scholarly journals CORRELATIONS BETWEEN RECONSTRUCTED EUR EXCHANGE RATES VERSUS CHF, DKK, GBP, JPY AND USD

2001 ◽  
Vol 12 (02) ◽  
pp. 169-195 ◽  
Author(s):  
M. AUSLOOS ◽  
K. IVANOVA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Point Of View ◽  
Fluctuation Analysis ◽  
The European Union ◽  
Linear Superposition ◽  
Exchange Rate Fluctuations ◽  
Large Size ◽  
Japanese Yen ◽  
Detrended Fluctuation

On 1 January 1999, the European Union introduced a common currency Euro (EUR), to become the legal currency in all eleven countries which form the EUR. In order to test the EUR behavior and understand various features, the EUR exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing EUR with respect to several currencies not belonging to the EUR, i.e., Swiss Franc (CHF), Danish Kroner (DKK), British Pound (GBP), Japanese Yen (JPY) and U.S. Dollar (USD) of interest for reasons given in the text. The distribution of fluctuations of the exchange rates is shown to be Gaussian for the central part of the distribution, and having fat tails for the large size fluctuations. Within the Detrended Fluctuation Analysis (DFA) statistical method, we have obtained the power law behavior describing the root-mean-square deviation of the exchange rate fluctuations as a function of time. For the period between January 1995 and January 1999, we have compared the time-dependent exponent of these exchange rate fluctuations for EUR and that of the 11 currencies which form the EUR. The German Mark (DEM) and the French Franc (FRF) have been the currencies primarily leading the fluctuations of the exchange rates, while Italian Lira (ITL) and Portuguese Escudo (PTE) are the less relevant currencies from this point of view. Technical considerations for the EUR implementation are given as conclusions. The cases of exchange rates with DKK appear quite different from the other four major currencies.

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

Monetary and Exchange Rate Policies for International Financial Stability: A Proposal

1988 ◽  
Vol 2 (1) ◽  
pp. 83-103 ◽  
Author(s):  
Ronald I McKinnon
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Purchasing Power Parity ◽  
Financial Stability ◽  
Foreign Exchange Market ◽  
The United States ◽  
Power Parity ◽  
Monetary Reform ◽  
Exchange Rate Fluctuations

What keeps the three major industrial blocs -- Western Europe, North America, and industrialized Asia -- from developing a common monetary standard to prevent exchange-rate fluctuations? One important reason is the differing theoretical perspectives of economic advisers. The first issue is whether or not a floating foreign exchange market -- where governments do not systematically target exchange rates -- is “efficient.” Many economists believe that exchange risk can be effectively hedged in forward markets so international monetary reform is unnecessary. Second, after a decade and a half of unremitting turbulence in the foreign exchange markets, economists cannot agree on “equilibrium” or desirable official targets for exchange rates if they were to be stabilized. The contending principles of purchasing power parity and of balanced trade yield very different estimates for the “correct” yen/dollar and mark/dollar exchange rates. Third, if the three major blocs can agree to fix nominal exchange rates within narrow bands, by what working rule should the new monetary standard be anchored to prevent worldwide inflation or deflation? After considering the magnitude of exchange-rate fluctuations since floating began in the early 1970s, I analyze these conceptual issues in the course of demonstrating how the central banks of Japan, the United States, and Germany (representing the continental European bloc) can establish fixed exchange rates and international monetary stability.

scholarly journals Domestic Ban Versus Border Rejections: A Case of Oman’s Fish Exports to the EU

SAGE Open ◽  
2019 ◽  
Vol 9 (1) ◽  
pp. 215824401882307 ◽  
Author(s):  
Shekar Bose ◽  
Amina Marhoon Rashid Al Naabi ◽  
Houcine Boughanmi ◽  
Jaynab Begum Yousuf
Keyword(s):  
Exchange Rate ◽  
Structural Changes ◽  
Supply And Demand ◽  
The European Union ◽  
Related Factors ◽  
Policy Makers ◽  
Relative Significance ◽  
Exchange Rate Fluctuations ◽  
Adaptive Policy ◽  
The Eu

