scholarly journals Emerging Market Currency Excess Returns

2011 ◽  
Vol 3 (4) ◽  
pp. 85-111 ◽  
Author(s):  
Stephen Gilmore ◽  
Fumio Hayashi
Keyword(s):  
Transaction Costs ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Emerging Market ◽  
Exchange Market ◽  
Excess Returns ◽  
Forward Premium ◽  
The Us ◽  
Us Dollar ◽  
Portfolio Return

We consider the excess return from 20 internationally tradable emerging market (EM) currencies against the US dollar. It has two contributions. First, we document stylized facts about EM currencies. EM currencies have provided significant equity-like excess returns against major currencies, but with low volatility. Picking EM currencies with a relatively high forward premium raises the portfolio return substantially. Second, our calculation incorporates institutional features of the foreign exchange market, such as lags in settling spot contracts, FX swaps, and bid/offer spreads. Transaction costs arising from bid/offer spreads are less than one-fifth of what is typically presumed in the literature. (JEL C58, F31, G15)

Optimistic and pessimistic economic sentiments and US Dollar exchange rate

2021 ◽  
Author(s):  
Sonia Kumari ◽  
Suresh Kumar Oad Rajput ◽  
Rana Yassir Hussain ◽  
Jahanzeb Marwat ◽  
Haroon Hussain
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Ordinary Least Squares ◽  
Exchange Market ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate

This study investigates the affiliation of various proxies of economic sentiments and the US Dollar exchange rate, mainly focusing on the real effective exchange rate of USD pairing with three other major currencies (USDEUR, USDGBP, and USDCAD). The study has employed Google Trends data of economy optimistic and pessimistic sentiments index and survey-based economy sentiments data on monthly basis from January 2004 to December 2018. The study engaged Ordinary Least Squares (OLS) and Auto-Regressive Distributed Lag (ARDL) estimation techniques to evaluate the short-run and long-run effects of economy-related sentiments and macroeconomic variables on the exchange rate. The results from the study found that Economy Optimistic Sentiments Index (EOSI) and Economy Pessimistic Sentiments Index (EPSI) appreciate and depreciate the US Dollar exchange rate in the short-run, respectively. Our sentiment measures are robust to survey-based Michigan Consumer Sentiment Index (MSCI), Consumer Confidence Index (CCI), and various macroeconomic factors. The MSCI and CCI sentiments show a long-term impact on the foreign exchange market. This study implies that economic sentiments play a vital role in the foreign exchange market and it is essential to consider behavioral aspects when modeling the exchange rate movements.

scholarly journals Analysis of the development of the foreign exchange market in the Russian Federation

2021 ◽  
pp. 149-161
Author(s):  
Alexander S. Kokin Kokin ◽  
Vladimir A. Odinokov Odinokov ◽  
Valentina N. Shchepetova Shchepetova
Keyword(s):  
Foreign Exchange ◽  
Russian Federation ◽  
Foreign Exchange Market ◽  
Well Being ◽  
Market Development ◽  
Exchange Market ◽  
The Us ◽  
The Russian Federation ◽  
Us Dollar ◽  
Main Factors

The article focuses on the financial foreign exchange market, the development and condition of which determines the financial well-being of most commercial enterprises of the Russian Federation.  The purpose of the research is to give review of the Russian foreign exchange market’ development and situation. The main factors influencing the level of the exchange rate of foreign currencies expressed in national currency are considered. The domestic and international foreign exchange market of Russia for the period 2016-2020 is analyzed. The dynamics of conversion operations, the structure of participants in the domestic foreign exchange market by type of currency. The results of trading on the foreign exchange market, futures and options as a currency instrument, the share of options and futures on the futures market of the Russian Federation, as well as the dynamics of the US dollar against the ruble and exchange trading indicators for the period from 2016 to 2020. The conditions, results and prospects of the development of the financial foreign exchange market of the Russian Federation are discussed in this  article

scholarly journals Investigation of volatility and spillover in foreign ex-change return in Indian Chinese & Malaysian market

2017 ◽  
Vol 5 (2) ◽  
pp. 150
Author(s):  
Amritkant Mishra
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Spillover Effect ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Chinese Market ◽  
Daily Data ◽  
The Us ◽  
Us Dollar

In this paper it is tried to make the comparison the foreign exchange return volatility in the three emerging economies of Asia. It is also endeavored to investigate the return co-movement and the volatility spillover between the foreign exchange markets of India, China and Malaysia with reference of US dollar, Indian Rupees, Chinese Yuan and Malaysian Ringgit in each other foreign exchange market to. The daily data have collected from Federal Reserve data base from April 2012 to March 2017. For analysis MGARCH model, the GARCH DCC as well as VAR model applied. The empirical result of volatility spillover effect shows that in Indian and Malaysian foreign exchange market the US dollar seems as shock transmitter. It also shows that the influence of US dollar in Chinese foreign exchange market is very low as compare to the Indian and Malaysian exchange rate market. In Chinese market Malaysian ringgit is dominant currency and it transmits the shocks to the US dollar. The conditional volatility result shows that among all the foreign exchange market, Indian market has high volatility return of foreign currency as compare to other market.

