Exchange rate dynamics, forecasting and the microstructure approach: empirical evidence for an emerging market economy

2014 ◽  
Vol 8 (1-2) ◽  
pp. 81-89
Author(s):  
José R. Sánchez-Fung
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Market Economy ◽  
Emerging Market ◽  
Exchange Rate Dynamics

scholarly journals The More Divergent, the Better? Lessons on Trilemma Policies and Crises for Asia

2014 ◽  
Vol 31 (2) ◽  
pp. 21-54 ◽  
Author(s):  
Joshua Aizenman ◽  
Hiro Ito
Keyword(s):  
Exchange Rate ◽  
Market Economy ◽  
Latin American ◽  
Debt Crisis ◽  
Emerging Market ◽  
Asian Crisis ◽  
Macroeconomic Policies ◽  
Financial Openness ◽  
Crisis Period ◽  
Policy Choices

This paper investigates the potential impacts of the degree of divergence in open macroeconomic policies in the context of the trilemma hypothesis. Using an index that measures the extent of policy divergence among the three trilemma policy choices—monetary independence, exchange rate stability, and financial openness—we find that emerging market economies have adopted trilemma policy combinations with the smallest degree of policy divergence in the last 15 years. We then investigate whether and to what extent the degree of open macro policy convergence affects the probability of a crisis and find that a developing or emerging market economy with a higher degree of policy divergence is more likely to experience a currency or debt crisis. We also compare the development of trilemma policies around the crisis period for the groups of Latin American crisis countries in the 1980s and the Asian crisis countries in the 1990s. We find that Latin American crisis countries tended to close their capital accounts in the aftermath of a crisis, while that is not the case for the Asian crisis countries. The Asian crisis countries tended to reduce the degree of policy divergence in the aftermath of the crisis, which possibly meant they decided to adopt open macro policies that made their economies less prone to a crisis.

Book Reviews

2012 ◽  
Vol 50 (1) ◽  
pp. 187-191
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
University Of California ◽  
Exchange Rate Risk ◽  
Exchange Rate Dynamics ◽  
Rate Risk ◽  
Currency Trading

Richard K. Lyons of University of California, Berkeley reviews “Exchange-Rate Dynamics” by Martin D. D.Evans. The EconLit Abstract of the reviewed work begins: Explores recent research on the sources and consequences of exchangerate variations. Discusses macro models without frictions; macro models with frictions; empirical macro models; rational expectations models; sequential trade models; currency-trading models; currency-trading models--empirical evidence; identifying order flow; order flows and the macroeconomy; exchange rates, order flows, and macro data releases; and exchange-rate risk. Evans is Professor of Economics in the Department of Economics and Professor of Finance in the McDonough School of Business at Georgetown University. Index.

scholarly journals Monetary Response to Exchange Rate Dynamics: Regime Switching – Chartists and Fundamentalists Application to Australia

2013 ◽  
Author(s):  
Ferry Syarifuddin
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Empirical Evidence ◽  
Regime Switching ◽  
Rate Model ◽  
Central Bank Intervention ◽  
Exchange Rate Dynamics ◽  
Reserve Bank ◽  
Stabilizing Effect ◽  
Exchange Rate Intervention

In this paper we study the effect of central bank intervention within a heterogeneous expectations exchange rate model. The empirical evidence is conducted by applying a Markov switching approach to daily AUD/USD exchange rate, intervention data of the Reserve Bank of Australia from 2006 to 2012. Our results are supporting both chartists and fundamentalist regimes. It is shown that the two regimes are persistent. However, Reserve Bank of Australia efforts to exert a stabilizing effect of foreign exhange interventions, the result is inconclusive.

ANALISIS FINANCIAL DISTRESS DAN PENGARUHNYA TERHADAP RETURN SAHAM PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA

2019 ◽  
Vol 7 (4) ◽  
Author(s):  
SISCA KRISTANTI B2042141020
Keyword(s):  
Social Sciences ◽  
New York ◽  
Empirical Evidence ◽  
Market Economy ◽  
Financial Distress ◽  
Stock Exchange ◽  
Emerging Market ◽  
Z Score ◽  
Factors Influencing ◽  
Altman Model

