scholarly journals ASSET PRICE SHOCK RESPONSE TO SHOCK CAPITAL FLOW, EXCHANGE RATE AND INTEREST RATE: CASE STUDY OF 16 EMERGING MARKET COUNTRIES

2017 ◽  
Vol 1 (2) ◽  
pp. 14
Author(s):  
Rachman Guswardi
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Capital Inflows ◽  
Emerging Market Countries ◽  
The Exchange Rate ◽  
Positive Shock

Capital flows to developing countries and emerging markets in the world is constantly increasing. However, the crisis that occurred in 2008 and 2011 caused concern for investors. A series of policies have been carried out in several emerging market countries to take steps prudence in controlling capital flows. This study aimed to analyze the response of asset prices to the shock caused by capital inflows, interest rates and exchange rates and analyzes the contribution of shock in capital inflows, interest rates and exchange rates on asset prices in 16 emerging market countries (India, Brazil, Russia, Indonesia, Republic of South Africa, Mexico, Thailand, South Korea, Colombia, Philippines, Egypt, Hong Kong, Peru, Czech, Bangladesh, Hungary) in the year 2001-2015. The method used is quantitative method using Panel Vector Auto Regression models. The results of this study show that the first shock of positive capital inflows will affect asset prices, both that a positive shock on interest rates will affect asset prices, the third that the positive shock of the exchange rate would affect asset prices. The variables that have the biggest contribution in influencing asset prices is the exchange rate which further interest rates and the smallest is the capital inflows.

The Exchange Rate, Interest Rates and the Current Balance ln a Forward-Looking Model

1988 ◽  
Vol 125 ◽  
pp. 40-45 ◽  
Author(s):  
Andrew Gurney
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Balance Of Payments ◽  
Capital Inflows ◽  
The Other ◽  
Other Hand ◽  
The Exchange Rate ◽  
Temporary Rise ◽  
Forward Looking

In March this year, after a year in which policy appeared to be aimed at achieving stability against EMS currencies, the pound was allowed to rise sharply in response to large capital inflows. As with many fluctuations in exchange rates, this development was puzzling in that the prospects for the balance of payments suggested that the rise in sterling would not prove sustainable. On the other hand, high UK interest rates, particularly in relation to those available in EMS countries, provided some rationale for a temporary rise. This note uses a simple forward-looking equation for the exchange rate to illustrate the implications of alternative paths for interest rates and the balance of payments. A number of simulations are presented to illustrate the key elements of this approach.

scholarly journals Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
David Y. Aharon ◽  
Zaghum Umar ◽  
Xuan Vinh Vo
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Dynamic Analysis ◽  
Interest Rates ◽  
Static Analysis ◽  
Term Structure ◽  
Yield Curve ◽  
Empirical Support ◽  
Safe Haven ◽  
The Exchange Rate

AbstractThis study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility. The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks. Meanwhile, the curvature of the yield curve and the Japanese Yen, Swiss Franc, and British Pound act mainly as net receivers. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level, slope, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits. However, similar to the static analysis, our dynamic analysis shows that during different periods and particularly in stressful times, Bitcoin is far from being isolated from other currencies or the yield curve components. The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress. Evidence supporting this contention is the substantially increased connectedness due to policy shocks, political uncertainty, and systemic crisis, implying no empirical support for Bitcoin’s safe-haven property during stress times. The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times, Bitcoin has the property of a diversifier. The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

scholarly journals The Effect of Inflation, Exchange Rate, BI Rate and Dow Jones Index to Indonesia Composite Index in Indonesia Stock Exchange on the Year 2013-2018

2021 ◽  
Vol 3 (3) ◽  
pp. 50-60
Author(s):  
Hasanudin
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Structural Equation ◽  
Work Motivation ◽  
Stock Exchange ◽  
Composite Index ◽  
Equation Modeling ◽  
Jones Index ◽  
The Exchange Rate

