scholarly journals Estimando a Densidade da Taxa de Câmbio Usando Modelos Paramétricos: o Caso do Brasil

2007 ◽  
Vol 5 (1) ◽  
pp. 29
Author(s):  
Marcos Massaki Abe ◽  
Eui Jung Chang ◽  
Benjamin Miranda Tabak
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Financial Stability ◽  
Options Market ◽  
Options Markets ◽  
Empirical Results ◽  
The Exchange Rate ◽  
Density Forecasts ◽  
Future Exchange ◽  
Option Market

This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.

scholarly journals Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model

2015 ◽  
Vol 7 (12) ◽  
pp. 70 ◽  
Author(s):  
Chi-Hsun Chou ◽  
Tsung-Yu Hsieh ◽  
Son-Nan Chen
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Market Model ◽  
Model Parameters ◽  
Rate Process ◽  
Multifactor Model ◽  
Libor Market Model ◽  
Empirical Results ◽  
The Cross ◽  
The Exchange Rate

<p>In this paper, we propose analytical valuation formulae for three types of quanto floating range notes based on the cross-currency LIBOR market model. The dynamics of forward LIBOR rates is a multifactor model that incorporates both the domestic and foreign interest rate process and the exchange rate process in a cross-currency environment. The derived formulae are analytically tractable and easy to implement in practice. The model parameters can be extracted directly from market quantities. We show that the empirical results are more accurate and robust than the results ofMonte Carlosimulation.</p>

scholarly journals El peso mexicano: la gestión de cobertura del riesgo cambiario mediante la teoría de los efectos olvidados

2012 ◽  
Vol 17 (32) ◽  
pp. 53-73
Author(s):  
Ricardo Salazar Garza ◽  
Keyword(s):  
Decision Making ◽  
Risk Management ◽  
Fuzzy Logic ◽  
Exchange Rate ◽  
Nonlinear Model ◽  
Lower Cost ◽  
Exchange Rate Risk ◽  
Traditional Methods ◽  
Economic Agents ◽  
Future Exchange

This paper is about developing a nonlinear model to predict the behavior of future exchange rate based on the opinion of the economic agents participating in the dollar/peso market. Such views are treated with Fuzzy Logic and a variant of it, known as the Theory of Forgotten Effects. The aim is to find a mechanism for making coverage decisions that allow us an optimal exchange rate risk management at a lower cost than that which involves operations with traditional hedging instruments. For the period of investigation and applying this model, the results support that the collective opinions of economic experts involved in the decision making risk management of exchange rate provide better results than those using traditional methods in the future markets.

scholarly journals Forecast Foreign Exchange Rate: The Case Study of PKR/USD

2020 ◽  
Vol 11 (4) ◽  
pp. 129
Author(s):  
Muhammad Asadullah ◽  
Nawaz Ahmad ◽  
Maria José Palma Lampreia Dos-Santos
Keyword(s):  
Exchange Rate ◽  
Arima Model ◽  
Future Trend ◽  
Suitable Model ◽  
The Future ◽  
The Exchange Rate ◽  
The Difference ◽  
The Government ◽  
Future Exchange

The main aim of this paper is to forecast the future values of the exchange rate of the USD. Dollar (USD) and Pakistani Rupee (PR). For this purpose was used the ARIMA model to forecast the future exchange rates, because the time series was stationary at first difference.  Data reported to five years ranging from the first day of April 2014 to 31st March 2019. The results proved that ARIMA (1,1,9) is the most suitable model to forecast the exchange rate. The difference between the forecasted values and actual values are less than 1%; therefore, it was found that the ARIMA is robust and this model will be helpful for the government functionaries, monetary policymakers, economists and other stakeholders to identify and forecast the future trend of the exchange rate and make their policies accordingly.

scholarly journals The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia

2021 ◽  
Author(s):  
Andrey Duván Rincón-Torres ◽  
Kimberly Rojas-Silva ◽  
Juan Manuel Julio-Román
Keyword(s):  
Exchange Rate ◽  
Financial Stability ◽  
Return Volatility ◽  
Event Analysis ◽  
Treasury Bonds ◽  
Bond Return ◽  
The Exchange Rate ◽  
Analysis Models ◽  
Fx Market ◽  
Bid Ask Spreads

