (RPs) and peri-stimulus time histograms (PSTHs) which are popular methods in the field of neurophysiology. Introducing special processings to obtaining RPs and PSTHs time histograms for analyzing exchange rates time series, we discover that there exists dynamical interaction among three variables. We also find that adopting multivariables leads to improvements of prediction accuracy.

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...

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.

The Impact of Real Exchange Rate on Employment in Albania

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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.

MANAGED FLOAT EXCHANGE RATE SYSTEM: THE SINGAPORE EXPERIENCE

OpenAIRE

HOE EE KHOR; JASON LEE; EDWARD ROBINSON; SAKTIANDI SUPAAT

2007-01-01

This paper examines the key characteristics of Singapore's exchange rate-centered monetary policy; in particular, its managed float regime which incorporates key features of the basket, band and crawl system popularized by Williamson (1998, 1999). We assess how the flexibility accorded by this framework has been advantageous in facilitating adjustment to various shocks to the economy. A characterization of the countercyclical nature of Singapore's exchange rate policy is also offered, with re...

An Investigation of the impact of interest rates and interest rate volatility on Australian financial sector stock return distributions

NARCIS (Netherlands)

Faff, R.; Kremmer, M.; Hodgson, A.

2004-01-01

This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the

Determinants of the AUD/USD Exchange Rate and Policy Implications

OpenAIRE

Yu Hsing

2015-01-01

This paper examines short-run determinants of the Australian dollar/U.S. dollar (AUD/USD) exchange rate based on a simultaneous-equation model. Applying the EGARCH method, the paper finds that the AUD/USD exchange rate is positively associated with the 10-year U.S. real government bond yield, U.S. real GDP, the U.S. real stock price and the expected exchange rate and negatively influenced by the Australian real government bond yield, Australian real GDP, and the real Australian stock price.

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 effect of macroscopic tissue anisotropy on the measurement of the apparent exchange rate (AXR) in multicompartment systems....

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.

A Model of Exchange-Rate-Based Stabilization for Turkey

OpenAIRE

Ozlem Aytac

2008-01-01

The literature on the exchange-rate-based stabilization has focused almost exclusively in Latin America. Many other countries however, such as Egypt, Lebanon and Turkey; have undertaken this sort of programs in the last 10-15 years. I depart from the existing literature by developing a model specifically for the 2000-2001 heterodox exchange-rate-based stabilization program in Turkey: When the government lowers the rate of crawl, the rate of domestic credit creation is set equal to the lower r...

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.

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.

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.

Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis

Science.gov (United States)

Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.

2015-06-01

This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.

International finance, Lévy distributions, and the econophysics of exchange rates

Science.gov (United States)

Da Silva, Sergio; Matsushita, Raul; Gleria, Iram; Figueiredo, Annibal; Rathie, Pushpa

2005-06-01

This paper surveys the developments in the field of international finance, in particular the research of economists on foreign exchange rates. That might be of interest to physicists working on the econophysics of exchange rates. We show how the econophysics agenda might follow naturally from the economists' research. We also present our own work on the econophysics of exchange rates.

The empirical relationship between energy futures prices and exchange rates

International Nuclear Information System (INIS)

Sadorsky, P.

2000-01-01

This paper investigates the interaction between energy futures prices and exchange rates. Results are presented to show that futures prices for crude oil, heating oil and unleaded gasoline are co-integrated with a trade-weighted index of exchange rates. This is important because it means that there exists a long-run equilibrium relationship between these four variables. Granger causality results for both the long- and short-run are presented. Evidence is also presented that suggests exchange rates transmit exogenous shocks to energy futures prices. 22 refs