scholarly journals Modeling the Rwanda Exchange Rates by GARCH Models

2021 ◽  
Vol 8 (1) ◽  
pp. 1127-1145
Author(s):  
Edmond Kazungu Mudahogora ◽  
Denis Ndanguza
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Visual Inspection ◽  
Least Squares Method ◽  
Real Data ◽  
Model Solution ◽  
Mcmc Methods ◽  
Garch Models ◽  
Mcmc Method ◽  
National Bank

Volatility modeling and forecasts are essential tools to all financial sectors. This paper focuses on weekly exchange rate returns of the FRW versus USD from 2012 until 2018 obtained from the National Bank of Rwanda. The aim of this paper is to formulate an appropriate GARCH model which fits the data. The GARCH(1,1) model has been selected after using required techniques of model selection.Parameters have been estimated using Least Squares method first and then validated using MCMC method. Once the chain of parameters are found, both visual inspection and basic statistics are computed and in this study, they have illustrated a good compatibility between simulation and observations. Diagnostic of convergence of the chains of parameters has been checked and ensured the model to beaccurate. The results obtained from the LSQ and MCMC methods have been compared and found to be almost similar. An agreement between the model solution and actual data is obtained and a forecast is done by concluding that the estimated values are almost similar to the real data. Hence, the identified model is accepted for forecasting and recommended for further applications.

scholarly journals Modeling the Rwanda Exchange Rates by GARCH Models

2021 ◽  
Vol 8 (1) ◽  
pp. 1525-1544
Author(s):  
Edmond Kazungu Mudahogora ◽  
Denis Ndanguza
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Visual Inspection ◽  
Least Squares Method ◽  
Real Data ◽  
Model Solution ◽  
Mcmc Methods ◽  
Garch Models ◽  
Mcmc Method ◽  
National Bank

Volatility modeling and forecasts are essential tools to all financial sectors. This paper focuses on weekly exchange rate returns of the FRW versus USD from 2012 until 2018 obtained from the National Bank of Rwanda. The aim of this paper is to formulate an appropriate GARCH model which fits the data. The GARCH(1,1) model has been selected after using required techniques of model selection.Parameters have been estimated using Least Squares method first and then validated using MCMC method. Once the chain of parameters are found, both visual inspection and basic statistics are computed and in this study, they have illustrated a good compatibility between simulation and observations. Diagnostic of convergence of the chains of parameters has been checked and ensured the model to beaccurate. The results obtained from the LSQ and MCMC methods have been compared and found to be almost similar. An agreement between the model solution and actual data is obtained and a forecast is done by concluding that the estimated values are almost similar to the real data. Hence, the identified model is accepted for forecasting and recommended for further applications.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 31-44
Author(s):  
Nenubari Ikue John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

Factors of the Russian ruble exchange rate dynamics in the 2000s and 2010s

2020 ◽  
pp. 5-22
Author(s):  
A. V. Bozhechkova ◽  
S. G. Sinelnikov-Murylev ◽  
P. V. Trunin
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Least Squares Method ◽  
Terms Of Trade ◽  
Key Factors ◽  
The Real ◽  
Exchange Rate Dynamics ◽  
Theoretical Approaches ◽  
The Exchange Rate

The article discusses the key factors of the ruble exchange rate dynamics, analyzes the features of Russian currency market in the context of inflation targeting and the application of the budget rule. The basic theoretical approaches to modeling the dynamics of real and nominal exchange rates are presented, including behavioral models of the exchange rate, the monetary model of the exchange rate, and the hypothesis of uncovered interest parity. The most important factors of long-term and short-term dynamics of the exchange rate are revealed. The results of an econometric evaluation of the models of the real and nominal ruble exchange rates using dynamic least squares method (DOLS) are presented. It is shown that the key factors shaping the dynamics of the nominal ruble exchange rate are the terms of trade, the interest rate spread, the VIX volatility index, and the operations of the Russian Ministry of Finance under the budget rule. The long-term trajectory of the real exchange rate is formed by the terms of trade conditions, the Balassa—Samuelson effect, the dynamics of net foreign assets of the private sector.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates

2019 ◽  
Vol 1 (2) ◽  
pp. 01-14
Author(s):  
Nenubari Ikue-John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long term response of exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

scholarly journals Were the Czech Hotels Able to Confront Current Appreciation of the Czech Currency Before the End of the Exchange Rate Commitment?

2017 ◽  
Vol 65 (6) ◽  
pp. 1925-1933 ◽  
Author(s):  
Tomáš Heryán
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Open Economy ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Small Open Economy ◽  
Estimation Method ◽  
National Bank ◽  
The Exchange Rate

This paper has focused on the issue of foreign exchange markets in relation to tourism and hotel industry in the small open economy such as the Czech Republic. After more than three years when the Czech National Bank (CNB) intervened on the foreign exchange market, everybody look forward to development of exchange rates after the end of the exchange rate commitment. The aim of this study is to show how Czech hotels were been able to confront current appreciation of the Czech koruna before the CNB had ended the exchange rate commitment. According to this aim it was necessary to investigate relations between exchange rates and turnover of Czech hotels as the first. Therefore, it has been obtained time series of the hotels’ profit and loss statements from Bureau van Dijk’s Amadeus international statistical database as well as exchange rates from the CNB online database. Other data is from the Eurostat and the World Bank online statistical database. As the main estimation method it is used the GMM approach with panel data for period from 2007 till 2014. After the estimation of those statistical significant relations it is essential to describe the ways, how were the hotels been able to face the exchange rate risk before the end of the commitment. Furthermore, it has been differentiated between natural hedging for smaller hotels and the usage of the financial derivatives for these bigger. Three types of hedging are described: (i) natural hedging, (ii) usage of a currency forward, and (iii) taking a loan in foreign currency.