We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information to the TES market, but the opposite does not completely hold: A one percent COP depreciation leads to a persistent reduction of TES prices between 0.05% and 0.22%. However, a 1% TES price increase has a very small effect and not entirely significant on the exchange rate, i.e. a COP appreciation between 0.001% and 0.009%. Furthermore, TRM return volatility increases do not affect bond return volatility but its liquidity, i.e. the bid/ask quote number and volume. These results are coherent with the fact that the FX market more efficiently reflects the effect of shocks than the TES market, which may be due to its low liquidity and concentration on a specific habitat. These results have implications for the design of financial stability policies as well as for private portfolio design, rebalancing and hedging.

scholarly journals The effect of the rand exchange rate on the JSE Top-40 stocks: An analysis for the practitioner

2007 ◽  
Vol 38 (1) ◽  
pp. 45-58 ◽  
Author(s):  
G. D.I. Barr ◽  
B. S. Kantor ◽  
C. G. Holdsworth
Keyword(s):  
Exchange Rate ◽  
A Priori ◽  
Share Price ◽  
Global Positioning ◽  
Exchange Rate Movements ◽  
The Exchange Rate ◽  
Top 40 ◽  
Almost All ◽  
The Relationship ◽  
Future Exchange

This paper investigates the relationship between the returns of the ALSI Top 40 companies and changes in the Rand-Dollar exchange rate. Each of the Top 40 companies was grouped, a priori, according to their global positioning vis-à-vis income and costs into four main categories; namely, Rand-hedge, Rand-leverage, Rand-play and Mixed. The expected reaction of each of the shares within these categories to movements in the exchange rate was in almost all cases confirmed by GARCH adjusted regression analysis over two separate periods, February 1999 to January 2002 and February 2002 to August 2005. Ranked t-statistics were then used to gauge the consistency of the risk-adjusted magnitude of share price changes with respect to changes in the exchange rate. This ranking allows investors to construct customised portfolios according to their expectation of future exchange rate movements and to more fully understand the exchange rate risk that their current portfolio may have.

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

2017 ◽  
Vol 24 (1) ◽  
pp. 54-70
Author(s):  
Hasanah Setyowati ◽  
Riyanti Ningsih
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Analysis Model ◽  
Macroeconomic Factors ◽  
Return On Equity ◽  
Equity Ratio ◽  
Regression Techniques ◽  
The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

On the Exchange Rate Policy

2010 ◽  
pp. 21-28
Author(s):  
K. Yudaeva
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Exchange Rate Policy ◽  
Institutional Changes ◽  
Crisis Period ◽  
Local Currency ◽  
High Inflation ◽  
Rate Policy ◽  
The Exchange Rate

The level of trust in the local currency in Russia is very low largely because of relatively high inflation. As a result, Bank of Russia during crisis times can not afford monetary policy loosening and has to fight devaluation expectations. To change the situation in the post-crisis period Russia needs to live through a continuous period of low inflation. Modified inflation targeting can help achieve such a result. However, it should be amended with institutional changes, particularly development of hedging instruments.

The influence of inflation targeting on the pass-through effect of the exchange rate

2018 ◽  
pp. 70-84
Author(s):  
Ph. S. Kartaev ◽  
Yu. I. Yakimova
Keyword(s):  
Developing Countries ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Policy Regime ◽  
Short And Long Term ◽  
The Exchange Rate ◽  
Pass Through ◽  
The Impact

The paper studies the impact of the transition to the inflation targeting regime on the magnitude of the pass-through effect of the exchange rate to prices. We analyze cross-country panel data on developed and developing countries. It is shown that the transition to this regime of monetary policy contributes to a significant reduction in both the short- and long-term pass-through effects. This decline is stronger in developing countries. We identify the main channels that ensure the influence of the monetary policy regime on the pass-through effect, and examine their performance. In addition, we analyze the data of time series for Russia. It was concluded that even there the transition to inflation targeting led to a decrease in the dependence of the level of inflation on fluctuations in the ruble exchange rate.

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