The decline of Oman’s fish exports to the European Union (EU) since mid-2000s has caused legitimate concerns among policy makers and exporters. However, the potential reasons for the decline have not been fully elucidated. To ascertain the underlying causes of such decline, this article empirically examines the relative significance of potential economic and policy-related factors such as border rejections influenced by health and safety measures, supply and demand capacities, domestic ban, domestic structural changes, and exchange rate fluctuations on Oman’s fish exports to the EU. The results obtained from the dynamic unbalanced panel data model for the period 2000-2013 indicate that fish exports to the EU markets have been influenced by the domestic ban on export, domestic structural changes, and exchange rate fluctuations rather than by border rejections. These findings provide important signal to policy makers of the respective countries in designing adaptive policy approach to address such influences.

EXTENDED DAILY EXCHANGE RATES FORECASTS USING WAVELET TEMPORAL RESOLUTIONS

2005 ◽  
Vol 01 (01) ◽  
pp. 79-107 ◽  
Author(s):  
MAK KABOUDAN
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Exchange Rate ◽  
Random Walk ◽  
Genetic Programming ◽  
Exchange Rates ◽  
Us Dollar ◽  
Artificial Neural ◽  
Japanese Yen ◽  
The One

Applying genetic programming and artificial neural networks to raw as well as wavelet-transformed exchange rate data showed that genetic programming may have good extended forecasting abilities. Although it is well known that most predictions of exchange rates using many alternative techniques could not deliver better forecasts than the random walk model, in this paper employing natural computational strategies to forecast three different exchange rates produced two extended forecasts (that go beyond one-step-ahead) that are better than naïve random walk predictions. Sixteen-step-ahead forecasts obtained using genetic programming outperformed the one- and sixteen-step-ahead random walk US dollar/Taiwan dollar exchange rate predictions. Further, sixteen-step-ahead forecasts of the wavelet-transformed US dollar/Japanese Yen exchange rate also using genetic programming outperformed the sixteen-step-ahead random walk predictions of the exchange rate. However, random walk predictions of the US dollar/British pound exchange rate outperformed all forecasts obtained using genetic programming. Random walk predictions of the same three exchange rates employing raw and wavelet-transformed data also outperformed all forecasts obtained using artificial neural networks.

scholarly journals A Three-State Markov-Modulated Switching Model for Exchange Rates

2016 ◽  
Vol 2016 ◽  
pp. 1-9 ◽  
Author(s):  
Idowu Oluwasayo Ayodeji
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Markov Switching ◽  
The Other ◽  
Markov Switching Model ◽  
Switching Model ◽  
Empirical Results ◽  
Proposed Model ◽  
Markov Modulated ◽  
Japanese Yen

Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit ak-state(k≥2)pattern. The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira. Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies. For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds. In addition, taking0.5as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.

scholarly journals CAN GOLD EFFECTIVELY HEDGE RISKS OF EXCHANGE RATE?

2013 ◽  
Vol 14 (5) ◽  
pp. 833-851 ◽  
Author(s):  
Kuan-Min Wang
Keyword(s):  
Exchange Rate ◽  
South African ◽  
Threshold Model ◽  
Monthly Data ◽  
Risk Hedging ◽  
Exchange Rate Fluctuations ◽  
The Us ◽  
Us Dollar ◽  
Japanese Yen ◽  
Dollar Depreciation

This study tests whether gold can effectively hedge exchange rate risks. We take into account the asymmetric characteristic of exchange rate fluctuations and use the dynamic panel threshold model in order to select gold prices in major gold-related currencies in the world: the Australian dollar, the Canadian dollar, the euro, the Indian rupee, the Japanese yen, the South African rand, and the British pound. Using monthly data from January 1999 to January 2010, with lagged one-period exchange rate returns (US dollar depreciation rate) as the threshold variable, the estimation results suggest that there are two thresholds at –7.5% and –3.7%. These can be divided into regime 1 (exchange rate returns ≤ –7.5%), regime 2 (–7.5% < exchange rate returns ≤ –3.7%), and regime 3 (exchange rate returns > –3.7%). Regarding the effectiveness of gold hedging, regime 2 is higher than is regime 3. The risk hedging effect of regime 1 is not significant because it might be caused by the excessive devaluation of the US dollar in the short-term and the overshooting of the exchange rate adjustment, making gold unable to hedge the devaluation risks of the US dollar.

