Modelling the mean and volatility dynamic relationship between the environmental risk or exchange rate volatility surprise and Commodity Research Bureau future price index

2017 ◽  
Vol 9 (4) ◽  
pp. 281
Author(s):  
Ching Chun Wei
Keyword(s):  
Exchange Rate ◽  
Environmental Risk ◽  
Price Index ◽  
Exchange Rate Volatility ◽  
Future Price ◽  
Dynamic Relationship ◽  
The Mean

scholarly journals Dynamic Relationship between RMB Exchange Rate and Interest Rate Based on VAR-DCC-GARCH Model

2020 ◽  
Vol 214 ◽  
pp. 03018
Author(s):  
Xuhang Zhao
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Nominal Exchange Rate ◽  
Practical Significance ◽  
Causality Test ◽  
Dynamic Relationship ◽  
Interest Rate Volatility

Based on the daily data of Shibor and nominal exchange rate from 2006 to 2019, this paper constructs VAR model and uses Granger causality test and impulse response model to analyze the dynamic relationship between exchange rate and interest rate. Based on the DCC-GARCH model, this paper analyzes the correlation between exchange rate volatility and interest rate volatility, and concludes that there is a weak negative correlation between exchange rate and interest rate. Both exchange rate and monetary policy will have an important impact on China’s economic environment, so it is of great practical significance to study the joint impact of exchange rate and monetary policy.

Oil Export Earnings, Exchange Rate Variability, and Economic Growth in Nigeria

2014 ◽  
Vol 3 (4) ◽  
pp. 11-23
Author(s):  
Folorunso Sunday Ayadi ◽  
Olubunmi Elizabeth Oluwagbemi
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Interest Rate ◽  
Price Index ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Exchange Rate Variability ◽  
Oil Export ◽  
Effective Exchange ◽  
Effective Exchange Rate

This paper investigates oil revenue and exchange rate volatility and as well as their impacts on Nigerian economic growth which is examined from 1980 – 2010. Exchange rate volatility was captured using standard deviationof monthly nominal effective exchange rate. During this period, Nigeria recorded high levels of volatility (in oil receipt and effective exchange rate) as can be seen from the Autoregressive Conditional Heteroskedasticity (ARCH) and the General Autoregressive Conditional Heteroskedasticity (GARCH) - ARCH/GARCH results. Also, the Augmented Dickey-Fuller test indicate that some of the variables exhibit unit root, this research further makes use of vector autoregressive process (VAR) using the variance decomposition of Choleski factorisation in which forecast error variance of some systems of equations has innovations which is credited to each variable and the method of impulse response function. The authors established that exchange rate in Nigeria due to its volatility causes revenue volatility from oil and this has a daring consequence on Nigeria's economic growth (being a monoculture economy). They found that change in oil price index, change in interest rate, proportion of export to GDP and exchange rate variability bears some negative impacts on change in the rate of output growth in Nigeria. Moreover, government size and exchange rate variability created some disturbances to change in the rate of output, these changes were not as substantial as those created by change in interest rate, ratio of oil export to GDP and change in oil price index. In addition, change in output responds negatively for some time horizon to one-standard deviation shocks in change in oil price index, change in interest rate, oil export to GDP and exchange rate variability. The authors recommend economic diversification and sound macroeconomic management among others.

scholarly journals A Vector Autoregression Analysis of the Efficacy of External Reserves Management on Exchange Rate Stability: Evidence from Nigeria

2019 ◽  
pp. 1-11
Author(s):  
Ikechukwu Kelikume ◽  
Stanley Emife Nwani
Keyword(s):  
Exchange Rate ◽  
Empirical Result ◽  
Time Series Data ◽  
Exchange Rate Volatility ◽  
International Reserves ◽  
Series Data ◽  
Vector Error Correction ◽  
Dynamic Relationship ◽  
Vector Error ◽  
Monetary Authorities

This paper investigates the dynamic relationship between exchange rate variations and international reserves in Nigeria. The study aimed at ascertaining whether a lead-lag relationship exists between both phenomena using monthly time series data on the bureau de change exchange rate and international reserves extracted from the statistical bulletin of the Central Bank covering 108 observations between January 2010 and December 2018. The econometric techniques utilized included the Granger causality based on the vector error correction mechanism and the AR inverse root test for stability and reliability. The empirical result indicates the absence of causality between exchange rate volatility and international reserves fluctuations for Nigeria. Based on our empirical result, the study vehemently concluded that monetary authorities do not have to depend on external reserves management as an efficient strategy to stabilizing the value of the Nigerian currency. Thus, external reserves accumulation could be a face lifting parameter for credit ratings and attraction of needed capital to stimulate the much desired economic growth in Nigeria.

