Effect of Central Bank Intervention in Estimating Exchange Rate Exposure: Evidence from an Emerging Market

2018 ◽  
Vol 17 (1) ◽  
pp. 60-95
Author(s):  
Ekta Sikarwar ◽  
Ganesh Kumar Nidugala
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Emerging Market ◽  
Central Bank Intervention ◽  
Vector Error Correction ◽  
Exchange Rate Exposure ◽  
Vector Error ◽  
Exchange Rate Changes ◽  
New Evidence ◽  
The Relationship

This study examines the relationship between the value of the firm and unanticipated changes in exchange rate. Using a sample of 651 Indian firms over the period from 2001 to 2013, this study finds that unanticipated changes in exchange rates are more appropriate than actual changes to discover statistically significant and economically important exchange rate exposure. Using a vector error correction model (VECM) to generate unanticipated exchange rate changes, this study provides new evidence that the intervention by central bank has a major impact on the level of Indian firms’ exchange rate exposure.

scholarly journals Price Discovery Mechanism in Spot and Futures Market of Agricultural Commodities: The Case of India

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Minakshi .
Keyword(s):  
Price Discovery ◽  
Emerging Market ◽  
Futures Prices ◽  
Correction Model ◽  
Vector Error Correction ◽  
Spot Prices ◽  
Vector Error ◽  
Long Run ◽  
The Relationship

There has been increasing focus by emerging market researchers, policymakers and regulators for investigating price discovery, relationship between future and physical market and accessible trading and risk management instruments for the benefit of various stakeholders and thus contributing to the development of literature. The central question of this paper is examining the role of influence of one market on the other and the role of each market segment in price discovery in the Indian context. Johansen Vector Error Correction Model (VECM) has been employed to examine the relationship between the spot and futures prices. The cointegration results do not confirm the existence of long-run relationship between spot and futures prices. It is thus, implied that futures prices unlikely serve as market expectations of subsequent spot prices of selected agri-commodities in India and do not help in price discovery process.

An Empirical Analysis of Foreign Exchange Exposure of CNX 100 Companies

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 1-9 ◽  
Author(s):  
Sriram Mahadevan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Future Research ◽  
Export Ratio ◽  
Exchange Rate Exposure ◽  
Ratio Size ◽  
Foreign Exchange Exposure ◽  
Exchange Rate Changes

The present study has empirically examined the level of foreign exchange exposure and its determinants of CNX 100 companies. For the purpose of study, the relationship between exchange rate changes and stock returns for a sample of 82 companies was determined for the period April 2011-March 2016. The study finds that 49% of the sample companies had significant positive foreign exchange rate exposure and the found that the companies could be exporters or net importers. To explore factors determining foreign exchange rate exposure, variables such as export ratio, import ratio, size of a company, hedging activities were regressed against the exchange exposure and the study found that none of the factors was influencing the exchange rate exposure. The study concludes that the reasons for insignificant influence of the variables could be the natural hedging practices of companies, offsetting of exports and imports and heterogeneous of the sample size. The study offers few directions for future research in this area.

scholarly journals Analysis of Cryptocurrency Dynamics in the Emerging Market Economies: Does Reinforcement or Substitution Effect Prevail?

SAGE Open ◽  
2021 ◽  
Vol 11 (1) ◽  
pp. 215824402110025
Author(s):  
Chika Anastesia Anisiuba ◽  
Obiamaka P. Egbo ◽  
Felix C. Alio ◽  
Chuka Ifediora ◽  
Ebele C. Igwemeka ◽  
...  
Keyword(s):  
Emerging Market ◽  
Substitution Effect ◽  
Global Market ◽  
Emerging Market Economies ◽  
Vector Error Correction ◽  
Market Economies ◽  
Vector Error ◽  
The Status ◽  
Chinese Yuan ◽  
Digital Assets

We analyzed cryptocurrency dynamics in the global U.S. dollar–denominated market and the emerging market economies (EMEs) with a view to ascertaining whether activities in these markets are predominantly shaped by reinforcement or substitution effect. Cryptocurrencies analyzed include the Bitcoins, Ethereum, Litecoin, Steller, Bitcoin Cash, and USD Tether. The results suggest that, on average, correlation between digital assets in the cryptocurrencies’ ecosystem is positive. However, there is evidence of an outlier with respect to the USD Tether (USDT) in the global market, revealing that the USDT is negatively associated with all other cryptocurrencies. This is supported by the dynamic regression results that provided evidence of reinforcement effect in favor of the USDT in the global crypto market, thus confirming the status of the USDT as “Stablecoin” as it is pegged 1:1 to USD. In the global market context, the results also revealed that USDT/USD returns had identical outliers that could portend lesser chances of extreme gains or losses compared with suggestions of extreme gains or losses in the EMEs. Furthermore, USDT did not seem to have similar evolution in the EMEs where it had relatively marginal influence in the markets. The vector error correction (VEC) estimate showed mixed results between Altcoins in all the markets; moreover, our finding showed that reinforcement effects hold in favor of Steller (XLM) both in the Russian ruble and Indian rupee crypto markets, whereas the Chinese yuan crypto market was predominantly characterized by substitution effect in favor of Bitcoin.

Assessing the Impact of Terrorism on African Tourism Demand

2021 ◽  
Author(s):  
Sheereen Fauzel ◽  
Boopen Seetanah
Keyword(s):  
Panel Data Analysis ◽  
Dynamic Panel Data ◽  
Terrorist Attacks ◽  
Tourism Demand ◽  
African Countries ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Impact ◽  
The Relationship

Many African states are relying on or have identified tourism to accelerate their growth and the continent has become the world’s second fastest growing tourist industry. However, African states have also not been spared by increasing terrorism attacks during the past decades, probably hindering the growth of this sector to certain extent. This study examines the relationship between terrorism and tourism for a sample of selected African countries over the period 1995 to 2017. Given the dynamic nature of tourism demand and the possibility of endogenous relationships in the terrorism-tourism nexus, dynamic panel data analysis, namely a Panel vector error correction model (PVECM) is employed. The results confirm that terrorism negatively affects tourism demand in Africa and this can be explained by the reactive psychology of tourists to the various aggravated terrorist attacks in the countries. Moreover, the findings show that an increase in tourism may have resulted in an increase in terrorist attacks, hence confirming a bi directional causality between tourism and terrorism.

The Effect of Real Exchange Rate on Trade Balance in a Resource-Rich Economy: The Case of Mongolia

2018 ◽  
Vol 53 (4) ◽  
pp. 211-224 ◽  
Author(s):  
Gan-Ochir Doojav
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Trade Balance ◽  
Developing Economies ◽  
Jel Classification ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Exchange Rate Depreciation

For resource-rich developing economies, the effect of real exchange rate depreciation on trade balance may differ from the standard findings depending on country specific characteristics. This article employs vector error correction model to examine the effect of real exchange rate on trade balance in Mongolia, a resource-rich developing country. Empirical results show that exchange rate depreciation improves trade balance in both short and long run. In particular, the well-known Marshall–Lerner condition holds in the long run; however, there is no evidence of the classic J-curve effects in the short run. The results suggest that the exchange rate flexibility may help to deal effectively with current account deficits and exchange rate risk. JEL Classification: C32, C51, F14, F32

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