scholarly journals A Bayesian Estimation and Predictionof Gompertz Extension Distribution Using the MCMC Method

2020 ◽  
Vol 19 (1) ◽  
pp. 142-160
Author(s):  
Arun Kumar Chaudhary ◽  
Vijay Kumar
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Real Data ◽  
Simulation Method ◽  
Mcmc Methods ◽  
Mcmc Method ◽  
Data Set ◽  
Bayes Estimates ◽  
Check Method

 In this paper, the Markov chain Monte Carlo (MCMC) method is used to estimate the parameters of the Gompertz extension distribution based on a complete sample. We have developed a procedure to obtain Bayes estimates of the parameters of the Gompertz extension distribution using Markov Chain Monte Carlo (MCMC) simulation method in OpenBUGS, established software for Bayesian analysis using Markov Chain Monte Carlo (MCMC) methods. We have obtained the Bayes estimates of the parameters, hazard and reliability functions, and their probability intervals are also presented. We have applied the predictive check method to discuss the issue of model compatibility. A real data set is considered for illustration under uniform and gamma priors.  

scholarly journals Bitcoin as a New Currency

2020 ◽  
Vol 20 (2) ◽  
pp. 49-65
Author(s):  
Janusz Brzeszczyński ◽  
Jerzy Gajdka ◽  
Tomasz Schabek
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Standard Deviation ◽  
Financial Crisis ◽  
Exchange Rates ◽  
Financial Market ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
National Bank

Abstract Research background: Bitcoin is the most popular financial instrument within the new cryptocurrencies class, which emerged in the wake of the financial crisis of 2007/2008. Purpose: The purpose of this paper is to provide an analysis of Bitcoin from the perspective of the Polish market investor. More specifically, the aim of the empirical research presented in this study has been twofold: (1) comparison of Bitcoin with other currencies using returns and risk captured by the standard deviation of returns and (2) assessment of the sensitivity of the BTC/PLN exchange rate to the NBP’s monetary policy announcements. Results: Bitcoin appears to be weakly related to other currency exchange rates against the Polish zloty and the monetary policy announcements of the National Bank of Poland (NBP) have, effectively, no influence on the determination of the BTC/PLN exchange rate. Novelty: We discuss extensively the Bitcoin as a new asset on the financial market and we present the investigation of the BTC/PLN reactions to the monetary policy announcements in Poland, which is a novel analysis for this instrument using the Polish market data.

Fear of Free Floating or Forced Exchange Rate Fixing

2004 ◽  
pp. 112-122
Author(s):  
O. Osipova
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Exchange Rates ◽  
Inflation Targeting ◽  
Exchange Rate Policy ◽  
Float Exchange Rate ◽  
Floating Exchange Rate ◽  
Rate Policy ◽  
Exchange Rate Arrangements ◽  
Pass Through

After the financial crisis at the end of the 1990 s many countries rejected fixed exchange rate policy. However actually they failed to proceed to announced "independent float" exchange rate arrangement. This might be due to the "fear of floating" or an irreversible result of inflation targeting central bank policy. In the article advantages and drawbacks of fixed and floating exchange rate arrangements are systematized. Features of new returning to exchange rates stabilization and possible risks of such policy for Russia are considered. Special attention is paid to the issue of choice of a "target" currency composite which can minimize external inflation pass-through.

ANALISIS EKSPOSUR EKONOMI DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYA PADA PERUSAHAAN ROKOK YANG TERCATAT DI BEI

Wahana ◽  
2019 ◽  
Vol 21 (2) ◽  
pp. 98-109
Author(s):  
Ida Musdafia Ibrahim ◽  
Arif Haryono
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Cash Flow ◽  
Firm Value ◽  
Tobacco Industry ◽  
Cash Flows ◽  
Least Square ◽  
Exchange Rate Risk ◽  
Positive Effects ◽  
Rate Risk

This study aims to analyze economic exposures and its factors namely exchange rates and inflation, that influence firm value as reflected through firm cash flow. Analytical method used Ordinary Least Square and eviews as analytical tool. This study used secondary data and cigarette industry companies listed on the Indonesia Stock Exchange as samples along 2008 to 2017. Samples choosing method used purposive sampling based on determined criterias. The results showed that partially economic exposure had positive effects on firm value but insignificant. These could be seen from the economic exposure factors influncenced namely exchange rates and inflations.The exchange rate risk has low influenced cash flow was caused of the tobacco industry has low level of export/import.Enhance,inflation also had low effect on cash flow was caused of the tendency of cigarette consumers will continue to buy cigarettes even though its price increases. In short, economic exposure in the tobacco industry has low influence toward firms value. Hence, simultaneously changes in exchange rates and inflation which are economic exposure indicators have a significant effect on cash flows.  Keywords: Economic Exposure, Exchange Rate Risk, Inflation Risk, Firms Value, Cash Flow

Exchange Rates as Exchange Rate Common Factors

2012 ◽  
Author(s):  
Ryan Greenaway ◽  
Nelson C. Mark ◽  
Donggyu Sul ◽  
Jyh-Lin Wu
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Common Factors
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