scholarly journals Crash Risk in Currency Returns

2018 ◽  
Vol 53 (1) ◽  
pp. 137-170 ◽  
Author(s):  
Mikhail Chernov ◽  
Jeremy Graveline ◽  
Irina Zviadadze
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Empirical Model ◽  
Crash Risk ◽  
Currency Risk ◽  
Jump Risk ◽  
Bilateral Exchange ◽  
The U.S

We develop an empirical model of bilateral exchange rates. It includes normal shocks with stochastic variance and jumps in an exchange rate and in its variance. The probability of a jump in an exchange rate corresponding to depreciation (appreciation) of the U.S. dollar is increasing in the domestic (foreign) interest rate. The probability of a jump in variance is increasing in the variance only. Jumps in exchange rates are associated with announcements; jumps in variance are not. On average, jumps account for 25% of currency risk. The dollar carry index retains these features. Options suggest that jump risk is priced.

scholarly journals Does E-Money Affect Inflation In Indonesia

2021 ◽  
Vol 19 (1) ◽  
pp. 1
Author(s):  
Andres Dharma Nurhalim
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Money Supply ◽  
Quantitative Approach ◽  
Electronic Money ◽  
Factors Affecting ◽  
Main Factors ◽  
The Interest Rate ◽  
Main Components

The purpose of this study aims to explain the effect of electronic money on inflation and how much influence it has on the Indonesian economy. In this study the authors used a quantitative approach. The variables used are inflation, electronic money, exchange rate, money supply (M1), and BI interest rate. Result: The previous money supply (LQMprev) and the interest rate (BI Rate) were the main factors affecting inflation. In this result, e-money and exchange rates are not the main components driving inflation. Based on SPPS processing using regression, e-money and exchange rates do not have a significant effect on inflation in Indonesia, but LQMprev has a significant effect on inflation. From the results of this study it is still too early to analyze the effect of e-money on inflation because it is still relatively new in Indonesia.

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

scholarly journals Vehicle Currency Pricing and Exchange Rate Pass-Through

2021 ◽  
Author(s):  
Natalie Chen ◽  
Wanyu Chung ◽  
Dennis Novy
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Great Recession ◽  
Firm Level ◽  
Bilateral Exchange ◽  
The Great Recession ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through ◽  
The Relationship

Abstract Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of the transactions in our sample invoiced in neither sterling nor the exporter’s currency. We then study the relationship between invoicing currencies and the response of import unit values to exchange rate changes. We find that for transactions invoiced in a vehicle currency, import unit values are much more sensitive to changes in the vehicle currency than in the bilateral exchange rate. Pass-through therefore substantially increases once we account for vehicle currencies. This result helps to explain why UK inflation turned out higher than expected when sterling depreciated during the Great Recession and after the Brexit referendum. Finally, within a conceptual framework we show why bilateral exchange rates are not suitable for capturing exchange rate pass-through under vehicle currency pricing. Overall, our results help to clarify why the literature often finds a disconnect between exchange rates and prices when vehicle currencies are not accounted for.

A Note on the ECB's Monetary Policy when Confronted with International Systemic Risks

2005 ◽  
Vol 5 (1) ◽  
pp. 1850029
Author(s):  
Alyson Bloomer ◽  
Thierry Warin
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Institutional Environment ◽  
September 11 ◽  
Liquidity Management ◽  
Systemic Risks ◽  
Before And After ◽  
The U.S ◽  
The Eu

This paper provides an analysis of the liquidity management of the euro. We tested the influence of five variables (the exchange rate, the price of oil, the EU deficit, the EU interest rate, and the U.S. interest rate) on the euro liquidity supply in addition to the fluctuation of the liquidity supply before and after September 11, 2001. While the literature focuses on the internal European institutional environment, this study looks at the international systemic risks and their influence on the liquidity supply. Ultimately, we come to the conclusion that the ECB’s liquidity supply is affected by international factors.

Antidumping Investigations and the Pass-Through of Antidumping Duties and Exchange Rates: Reply

2010 ◽  
Vol 100 (3) ◽  
pp. 1283-1284 ◽  
Author(s):  
Bruce A Blonigen ◽  
Stephen E Haynes
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Structural Breaks ◽  
Theoretical Explanation ◽  
Antidumping Duties ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The U.S

This reply responds to a comment that correctly identifies an invalid assumption in our original article that antidumping (AD) duties are subtracted from the U.S. price when calculating AD duties in administrative reviews. While this point invalidates our theoretical explanation and empirical evidence on the magnitude of AD duty pass-through, it does not affect our original article's theory or empirical evidence on the magnitude of exchange rate pass-through, or the presence of structural breaks in both the AD duty and exchange-rate pass-through coefficients stemming from AD investigations and orders.