Kebangkrutan merupakan masalah yang sangat perlu yang diwaspadai oleh perusahaan. Perusahaan yang mengalami kebangkrutan tentunya akan memberikan dampak negatif pada stakeholder perusahaan. Sebelum kebangkrutan itu terjadi, perusahaan mengalami kondisi financial distress atau kondisi dimana keuangan perusahaan dalam keadaan tidak baik yang menjadi indikator awal terjadinya kebangkrutan. Tujuan penelitian ini adalah menganalisis potensi kebangkrutan pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia periode 2012-2016 berdasarkan model Z-Score Altman dan Springate serta pengaruhnya metode Z-Score Altman dan Springate terhadap return saham perusahaan. Sampel yang digunakan dalam penelitian ini 10 perusahaan manufaktur. Analisis yang digunakan adalah analisis deskripstif dan analisis regresi linier berganda dengan menggunakan perangkat lunak SPSS. Hasil prediksi financial distress menggunakan metode Altman Z-Score dan Springate terdapat dua perusahaan yang berada pada financial distress yaitu PT Semen Holcim serta PT. Tirta Mahakam Resources Tbk. Metode altman z-score tidak berpengaruh sedangkan springate berpengaruh positif terhadap return saham perusahaan Manufaktur yang terdaftar di Bursa Efek Indonesia tahun 2012-2016 Kata kunci : kebangkrutan, manufaktur, altman z-score dan springateDAFTAR PUSTAKA Adnan, A.M. 2001. Analisis Ketepatan Prediksi Metode Altman Terhadap Terjadinya Likuidasi pada Lembaga Perbankan (Kasus Likuidasi Perbankan di Indonesia). dalam JAI Volume 5 No. 2. Jakarta. Jurnal Akuntansi Indonesia Adnan, M.A dan, Kurniasih, E. 2000. Analisis Tingkat Kesehatan Perusahaan Untuk Memprediksi Potensi Kebangkrutan Pada Penekatan Altman (Kasus Pada Sepuluh Perusahaan Di Indonesia), Jurnal Akuntansi Dan Auditing Indonesia, 4 (2), 131-149. Alifiana, M. A Dan  N. R Arumsari., 2017. Analisis Kinerja Bank Badan Usaha Milik Negara  Berdasar Metode Altman Dan Return Saham  Studi Pada Pt Bank Negara Indonesia (Persero) Tbk.  PROSIDING SNATI F Ke-4 Tahun 2017 ISBN: 978-602-1180-50-1 Altman, 2002. Corporate Financial Distress. John Wiley & Sons, 1983. New York. Fakhrurozie, 2007, Analisis Pengaruh Kebangkrutan Bank Dengan Metode Altman Z-Score Terhadap Harga Saham Perusahaan Perbankan Di Bursa Efek Jakarta. Skripsi.  Semarang . Universitas Negeri Semarang, Hanafi, H. M. dan H. Abdul. 1996. Analisa Laporan Keuangan. UPP-AMP YKPN. Yogyakarta. Marcelina . T. A Dan W.S Yuliandhari, 2014. Prediksi Kebangkrutan Menggunakan Metode Z-Score Dan Pengaruhnya Terhadap Harga Saham Pada Perusahaan Transportasi Yang Terdaftar Di Bursa Efek Indonesia Tahun 2008-2012. E-Proceeding Of Management : Vol.1, No.3 Desember 2014 | Page 291 Munawir, S 2001. Analisa Laporan Keuangan. Liberty. Yogyakarta Munawir, S 2002. Analisa Laporan Keuangan. UPP AMP YKPN. Yogyakarta Muslich, M. 2000. Manajemen keuangan Modern. Rineka Cipta. Jakarta. Nur Fadli Andriawan, N.F Dan D Salean., 2016. Analisis Metode Altman Z-Score Sebagai Alat Prediksi Kebangkrutan Dan Pengaruhnya Terhadap Harga Saham Pada Perusahaan Farmasi Yang Terdaftar Di Bursa Efek Indonesia.  Jurnal Ekonomi Akuntansi, Hal 67 – 82 Volume 1, Nomor 1, April 2016 Platt, H., dan M. B. Platt. 2002. Predicting Financial Distres. Journal of Financial Pranowo. 2010. “The Dynamics of Corporate Financial Distress in Emerging Market Economy: Empirical Evidence from the Indonesian Stock Exchange 2004-2008”. European Journal of Social Sciences Vol 16 Number I, 138-149. Purwanti, E., 2016. Analisis Perbedaan Model Altman Z Score Dan Model Springate Dalam Memprediksi Kebangkrutan Pada Perusahaan Pertambangan Di Indonesia (Studi Empiris Pada Perusahaan Pertambangan Yang Terdaftar Pada Bursa Efek Indonesia Tahun 2010-2014). Jurnal STIE Semarang, Vol 8, No 2, Edisi Juni 2016 (Issn : 2252-826) Sukana. 2008. Factors Influencing Financial Distress and Bankruptcy Risks. Universitas Padjajaran, Bandung. Syamsul, H Dan Atika, A. 2008. Pemilihan Prediktor Delisting Terbaik (Perbandingan Antara The Zmijewski Model, The Altman Model, Dan Springate Model). Thesis. Jakarta. Universitas Islam Indonesia. Weston, F.J. 1997. Manajemen Keuangan. Erlangga. Jakarta

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