Real Exchange Rate Behavior under Peg: Evidence from the Chinese RMB and Malaysian MYR

2009 ◽  
Vol 12 (01) ◽  
pp. 141-158 ◽  
Author(s):  
Yongjian E ◽  
Anthony Yanxiang Gu ◽  
Chau-Chen Yang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
The Us ◽  
Rate Behavior ◽  
Japanese Yen ◽  
Chinese Yuan ◽  
Real Exchange Rate Volatility

The exchange-rate behavior of the Chinese yuan (RMB) and the Malaysian ringgit (MYR) indicates that the real exchange rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non-anchor currencies (Japanese yen and British pound) are lower under the pegged regime. The dynamic behavior of the pegged currencies' real exchange rates is consistent with the anchor currency as the speed of convergence of the Big Mac real exchange rates of the RMB, MYR, and the dollar against the floating currencies are almost identical during the pegged period. This may be due to similar inflation rate movements in the related economies. These results do not support the opinion that China has manipulated the value of its currency.

Domestic Exchange Rates and Regional Economic Growth in the United States, 1899–1908: Evidence from Cointegration Analysis

1998 ◽  
Vol 58 (4) ◽  
pp. 1010-1026 ◽  
Author(s):  
Ronnie J. Phillips ◽  
Harvey Cutler
Keyword(s):  
United States ◽  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Federal Reserve ◽  
Growth Rates ◽  
The United States ◽  
Cointegration Analysis ◽  
Regional Economic Growth ◽  
Exchange Rate Fluctuations

This article examines one feature of the pre—Federal Reserve financial system that has not been widely researched: the market for bank drafts (the “domestic exchanges”). Though the exchanges existed for nearly a century, critics argued that exchange rate fluctuations exacerbated financial panics. We find, using cointegration analysis over the period from 1899 to 1908, that differences in growth rates across regions caused predictable movements in rates. We conclude that the exchanges promoted efficiency in the payments system. This supports the view that the private sector might have developed a unified national system had the Fed not abolished the exchanges.

scholarly journals Exchange Rate Predictability

2013 ◽  
Vol 51 (4) ◽  
pp. 1063-1119 ◽  
Author(s):  
Barbara Rossi
Keyword(s):  
Exchange Rate ◽  
Random Walk ◽  
Exchange Rates ◽  
Evaluation Method ◽  
Recent Literature ◽  
Forecast Horizon ◽  
Exchange Rate Fluctuations ◽  
New Methodologies ◽  
Exchange Rate Predictability ◽  
Period Model

The main goal of this article is to provide an answer to the question: does anything forecast exchange rates, and if so, which variables? It is well known that exchange rate fluctuations are very difficult to predict using economic models, and that a random walk forecasts exchange rates better than any economic model (the Meese and Rogoff puzzle). However, the recent literature has identified a series of fundamentals/methodologies that claim to have resolved the puzzle. This article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies and fundamentals that have been recently proposed in an up-to-date, thorough empirical analysis. Overall, our analysis of the literature and the data suggests that the answer to the question: “Are exchange rates predictable?” is, “It depends”—on the choice of predictor, forecast horizon, sample period, model, and forecast evaluation method. Predictability is most apparent when one or more of the following hold: the predictors are Taylor rule or net foreign assets, the model is linear, and a small number of parameters are estimated. The toughest benchmark is the random walk without drift. (JEL C53, F31, F37, E43, E52)

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