scholarly journals The Effects Of Asymmetric Transmission Of Exchange Rate On Inflation In Iran: Application Of Threshold Models

2015 ◽  
Vol 10 (2) ◽  
pp. 99-113
Author(s):  
Yazdan Naghdi ◽  
Soheila Kaghazian
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Public Procurement ◽  
Consumer Price Index ◽  
Series Data ◽  
Asymmetric Transmission ◽  
Exchange Rate Fluctuation ◽  
Rate Fluctuation ◽  
Non Linear ◽  
The One

Abstract Given the recent fluctuation in the exchange rate and the presence of several factors such as the various economy-political sanctions (mainly embargos on oil and banking), extreme volatility in different economic fields, and consequently the devaluation of national and public procurement -A landmark that is emanating from exchange rate fluctuation - two points should be noted: First, it is essential to review the effect of exchange rate fluctuation on macro economic variables such as inflation and to provide appropriate policies. Second, the existence of this condition provides the chance to study the relation between exchange rate and inflation in a non-linear and asymmetric method. Hence, the present study seeks to use TAR model and, on the basis of monthly time series data over the period March 2002 to March 2014, to analyze the cross-asymmetric and non-linear exchange rate on consumer price index (CPI) in Iran. The results also show the presence of an asymmetric long-term relationship between these variables (exchange rate and CPI). Also, in the Iranian economy, the effect of negative shocks of exchange rate on inflation is more sustainable than the one from positive shocks.

scholarly journals Exchange Rate Pass Through in a Small Open Economy: A case study of West African Monetary Zone

2013 ◽  
Vol 9 (4) ◽  
pp. 275-290
Author(s):  
Rahman olanrewaju Raji
Keyword(s):  
Exchange Rate ◽  
Open Economy ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Import Price ◽  
Series Data ◽  
Import Prices ◽  
Pass Through ◽  
Exchange Rate Pass Through

The  study investigated the magnitude of exchange rate pass through to import prices and domestic prices    (consumer price index) in WAMZ economy using quarterly time-series data between 2000 and 2010 with the aids of Vector autoregressive (VAR) modeling technique supported with Johansen co-integration approach cross country analysis comprising of Gambia, Ghana, Nigeria and Sierra-Leone. The study discovered that transmission of exchange rate to import prices is more when compared with consumer price in the zone while the contributions of exchange rate to import price are not less 13 percent at average in entire zone. Consumer price index was explained by exchange rate pass through with an average of 26 percent in the zone where the pass through to consumer price is less than two percent in Ghanaian economy. The Taylor (2000) hypothesis was observed in the study where Ghana and Nigeria are the outlier economies while Nigeria established a positive relationship between interest rate volatility and exchange rate pass through to import prices.

scholarly journals Analysis of Effect Macro Variable on International Trade of Indonesia

2016 ◽  
Vol 6 (2) ◽  
pp. 228
Author(s):  
Evania Rahma Octavia ◽  
Dwi Wulandari
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Series Data ◽  
The Exchange Rate ◽  
Macro Variables

This study aims to determine the effect of macro variables which include Indonesia's real gross domestic income, money supply, consumer price index and interest rates on international trade mediated by the exchange rate of rupiah against the dollar. This type of research is descriptive research with quantitative approach. Determination of the sample based on quarterly time series data 2010-2014. This study uses path analysis. The results showed domestic gross product, the money supply, and interest rates together  have a significant effect on the exchange rate but the consumer price index do not have significant effect on the exchange rate. The results also show that the exchange rate has no significant effect on imports and exports. 

scholarly journals PENGARUH JUMLAH UANG BEREDAR, KURS US DOLLAR DAN INDEKS HARGA KONSUMEN TERHADAP INDEKS HARGA SAHAM SEKTOR PERDAGANGAN DI BURSA EFEK INDONESIA

Media Ekonomi ◽  
2019 ◽  
Vol 25 (2) ◽  
pp. 93
Author(s):  
Nurlia Rahmatika
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Sampling Technique ◽  
Series Data ◽  
Independent Variable ◽  
Stock Price Index

<em>This study aims to determine the analysis of the influence of the Money Supply (M2), the USD Exchange Rate and the Consumer Price Index.</em> <em>The research methodology used is a quantitative method with time series data and data sources derived from secondary data obtained from the Indonesia Stock Exchange. The sampling technique uses purposive sampling method with monthly data and research period from January 2009 to December 2016. The data analysis technique used is multiple linear regressions.</em> <em>The results of this study indicate that partially the independent variable Amount of Money has a positive and significant effect on the Trading Sector Stock Price Index. While the independent variable USD Exchange Rate and Consumer Price Index has a negative and significant effect on the Trading Sector Stock Price Index. Meanwhile, simultaneously the independent variable consisting of Money Supply, the USD Exchange Rate and the Consumer Price Index together have a significant relationship to the dependent variable, namely the Trade Sector Stock Price Index. </em>