The U.S. and the emergence of flexible exchange rates: an analysis of foreign policy change

1979 ◽  
Vol 33 (1) ◽  
pp. 57-81 ◽  
Author(s):  
John S. Odell
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Policy Change ◽  
Exchange Rate Flexibility ◽  
Bretton Woods ◽  
Mixed Regime ◽  
International Monetary Arrangements ◽  
Foreign Policy Change ◽  
Flexible Exchange Rates ◽  
The U.S

International monetary arrangements in effect since the Bretton Woods conference of 1944 underwent major changes in the early 1970s, most notably from the norm and practice of “fixed” exchange rates to a new mixed regime in which major rates are now flexible. The outcome strongly reflected the external monetary behavior of the U.S. government, which changed dramatically with the “Nixon shocks” of August 1971 and again with a second devaluation of the dollar in February 1973. Since then the U.S. has officially advocated the once-heretical policy of exchange-rate flexibility.

U.S.-China Exchange Rate Negotiation: Stakeholders' Participation and Strategy Deployment

2011 ◽  
Vol 13 (3) ◽  
pp. 1-23 ◽  
Author(s):  
Emily Yixuan Cao ◽  
Yong Cao ◽  
Rashmi Prasad ◽  
Zhengping Shen
Keyword(s):  
United States ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Domestic Politics ◽  
Historical Review ◽  
The United States ◽  
Negotiation Strategy ◽  
Negotiation Strategies ◽  
The Exchange Rate ◽  
The U.S

Exchange rates influence a country's trading capability, foreign reserves and competitiveness. Recently, the exchange rate between the Chinese RMB and the U.S. dollar has been a contentious issue in both the United States and China. In this paper, we conduct a historical review of how the United States deployed negotiation strategies with China on the exchange rate issue and consider the degree to which it follows theoretical expectations. We then analyze the changing nature of the factors which shape exchange rate negotiations between the two nations in projecting alternative scenarios for the future of conflict resolution between the U.S. and China on this issue. We predict that the U.S. is likely to continue alternating between competition and collaboration, a negotiation cycle influenced by U.S. domestic politics, and China is less likely to continue with accommodation and compromise. The sequencing and timing of each nation's negotiation strategy will lead to widely divergent consequences for the management of exchange rates and the world economy.

scholarly journals ANALISIS PENGARUH TINGKAT INFLASI, TINGKAT SUKU BUNGA, DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA (BEI) PERIODE 2013-2015

2020 ◽  
Vol 6 (2) ◽  
pp. 121
Author(s):  
Daniar Primavistanti ◽  
Aftoni Sutanto
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Inflation Rates ◽  
Stock Price Index

This research aimed to analyze and test the effect of inflation rates, interest rate and exchange rate  on the stok price index  at the stock exchange in 2013–2015. Independent variable used are inflation, interest rates, and exchange rates. While the dependent variable is the stock price index. The object of this research  is in the market listed  on the stock price index. The  inflation  rates, interest rates,  and  the  exchange  rate that  are  taken  from Indonesian Bank. The  analytical  method used is the classic assumption test and regression test. Based  on  the  survey  result revealed  that in partial  inflation and the exchange  rate does not  significantaly  influence the Stock  Exchange  Composite Index. While the variable interest rate significantly influence the Stock Exchange Composite Index. The test results simultaneosly show variable inflation, interest rates and exchange rates have an influence on the Stock Exchange  Composite Index. The coefficient of determination was 28,3%.

scholarly journals ANALISIS FAKTOR INTERNAL DAN EKSTERNAL BANK YANG MEMPENGARUHI PROFITABILITAS BANK UMUM DI INDONESIA

2017 ◽  
Vol 10 (1) ◽  
Author(s):  
Aris Fadjar ◽  
Hedwig Esti S ◽  
Tri Hartini EKP
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Secondary Data ◽  
External Factors ◽  
Capital Adequacy ◽  
Internal Factors ◽  
Operating Income ◽  
Capital Adequacy Ratio ◽  
The U.S

The purpose of this research is to analyze the influence of internal factors of banks consisting of Capital Adequacy Ratio (CAR), Non-Performing Loans (NPLs), Operating Expenses Operating Income (BOPO), Loan to Deposit Ratio (LDR), and external factors of banks consisting of the value exchange rate of rupiah against the U.S. dollar, interest rate (SBI 1 month), and the inflation rate to Return On Asset (ROA) of the general bank. It used the secondary data from Indonesia Economic and Financial Statistic (SEKI) which published by Bank Indonesia monthly. The samples took from ROA of general bank as series, CAR, NPLs, BOPO, LDR, inflation rate, exchange rate rupiah to US $, and SBI rate with period 2007-2010. The result shows, external factors of banks and CAR do not significantly influence to the ROA of general Bank, while internal factors are significantly influence to ROA general bank. As the simultaneous, the seven variables have positive significant influence to the ROA general bank it can be proofed with F value > F table (7.574 > 2.589). And all of the independence variables have had influenced for 52.9 percent to the ROA general bank.

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