scholarly journals Central bank's communication and markets' reactions: Polish evidence

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janusz Brzeszczyński ◽  
Jerzy Gajdka ◽  
Tomasz Schabek ◽  
Ali M Kutan
Keyword(s):  
Monetary Policy ◽  
Foreign Exchange ◽  
Financial Market ◽  
Foreign Exchange Market ◽  
Emerging Market ◽  
Public Information ◽  
Exchange Market ◽  
Market Segments ◽  
Content Type ◽  
The Impact

PurposeThis study contributes to the pool of knowledge about the impact of monetary policy communication of central banks on financial instruments' prices and assets' value in emerging markets.Design/methodology/approachEmpirical analysis is executed using the National Bank of Poland (NBP) announcements about its monetary policy covering the data from the broad financial market in its three main segments: stock market, foreign exchange market and bonds market. The reactions are measured relative to the changes in the NBP announcements and also with respect to investors' expectations. Autoregressive conditional heteroscedasticity (ARCH) models with dummy variables are used as the main methodological tool.FindingsBonds market and foreign exchange market are the most sensitive market segments, while interest rate and money supply are the most influential types of announcements. The changes of the revealed new macroeconomic figures had more impact on assets' prices movements than the deviations from their expectations. Moreover, greater diversity of the Monetary Policy Council (MPC) members' opinions on the voted motions, captured in the MPC voting reports, is associated with more cases of statistically significant NBP communication events.Practical implicationsThe findings have direct relevance for fund managers, portfolio analysts, investors and also for financial market regulators.Originality/valueThe results provide novel evidence about how the emerging financial market responds to monetary policy announcements. They help understand the nature of the impact of public information on financial assets' valuation and on movements of their prices, analysed comprehensively in three market segments, in the emerging market environment.

scholarly journals Interdependence among ASEAN 5 in Foreign Exchange Market

2017 ◽  
Vol 17 (1) ◽  
pp. 53
Author(s):  
Yunita Astanti Unlinnuha
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Positive Response ◽  
Granger Causality Test ◽  
Exchange Market ◽  
Causality Test ◽  
Us Dollar ◽  
Vector Auto Regression ◽  
The Relationship ◽  
Auto Regression

This paper examines the relationship between ASEAN-5 foreign exchange market and US Dollar in last 5 years. The data used is the currency of ASEAN-5 countries that are Indonesia, Malaysia, Vietnam, and Thailand. The data was analyzed using VAR (Vector Auto Regression). Among ASEAN 5, there are interdepence relationship in foreign exchange market. The strongest interdepence relationship are showed between Indonesia, Singapore and Malaysia, while Phillipines and Thailand have less influence toward others. Foreign exchange market among ASEAN 5 shows positive response which has been proven by Granger Causality test.

scholarly journals THE RISK PREMIUM IN THE FOREIGN EXCHANGE MARKET. THE APPLICATION OF ARCH-IN-MEAN MODEL

2020 ◽  
Vol 21 (2) ◽  
pp. 71-79
Author(s):  
Katarzyna Czech
Keyword(s):  
Foreign Exchange ◽  
Risk Premium ◽  
Foreign Exchange Market ◽  
Conditional Variance ◽  
Exchange Market ◽  
Market Uncertainty ◽  
Forward Premium Anomaly ◽  
The Us ◽  
High Volatility ◽  
Japanese Yen

Forward premium anomaly is one of the most popular puzzles in the theory of international finance. The phenomenon is explained by, among others, the existence of non-zero risk premium in the foreign exchange market. The paper applies ARCH-in-mean models to assess whether there exists a time-varying risk premium in the USD/PLN and AUD/JPY foreign exchange markets. The results indicate the existence of a non-zero risk premium in the analyzed markets. As far as the USD/PLN is concerned, the risk premium takes negative values when the risk measured by conditional variance rises. The results suggest that when there is a surge in risk, the US dollar’s appreciation and Polish zloty depreciation increases. The results confirm the US dollar as a safe-haven currency that tends to appreciate during high-volatility and crisis periods. Moreover, the study shows that the risk premium in the AUD/JPY market takes positive values when the risk measured by conditional variance rises. It implies that when there is a mount in risk, the appreciation of Japanese yen increases. Furthermore, research results reveal the positive and significant relationship between stock market uncertainty and exchange rates conditional volatility.

Sign in / Sign up

Export Citation Format

Share Document