scholarly journals Macroeconomic Fundamentals and the Exchange Rate Volatility: Empirical Evidence From Somalia

SAGE Open ◽  
2020 ◽  
Vol 10 (1) ◽  
pp. 215824401989884
Author(s):  
Mohamed Ibrahim Nor ◽  
Tajul Ariffin Masron ◽  
Tariq Tawfeeq Yousif Alabdullah
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Regulatory Authority ◽  
Exchange Rate Volatility ◽  
Rate System ◽  
Macroeconomic Factors ◽  
Post Conflict ◽  
Macroeconomic Fundamentals ◽  
Exchange Rate System ◽  
The Exchange Rate

The purpose of this research is to investigate the effect of macroeconomic factors on the volatility of Somalia’s unregulated exchange rates. While utilizing the EGARCH (exponential generalized autoregressive conditional heteroskedastic) model, this study found that the unregulated exchange rate volatility of Somalia is influenced by its own shocks and the macroeconomic factors. This study implies that although Somali shilling circulated without regulatory authority for the period of the statelessness, this circulation has been accompanied by volatile exchange rates. This phenomenon makes this study an appealing work that should be pursued further. Hence, this study contributes notably to the process of reforming the exchange rate system and the monetary policy of the post-conflict economy of Somalia. In addition, the results of this study imply that even in times of war and lawlessness the laws of economics do not change completely.

scholarly journals Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2006 ◽  
Vol 96 (3) ◽  
pp. 552-576 ◽  
Author(s):  
Philippe Bacchetta ◽  
Eric van Wincoop
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
Exchange Rate Volatility ◽  
Order Flow ◽  
Macroeconomic Variables ◽  
Symmetric Information ◽  
Macroeconomic Fundamentals ◽  
The Exchange Rate ◽  
Exchange Rate Changes

Empirical evidence shows that most exchange rate volatility at short to medium horizons is related to order flow and not to macroeconomic variables. We introduce symmetric information dispersion about future macroeconomic fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence, the model implies that (a) observed fundamentals account for little of exchange rate volatility in the short to medium run, (b) over long horizons, the exchange rate is closely related to observed fundamentals, (c) exchange rate changes are a weak predictor of future fundamentals, and (d) the exchange rate is closely related to order flow.

scholarly journals Measuring the relationship between the balance of payments and the exchange rate - A case study of a group of Arab countries during the period 2000/2016-

2018 ◽  
Vol 2 (2) ◽  
pp. 44-66
Author(s):  
Abd Elouahid SERARMA ◽  
Newfel BAALOUL
Keyword(s):  
Exchange Rate ◽  
Empirical Studies ◽  
Arab Countries ◽  
Balance Of Payments ◽  
Rate System ◽  
Exchange Rate System ◽  
Independent Variable ◽  
The Exchange Rate ◽  
The Relationship

The Objective of this study is to examine the effect of exchange rate system on the balance of payments, with a case study of a group of Arab countries. First we shed light on the most important theoretical and empirical studies of exchange rate systems and their macroeconomics effects in one hand. In the other hand we study a case of six oil exporting Arab countries. To achieve this purpose we adopted a panel data and run an econometric model to examine the relationships between the variables during the period 2000 to 2016. The study concluded that there is a significant positive correlation between the exchange rate as an independent variable and the balance of payments as a dependent variable, and there is no deference in the effects of the exchange system in the study of six Arab economies.

Exchange Rate and Industry-Level Energy Import

2021 ◽  
pp. 71-86
Author(s):  
Abdul Sahib ◽  
Sergey Prosekov
Keyword(s):  
Exchange Rate ◽  
Supply And Demand ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Level Energy ◽  
Rate System ◽  
Domestic Prices ◽  
Floating Exchange Rate ◽  
Exchange Rate System ◽  
The Impact

After the Bretton Woods exchange rate system in 1973, the free-floating exchange rate, the rate determined by the forces of supply and demand, began, which developed an interest in the area of many researchers to investigate, theoretically and empirically, the impact of exchange rate volatility on the world trade flows. There are two channels, direct and indirect, through which the change in exchange rate affects domestic prices. Under the direct channel, a fall in exchange rate leads to increase in imports as well as increases the prices of inputs in domestic currency. Secondly, under the indirect channel, a decline in the exchange rate triggers the availability of domestic goods to foreign buyers at a cheaper rate, and the demand for domestic products increased. Thus, the change in exchange rate affects trade flows either positively or negatively.