scholarly journals MODELING AND FORECASTING EXCHANGE RATE VOLATILITY IN EEC COUNTRIES

2019 ◽  
Vol 6 (11) ◽  
Author(s):  
Siniša Miletić ◽  
Dragan Milošević
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Absolute Error ◽  
Symmetric Model ◽  
Test Results ◽  
The Us ◽  
Modeling And Forecasting ◽  
Asymmetric Garch ◽  
The Mean ◽  
Meansquare Error

This main objective of this paper is to examine the properties of the GARCHmodel and its usefulness in modeling and forecasting the volatility of exchange ratemovements in selected EEC countries (Romania, Hungary and Serbia). The dailyreturns of exchange rates on Hungarian forint (HUF), Romanian lei (ROL) andSerbian dinar (RSD), all against the US dollar are analyzed during the period 03.January 2000 to 15. April 2013 in respect. In order to measure the involved risk,symmetric and asymmetric GARCH models are applied. The accuracy of exchangerate volatility forecast is evaluated through reference to the most commonly usedcriteria. These include a Mincer-Zarnowitz regression based test, Mean AbsoluteError (MAE), Root Mean Square Error (RMSE) and Diebold and Mariano test (DMtest). The results of Mincer-Zarnowitz regression test for selected exchange ratereturn series showed a clear lack of explanotory power and sub-optimality of theTGARCH model. The results of the Mean Absolute Error (MAE) and the Root MeanSquare Error (RMSE) for the forecasted volatility showed that symmetric modelbetter predict conditional variance of the exchange rate returns, but estimating resultsindicating that the parameters of forecasts are not satisfactory, i.e. models have littlepredictive power. Results for Diebold-Mariano test results for Diebold-Mariano testshowed that symmetric model outperforming TGRACH forecast in case of Hungarianforint and Serbian dinar sample series, and that only in case of Romania lei TGARCHoutperforming the GARCH forecast.

scholarly journals Exchange rate pass-through into consumer healthcare prices in Colombia

2019 ◽  
Vol 38 (77) ◽  
pp. 523-550
Author(s):  
Sergio I. Prada ◽  
Julio C. Alonso ◽  
Julián Fernández
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Exchange Rate Volatility ◽  
Goods And Services ◽  
Consumer Healthcare ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Heterogeneous Effect ◽  
Benefits Package

The exchange rate pass-through into the consumer price index on healthcare goods and services was measured by estimating a FAVAR model for Colombia. Results provide evidence of an incomplete and heterogeneous effect. There is no indication of transmission to the services or insurance indexes, but there is a significant effect on the medicines and devices indexes that have implications for out-of-pocket expenditure. Therefore, this indicates that the Colombian healthcare system effectively protects consumers from exchange rate volatility, but may need to design policies to protect consumers from price rises in medicines and goods that are not covered by the national benefits package.

ANALISIS PENGARUH INFLASI, KURS DAN IHSG TERHADAP RETURN REKSA DANA SAHAM PT NIKKO SECURITIES INDONESIA PERIODE 2014-2017

2019 ◽  
Vol 2 (2) ◽  
pp. 103
Author(s):  
Muhammad Rois Rois ◽  
Manarotul Fatati Fatati ◽  
Winda Ihda Magfiroh
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Linear Regression ◽  
Multiple Linear Regression ◽  
Stock Price ◽  
Price Index ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Equity Fund ◽  
Stock Price Index

This study aims to determine the effect of Inflation, Exchange Rate and Composite Stock Price Index (IHSG) to Return of PT Nikko Securities Indonesia Stock Fund period 2014-2017. The study used secondary data obtained through documentation in the form of PT Nikko Securities Indonesia Monthly Net Asset (NAB) report. Data analysis is used with quantitative analysis, multiple linear regression analysis using eviews 9. Population and sample in this research are PT Nikko Securities Indonesia. The result of multiple linear regression analysis was the coefficient of determination (R2) showed the result of 0.123819 or 12%. This means that the Inflation, Exchange Rate and Composite Stock Price Index (IHSG) variables can influence the return of PT Nikko Securities Indonesia's equity fund of 12% and 88% is influenced by other variables. Based on the result of the research, the variables of inflation and exchange rate have a negative and significant effect toward the return of PT Nikko Securities Indonesia's equity fund. While the variable of Composite Stock Price Index (IHSG) has a negative but not significant effect toward Return of Equity Fund of PT Nikko Securities Indonesia

Sign in / Sign up

Export Citation Format

Share Document