Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach

2022 ◽  
pp. 102597
Author(s):  
Yuting Gong ◽  
Qiang Chen
Keyword(s):  
Exchange Rate ◽  
Rate Dependence ◽  
Economic Fundamentals

Russia's central bank will anticipate sanction risks

2021 ◽  
Keyword(s):  
Exchange Rate ◽  
Credit Rating ◽  
Bond Market ◽  
Secondary Market ◽  
Foreseeable Future ◽  
Foreign Reserves ◽  
Foreign Investors ◽  
Content Type ◽  
Economic Fundamentals ◽  
Sovereign Credit Rating

Significance Because the risk of sanctions was priced into Russian bond prices and the ruble exchange rate, the market reaction to the measures announced on April 15 was muted. US investors can still buy and hold OFZs and Eurobonds on the secondary market, but the prospect of further restrictions are possible. Impacts Sanctions risks will weigh down Russia's sovereign credit rating for the foreseeable future. Diminished liquidity in the bond market will make it difficult to price new Russian corporate debt, particularly for new issuers. Strong economic fundamentals and high foreign reserves will encourage foreign investors to return once uncertainty subsides.

scholarly journals Effect of Exchange Rate Misalignment on Bilateral Trade Between Kenya and European Union: 2000-2016

2021 ◽  
Vol 17 (41) ◽  
pp. 58
Author(s):  
Charles Munene Gachoki ◽  
Susan Okeri ◽  
Julius Korir
Keyword(s):  
European Union ◽  
Exchange Rate ◽  
Bilateral Trade ◽  
Market Access ◽  
Trade Deficit ◽  
Important Variable ◽  
The European Union ◽  
Economic Fundamentals ◽  
Exchange Rate Misalignment ◽  
The Exchange Rate

The exchange rate is an important variable in international trade because a country's competitiveness is determined by the expectations on how trade reacts to its movements. To orient the economy outwards, Kenya has pursued various measures from the 1990s to the 2000s. Kenya also signed up for nonreciprocal trade with the European Union under the Cotonou agreement. Despite the export-oriented efforts, Kenya's trade has remained skewed towards imports and a widening trade deficit which seems to follow the weakening of the Kenya shilling. The main policy dilemma therefore, is how imports accelerated in an environment of unhindered European Union market access, hence the motivation of this study. The study adopted a dynamic modeling approach since previous and present values affect exchange rate and trade. The results show that the economic fundamentals drive the real exchange rate. In terms of misalignment, the exchange rate is overvalued to a maximum of 5.9 percent and undervalued up to 5.2 percent. The estimated misalignment hurts imports but has a positive, statistically insignificant effect on exports. The results of this study suggest that the monetary authority should ensure the exchange rate remains stable and within the 6 percent range while monitoring all the underlying determinants. Additionally, hedging instruments should be made available and affordable to traders.

scholarly journals The relationship between the forward and realised spot exchange rate in South Africa

2012 ◽  
Vol 5 (1) ◽  
pp. 175-192
Author(s):  
Chris Van Heerden ◽  
André Heymans
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Economic Time Series ◽  
Economic Fundamentals ◽  
Spot Exchange Rate ◽  
Economic Time ◽  
The Exchange Rate ◽  
Econometric Approach ◽  
The Relationship

It is well known that the forward exchange rate and the realised future spot exchange rate differ. This phenomenon is better known as the exchange rate puzzle. Two approaches were followed to ascertain whether this difference is due to the weak explanatory ability of current economic fundamentals or whether the use of an ineffective econometric approach to model exchange rate theories is to blame. The first approach makes use of stationary economic time series data to model the ZAR/USD realised future spot exchange rate, while the second uses non-stationary level economic data to model the ZAR/USD realised future spot exchange rate. While the first approach reported weak results, the second approach illustrated that economic fundamentals are able to explain the ZAR/USD realised future spot exchange rate. These results also confirm that the exchange rate puzzle is a pseudoproblem.

scholarly journals Real Time Data

2018 ◽  
Vol 4 (3) ◽  
pp. 147
Author(s):  
Arlind Rama ◽  
Ilir Vika
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Foreign Currency ◽  
Developing Economies ◽  
Exchange Rate Volatility ◽  
Economic News ◽  
Economic Fundamentals ◽  
Us Dollar ◽  
The Impact ◽  
Exchange Rates Volatility

Interpretation of exchange rate volatility in the light of economic fundamentals comprises an issue of interest for policymakers when it comes to implementing the monetary policy. Understanding the impact of economic news on the Lek exchange rate against two main hard currencies, Euro and US dollar, would serve to better orient the monetary policy and forex market agents positioning in time. Exchange rates volatility on economic news in short-term is an often discussed phenomenon in the economic literature, but through this material we tend to measure these effects in the Albanian foreign currency market and contribute in the literature interpreting foreign currency markets volatility in developing economies. Very often, domestic foreign exchange movements are attributed to developments in large international markets. In the case of Albanian Lek volatility analysis, we tend to find answers regarding the importance of economic news coming from the two main economies in focus, Eurozone and the US. Furthermore, we investigate the importance of the economic information flow in Albania in determining the Lek exchange rate against Euro and US dollar. For a period in focus from January 2007 until July 2012, we try to understand if the exchange rate volatility has been a result of economic fundamentals or financial markets stress related economic news.

Thailand, Malaysia and the Philippines: Currency Crisis

1997 ◽  
Vol 8 (5) ◽  
pp. 115-115
Keyword(s):  
Exchange Rate ◽  
The Philippines ◽  
Exchange Rate Policy ◽  
Negative Effects ◽  
Rate System ◽  
Bank Rate ◽  
Economic Fundamentals ◽  
Recent Developments ◽  
Rate Policy ◽  
Exchange Rate System

In response to recent developments, Thailand's exchange rate system has been changed, effective July 2, 1997, to a managed float, with the value of the baht being determined by market forces in line with economic fundamentals. To support the new exchange rate policy, the Bank of Thailand has raised the Bank Rate from 10.5 percent to 12.5 percent. The Thai authorities are also considering supplementary measures to alleviate potential negative effects on debt servicing and prices that may result from adjustments in the value of the baht.

Self-Fulfilling and Fundamentals Based Speculative Attacks: A Theoretical Interpretation of the Euro Area Crisis

2016 ◽  
Vol 16 (3) ◽  
pp. 459-478 ◽  
Author(s):  
Pompeo Della Posta
Keyword(s):  
Exchange Rate ◽  
Euro Area ◽  
European Monetary System ◽  
Point Of View ◽  
Theoretical Interpretation ◽  
Costs And Benefits ◽  
European Monetary ◽  
Economic Fundamentals ◽  
Monetary System ◽  
The Government

The recent euro area crisis shows some similarities with the fixed exchange rate crisis that affected the European Monetary System in 1992–93. I argue that the theoretical framework to be used in order to analyze them should also be similar. As a matter of fact, in both cases, the point of view of the government (that compares costs and benefits of its action) should be considered together with the point of view of speculators, who look at the state of the economic fundamentals in order to decide whether to launch an attack or not. This allows to represent and to interpret, among other things, both the initial “honeymoon” years of EMU and the recent euro area crisis.

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