MANAGING EXCHANGE RATE VOLATILITY: A COMPARATIVE COUNTERFACTUAL ANALYSIS OF SINGAPORE, 1994–2003

2009 ◽  
Vol 54 (04) ◽  
pp. 543-568 ◽  
Author(s):  
PETER WILSON ◽  
HENRY SHANG REN NG
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
East Asian ◽  
Exchange Rate Volatility ◽  
Rate System ◽  
The Us ◽  
Floating Exchange Rate ◽  
Effective Exchange ◽  
Exchange Rate System ◽  
Effective Exchange Rate

This paper looks at how Singapore's exchange rate regime has coped with exchange rate volatility, by comparing the performance of Singapore's actual regime in minimizing the volatility of the nominal effective exchange rate (NEER) and the bilateral rate against the US dollar with some counterfactual regimes and the corresponding performance of eight other East Asian countries. In contrast to previous counterfactual exercises, we apply a more disaggregated methodology for the trade weights, a larger number of trade partners and ARCH/GARCH techniques to capture the time-varying characteristics of volatility. Our findings confirm that Singapore's managed floating exchange rate system has delivered relatively low currency volatility. Although there are gains in volatility reduction for all countries in the sample from the adoption of either a unilateral or a common basket peg, particularly post-Asian crisis, these gains are relatively low for Singapore, largely because of low actual volatility. There are additional gains for non-dollar peggers from stabilizing intra-east Asian exchange rates against the dollar if they were to adopt a basket peg, especially post-crisis, but the gains for Singapore are again relatively modest. Finally, the conclusion from previous counterfactual studies that there is little difference between a unilateral basket peg and a common basket peg in terms of stability reduction is confirmed.

scholarly journals Long Memory in Exchange Rate Volatility

2021 ◽  
Author(s):  
Aysu Yaşar ◽  
Kenan Terzioğlu
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Long Memory ◽  
Asset Prices ◽  
Market Price ◽  
Exchange Rate Volatility ◽  
Financial Asset ◽  
Model Structure ◽  
Continuous Stream ◽  
The Exchange Rate

Considering rapidly evolving technology and effective markets, wherein information and news are quickly and effectively reflected in financial asset prices, the positions of investors trading in financial markets regarding financial asset prices vary according to the continuous stream of information coming to the market. However, markets are not fully efficient in terms of maintaining a long memory that enables future pricing estimates based on the past market price of the financial asset. Revealing the existence of a long memory structure is essential to the development of monetary policies since exchange rates that tend to return to average exert high resistance. In this study, the exchange rate’s long-range dependence is determined in the scope of the log-periodogram estimator and using a fractional model structure, the average model, and the variance model structure related to the exchange rate between February 22, 2001–March 16, 2020 are examined. In this context, the parameters in the model allow an examination of the long memory process. According to the fractionally integrated exponential generalized autoregressive conditional heteroskedasticity model, it is determined that the effects of shocks in the exchange rate market continue and persist for a long period. Policy suggestions within the scope of exchange rates are evaluated within model outputs.

Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?

2010 ◽  
Vol 230 (4) ◽  
Author(s):  
Christian Pierdzioch ◽  
Georg Stadtmann
Keyword(s):  
Exchange Rate ◽  
Standard Model ◽  
Exchange Rates ◽  
Survey Data ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate ◽  
Herd Behavior ◽  
Macroeconomic Fundamentals

SummaryExchange rates have been found to be more volatile than underlying macroeconomic fundamentals. Researchers have argued that the empirically observed high exchange-rate volatility may result from herd behavior of foreign-exchange traders and forecasters. We sketch a standard model that illustrates that herd behavior of foreign-exchange-rate forecasters may be rational. We then use survey data to test for herd behavior of forecasters. Our results suggest that exchange-rate-forecasters anti-herd and “lean against the wind” when forecasting exchange rates.

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