Study on the Exchange Rate of Australian Dollar against US Dollar Based on Time Series Model

2021 ◽  
Vol 10 (02) ◽  
pp. 241-255
Author(s):  
钰 张
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Time Series Model ◽  
Australian Dollar ◽  
Us Dollar ◽  
The Exchange Rate

scholarly journals Influence Of Australian Coal Export On A$/US$ Exchange Rate: A Longitudinal Study

2012 ◽  
Vol 11 (4) ◽  
pp. 397 ◽  
Author(s):  
Md. Liakat Ali ◽  
Sheikh F. Rahman
Keyword(s):  
Exchange Rate ◽  
Longitudinal Study ◽  
Positive Relationship ◽  
Dollar Exchange Rate ◽  
Quarterly Data ◽  
Australian Dollar ◽  
The Us ◽  
Australian Coal ◽  
Us Dollar ◽  
The Exchange Rate

This paper investigates the contribution of Australian coal export to determine the exchange rate of Australian dollar with the US dollar. The quarterly data of Australian coal export and the Australian dollar exchange rate from 1992-2009 are employed to measure the influence of Australian coal export on A$/US$ exchange rate. This study finds that the Australian coal export has a positive relationship with the exchange rate of A$/US$ and their relationship is becoming stronger. The findings of this research suggest that the volume of Australian coal export contributes about 8% to determine the exchange rate of A$/US$ between the period of 1992-2009. The results of this analysis confirm that for each one million tonnes export increase of Australian coal, the Australian dollar value against the US$ increases by 0.002450 USD.

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.

Determinants of Workers’ Remittances in Nepal: An Empirical Study

2021 ◽  
Vol 3 (1) ◽  
pp. 126-140
Author(s):  
Naw Raj Bhatt ◽  
Melina Kharel
Keyword(s):  
Exchange Rate ◽  
Poverty Eradication ◽  
Exogenous Variables ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
External Sector ◽  
The Relationship

Background: Remittance has a crucial role in external sector stability, poverty eradication, and social as well as the human development of developing countries like Nepal. The determinants of remittance are widely discussed in the existing works of literature from altruism and portfolio approaches. Since the share of remittance in the current account, current transfer income, and forex reserve is significantly high, the study of major determinants of increasing remittance inflow is necessary. In this regard, this paper examines the relationship between remittance inflow, exchange rate, and workers outflow in Nepal. Objective: The main objective of this study was to examine the effect of the exchange rate and workers outflow on the remittance inflow of Nepal. Methods: This study employs the ARDL approach to co-integration to examine the relationship between remittance inflow as an endogenous variable and exchange rate and workers outflow as exogenous variables. Results: The coefficients of the exchange rate and workers outflow are significant and positive in long run as well as in the short-run whereas coefficients of the first lag value of workers outflow and remittance inflow itself are significant but negative. Conclusion: The significant and positive coefficient of exchange rate indicates that depreciation of Nepalese currency with US dollar (or rise in the exchange rate) rises the remittance inflow. Further, the remittance inflow also increases with an increase in workers outflow. The effect of the exchange rate on remittance is greater than that of workers outflow in both the long-run and short-run.

scholarly journals Cointegration of Stock Market and Exchange Rate in Indonesia

2019 ◽  
Vol 2 (2) ◽  
pp. 125 ◽  
Author(s):  
Pribawa E Pantas ◽  
Muhamad Nafik Hadi Ryandono ◽  
Misbahul Munir ◽  
Rofiul Wahyudi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Capital Market ◽  
Global Financial Crisis ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Johansen Cointegration Test ◽  
The Global Financial Crisis

This study aims to determine the long-term relationship between stock market and exchange rate in Indonesia. The research method used is Johansen cointegration test. The results of this study found no cointegration between the variables tested. Thus the exchange rate, JII, and IHSG have no relationship in the long term. The fluctuation of the rupiah exchange rate in recent years did not generally affect the performance of stock indices especially after the global financial crisis of 2008. This shows the capital market in Indonesia has a good performance so that it is not so sensitive to the sentiment of the decline in the rupiah against the US dollar. This finding is in line with the findings of Syahrer (2010) which states the exchange rate has no effect on the stock market.

scholarly journals Forecasting The Exchange Rate Between Euro And USD: Probabilistic Approach Versus ARIMA And Exponential Smoothing Techniques

2012 ◽  
Vol 28 (2) ◽  
pp. 171 ◽  
Author(s):  
Paraschos Maniatis
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Probabilistic Approach ◽  
Laplace Distribution ◽  
Exponential Smoothing ◽  
Initial Time ◽  
Font Size ◽  
Smoothing Techniques ◽  
Initial Time Series ◽  
The Exchange Rate

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none;" class="MsoNoSpacing"><span style="color: black; font-family: &quot;Times New Roman&quot;,&quot;serif&quot;; font-size: 10pt; mso-themecolor: text1; mso-ansi-language: EN-US;">This study attempts to model the exchange rate between Euro and USD using univariate models- in particular ARIMA and exponential smoothing techniques. The time series analysis reveals non stationarity in data and, therefore, the models fail to give reliable predictions. However, differencing the initial time series the resulting series shows strong resemblance to white noise. The analysis of this series advocates independence in data and distribution satisfactorily close to Laplace distribution. The application of Laplace distribution offers reliable probabilities in forecasting changes in the exchange rate.</span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

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 Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria

2017 ◽  
Vol 9 (11) ◽  
pp. 35
Author(s):  
Jibrin Daggash ◽  
Terfa W. Abraham
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Stock Market ◽  
Stock Exchange ◽  
Equity Prices ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Uk

This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, confirming the stock flow hypothesis for Nigeria and refuting same for South Africa. Although the VAR granger causality identifies short run fluctuation of the naira as a significant factor affecting the performance of the Nigerian stock exchange in the short run, the Johannesburg stock exchange was found to be mostly affected by short run changes in the Rand and the UK FTSE 100. The paper concludes that policies aimed at stabilizing exchange rate and encouraing more non-oil stocks to be quoted in the Nigerian stock exchange will important. For the Johanesburg stock exchange, raising the listing requirement for firms quoted in the UK FTSE 100 and also seeking listing or already listed in the JSE will be a plausible idea. For both countries, however, curtailing swings in their exchange rate returns would help attract new investments and sustain existing ones hence, helping to spur growth.

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