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.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

2019 ◽  
Vol 23 (4) ◽  
pp. 442-453 ◽  
Author(s):  
Saidia Jeelani ◽  
Joity Tomar ◽  
Tapas Das ◽  
Seshanwita Das
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Time Series Data ◽  
Structural Break ◽  
Series Data ◽  
Ripple Effect ◽  
Macroeconomic Factors ◽  
Parameter Instability ◽  
Macroeconomic Variables ◽  
The Relationship

The article aims to study the relationship between those macroeconomic factors that the affect (INR/USD) exchange rate (ER). Time series data of 40 years on ER, GDP, inflation, interest rate (IR), FDI, money supply, trade balance (TB) and terms of trade (ToT) have been collected from the RBI website. The considered model has suggested that only inflation, TB and ToT have influenced the ER significantly during the study period. Other macroeconomic variables such as GDP, FDI and IR have not significantly influenced the ER during the study period. The model is robust and does not suffer from residual heteroscedasticity, autocorrelation and non-normality. Sometimes the relationship between ER and macroeconomic variables gets affected by major economic events. For example, the Southeast Asian crisis caused by currency depreciation in 1997 and sub-prime loan crisis of 2008 severely strained the national economies. Any global economic turmoil will affect different economic variables through ripple effect and this, in turn, will affect the ER of different economies differently. The article has also diagnosed whether there is any structural break or not in the model by applying Chow’s Breakpoint Test and have obtained multiple breaks between 2003 and 2009. The existence of structural breaks during 2003–2009 is explained by the fact that volume of crude oil imported by India is high and oil price rise led to a deficit in the TB alarmingly, which caused a structural break or parameter instability.

CAUSAL RELATIONSHIP OF ENERGY CONSUMPTION AND ECONOMIC GROWTH – A CASE STUDY OF PAKISTAN

2021 ◽  
Vol 9 (1) ◽  
pp. 139-164
Author(s):  
Saddam Hussain ◽  
Chunjiao Yu
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Energy Consumption ◽  
Causal Relationship ◽  
Inflation Rate ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Series Data ◽  
Relationship Of

This paper explores the causal relationship between energy consumption and economic growth in Pakistan, applying techniques of co-integration and Hsiao’s version of Granger causality, using time series data over the period 1965-2019. Time series data of macroeconomic determi-nants – i.e. energy growth, Foreign Direct Investment (FDI) growth and population growth shows a positive correlation with economic growth while there is no correlation founded be-tween economic growth and inflation rate or Consumer Price Index (CPI). The general conclu-sion of empirical results is that economic growth causes energy consumption.

Oil and Methanol Price volatility

2013 ◽  
Vol 03 (08) ◽  
pp. 01-10
Author(s):  
Majid Delavari ◽  
Nadiya Gandali Ali khani ◽  
Esmaeil Naderi
Keyword(s):  
Crude Oil ◽  
Time Series Data ◽  
Price Volatility ◽  
High Sensitivity ◽  
Oil Price ◽  
Series Data ◽  
Cultural Issues ◽  
Crude Oil Price ◽  
Oil Export ◽  
The One

Crude oil as one of the main sources of energy is also the main source of income for members of OPEC. So, the volatility of crude oil price is one of the main economic variables in the world and analysis of the effect of its changes on key economic factors has been always considered as significant. The reason might be the high sensitivity of oil price to political, economic and cultural issues worldwide and consequently its volatility on the one hand, and the high influence of the volatile prices on macroeconomic variables. On the other hand, for different reasons such as oil price volatilities and income from oil export, economic planners and policy makers in Iran have been mainly focused on the promotion of non-oil exports especially during the last few decades. Therefore, methanol as one of the most commonly used petrochemical products has a high potential for production and export of non-oil products in Iran. For this reason, in the present study there was an attempt to examine the relationship between the prices of Iran’s crude oil and methanol using FIGARCH model and based on the weekly time series data related to the research variables. The results of the study showed that the long memory parameter is equal to 0.32 which is meaning the shocks caused by volatility of methanol market and crude oil price to the methanol price were lasting and meaningful and were revealed in the long term.

Sign in / Sign up

Export Citation Format

Share Document