scholarly journals Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility

2009 ◽  
Vol 19 (3) ◽  
pp. 490-505 ◽  
Author(s):  
Eric Hillebrand ◽  
Gunther Schnabl ◽  
Yasemin Ulu
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Realized Volatility ◽  
Simultaneous Equations ◽  
Dollar Exchange Rate ◽  
Foreign Exchange Intervention

Optimistic and pessimistic economic sentiments and US Dollar exchange rate

2021 ◽  
Author(s):  
Sonia Kumari ◽  
Suresh Kumar Oad Rajput ◽  
Rana Yassir Hussain ◽  
Jahanzeb Marwat ◽  
Haroon Hussain
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Ordinary Least Squares ◽  
Exchange Market ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate

This study investigates the affiliation of various proxies of economic sentiments and the US Dollar exchange rate, mainly focusing on the real effective exchange rate of USD pairing with three other major currencies (USDEUR, USDGBP, and USDCAD). The study has employed Google Trends data of economy optimistic and pessimistic sentiments index and survey-based economy sentiments data on monthly basis from January 2004 to December 2018. The study engaged Ordinary Least Squares (OLS) and Auto-Regressive Distributed Lag (ARDL) estimation techniques to evaluate the short-run and long-run effects of economy-related sentiments and macroeconomic variables on the exchange rate. The results from the study found that Economy Optimistic Sentiments Index (EOSI) and Economy Pessimistic Sentiments Index (EPSI) appreciate and depreciate the US Dollar exchange rate in the short-run, respectively. Our sentiment measures are robust to survey-based Michigan Consumer Sentiment Index (MSCI), Consumer Confidence Index (CCI), and various macroeconomic factors. The MSCI and CCI sentiments show a long-term impact on the foreign exchange market. This study implies that economic sentiments play a vital role in the foreign exchange market and it is essential to consider behavioral aspects when modeling the exchange rate movements.

scholarly journals Covered interest arbitrage opportunities in the South African foreign exchange market

1987 ◽  
Vol 18 (4) ◽  
pp. 209-214
Author(s):  
C. De J. Correia ◽  
R. F. Knight
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
South African ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
The South ◽  
Dollar Exchange Rate ◽  
Interest Parity ◽  
Interest Differential

The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interest Arbitrage transactions will be eliminated quickly. The fall in the Rand/Dollar exchange rate resulted in many South African companies reporting substantial foreign exchange losses on offshore loans. Companies were attracted to foreign sources of finance because of lower foreign interest rates. The authors conclude, on the basis of empirical tests, that the forward Rand/Dollar exchange rate followed its interest parity value very closely over the period August 1983 - August 1985. Opportunities to engage in risk-free arbitrage activities were offset by related transaction costs. The South African foreign exchange market is efficient to the extent that risk-free profit opportunities did not exist for the period under review and therefore there was no benefit, after adjusting for risk, for South African management to borrow from offshore sources of finance.

scholarly journals Efeitos das Intervenções Cambiais à vista na Taxa de Câmbio R$/US$ de 1999 a 2008: Um Estudo de Evento

2010 ◽  
Vol 8 (2) ◽  
pp. 229
Author(s):  
Roberto Meurer ◽  
Felipe Wolk Teixeira ◽  
Eduardo Cardeal Tomazzia
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Exchange Intervention ◽  
Study Approach ◽  
Rate Acceleration ◽  
Rate Behavior ◽  
The Exchange Rate ◽  
Short Time ◽  
New Criterion

This study analyses interventions in the Brazilian spot foreign exchange market from 1999 to 2008 and their effects on the R$/US$ exchange rate, using an event study approach. It aims to verify if the foreign exchange interventions have any significant impact on the exchange rate behavior. The period was divided according to a MS-VAR model and analyzed with different criterions. The results indicate that prolonged foreign exchange intervention have a greater effect on the exchange rate behavior, in comparison to short time intervention episodes. The results also point to the existence of quickly dissipating effects on the rate behavior. The creation of a new criterion, based on the analysis of exchange-rate acceleration, shows that the exchange rate is mainly prone to accelerate on leaning with the wind purchase intervention episodes.

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