scholarly journals Early detection of Indonesian financial crisis using combination of volatility and Markov switching models based on indicators of real exchange rate and M2/foreign exchange reserves

2020 ◽  
Vol 1563 ◽  
pp. 012001
Author(s):  
N Nafisah ◽  
Sugiyanto ◽  
H Pratiwi
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Early Detection ◽  
Real Exchange Rate ◽  
Foreign Exchange ◽  
Markov Switching ◽  
Foreign Exchange Reserves ◽  
Markov Switching Models ◽  
Switching Models

scholarly journals Effect of Oil Prices on Exchange Rate Movements in Korea and Japan Using Markov Regime-Switching Models

Energies ◽  
2020 ◽  
Vol 13 (17) ◽  
pp. 4402
Author(s):  
Suyi Kim ◽  
So-Yeun Kim ◽  
Kyungmee Choi
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Foreign Exchange ◽  
Regime Switching ◽  
Oil Prices ◽  
Information Criteria ◽  
Markov Regime Switching ◽  
Regime Switching Models ◽  
Switching Models ◽  
Exchange Rate Movements

We examined the effects of oil prices along with fundamental economic variables on exchange rate movements in the Korean and Japanese foreign exchange markets, using two-regime Markov Regime Switching Models (MRSMs) over the period from January 1991 to March 2019. We selected the best MRSMs explaining their exchange rate movements using the Maximum Log-Likelihood and Akaike Information Criteria, and analyze effects of oil prices on their exchange rates based on the selected best MRSMs. We consider two regimes, regime 1 with high-volatility and regime 2 with low-volatility. In Korea, two apparent regimes are observed, and unstable regime 1 consists of two distinct prolonged periods, the 1997 Asian Financial Crisis and the 2008 Global Financial Crisis. Meanwhile in Japan, no evident prolonged regimes are observed. Rather, the two regimes occasionally alternate. Oil prices influence exchange rate movements in regime 2 with low-volatility in Korea, while they do not influence exchange rate movements in either regimes in Japan. The Japanese foreign exchange market is more resistant to external oil price shocks because the Japanese industry and economy has less dependence on oil than Korea.

scholarly journals Pengaruh Quantitative Easing dan Tapering Off serta Indikator Makroekonomi terhadap Nilai Tukar Rupiah

2020 ◽  
Vol 4 (1) ◽  
pp. 64-85
Author(s):  
Almuyasa Vidia Dinata ◽  
Siskarossa Ika Oktora
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Foreign Exchange ◽  
The United States ◽  
Series Data ◽  
Quantitative Easing ◽  
Foreign Exchange Reserves ◽  
2008 Financial Crisis ◽  
Current Period ◽  
The 2008 Financial Crisis

Since the 2008 financial crisis, rupiah’s volatility has experienced high volatility. This volatility is indicated associated with other macroeconomic indicators such as BI-Rate, export-import ratio, CPI, IHSG, and foreign exchange reserves against the rupiah exchange rate. In addition, in terms of an external factor, there is a nonconventional monetary policy package taken by The Fed to restore the economy of the United States after the 2008 financial crisis called Quantitative Easing (QE) and Tapering Off (TO). This study aims to see the effect of these two policies and macroeconomic variables on the rupiah exchange rate. This research uses time-series data from January 2005-December 2017 is carried out using the Autoregressive Distributed Lag (ARDL) method. Based on the result, we concluded that the model obtained was ARDL (3,0,5,0,4,3). We found that rupiah exchange rate 1st and 3rd lag, export-import ratio 3rd lag, foreign exchange reserves current period, CPI 4th lag, IHSG current period, 1st, 2nd, and 3rd lag, and the QE policy significantly affect the rupiah’s volatility. This shows that the stability of the rupiah is not only based on fundamental economic variables but also based on the monetary policies of other countries.

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