The purpose of this study is to demonstrate the influence of inflation, currency exchange rates, SBI interest rates, and the Dow Jones index on the Jakarta Composite Index on the Indonesian Stock Exchange from 2013 to 2018. Methods of quantitative research utilizing Structural Equation Modeling (SEM) analytic techniques in conjunction with the use of SmartPLS 3. The findings of this study indicate that inflation has a substantial negative influence on the CSPI. This indicates that as inflation increases, the JCI decreases. The exchange rate has a substantial negative effect on the JCI. This demonstrates that the exchange rate variable has a direct effect on the direction of the high exchange rate, lowering the JCI in the process. The SBI interest rate has no effect on the JCI and is rather detrimental to it. This indicates that when the number of SBI interest rates increases, the CSPI remains same. The Dow Jones index has a sizable positive correlation with the CSPI. This indicates that the Dow Jones index's rise has an effect on the JCI. By a factor of 0.982, the Dow Jones Index has the greatest effect on work motivation, followed by inflation, exchange rates, and SBI interest rates on the IHSG on the 2013-2018 Stock Exchange.

scholarly journals The Effect of Inflation, Interest Rates and World Oil Prices on Gold Prices in Indonesia with the US Dollar Exchange Rate as an Intermediary Variable

2021 ◽  
Vol 2 (1) ◽  
Author(s):  
Ummi Kalsum ◽  
Randy Hidayat ◽  
Sheila Oktaviani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Oil Prices ◽  
Series Data ◽  
Path Coefficient ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate

This study aims to determine the effect of inflation, interest rates, and world oil prices on fluctuations in gold prices in Indonesia with the US Dollar exchange rate as an intermediary variable. This research is a type of explanatory research with a quantitative approach. The data used are monthly time series data for 2014 - 2019 with a sample of 72 samples. Hypothesis testing in this study uses path analysis, is a development technique of multiple linear regression. This technique is used to test the amount of contribution shown by the path coefficient on each path diagram of the causal relationship between cariables X1, X2, and X3 on and its impact on Z. The results of this study indicate that the effect of inflation, interest rates and worl oil prices on exchange rates individually has very little effect. The effect of inflation, interest rates, world oil prices and the exchange rate on gold prices individually shows a negative value for inflation and interest rates means that the effect is small, while for the world oil price and the dollar exchange rates shows a positive value which means that it has a large effect on the price of gold. The effect of inflation, interest rates and world oil prices on gold prices through the exchange rate, all variable show a negative value, this indicates that the effect is very small.

scholarly journals The Dynamics of the Exchange Rate and Extension of Monetary Trilemma

2020 ◽  
Vol 5 (1) ◽  
pp. 27-49
Author(s):  
Mahmoud Allahyarifard ◽  
Mostafa Karimzadeh ◽  
Mohammad Ali Falahi ◽  
Ali Akbar Naji Meidani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Banking System ◽  
Government Expenditures ◽  
General Level ◽  
External Imbalances ◽  
The Exchange Rate ◽  
The Government ◽  
Foreign Assets

Simultaneous making policy of interest rates, exchange rates and capital accounts can be extended to trilemma theory, contrary to its earlier theories, provided that the imbalances of the private sector, the government and the capital account adjusted through the policy variables such as the government expenditures, the interest rates on domestic deposits, the interest rates on domestic loans, effective exchange rates, foreign prices and foreign interest rates. On the other hand, the components of the extension of trilemma theory in the form of internal and external imbalances affect the exchange rate. In other words, if the real sector markets of the economy are not cleared through the aforementioned trilemma components, and policy variables, internal and external imbalances will be affected by opposite direction of net domestic assets (ΔNDA) and net foreign assets (ΔNFA) of the banking system. This is in accordance with the fundamental principles of the monetary approach balance of payments and exchange rate. Policy variables do not put pressure on the unofficial exchange rate as long as they have the same effect on the net changes in the domestic and foreign assets of the banking system. The purpose of this study is to consider the effect of internal and external imbalances on exchange rate through the simultaneous equations system, generating impulses in policy variables, and examining reactions in Iranian economy. In this paper, the monetary exchange rate determination model is analyzed and examined by using the extension of trilemma theory for macroeconomic data of Iran in the form of internal and external imbalances. The results of this study suggest that policy variables can stabilize the unofficial exchange rate (with other conditions being constant) through trading off internal and external imbalances. Thus, the economic policymaker can, while independently policing interest rates, capital accounts and government expenditures and other policy variables in this research, maintain exchange rate stability as a strategic variable and anchor the general level of prices.

scholarly journals Analisis Pengaruh Suku Bunga dan Nilai Kurs Terhadap Tingkat Inflasi di Indonesia

2018 ◽  
Vol 3 (2) ◽  
pp. 202-209
Author(s):  
Muslihul Umam ◽  
Isabela Isabela
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Error Correction ◽  
Inflation Rate ◽  
Error Correction Model ◽  
Rate Of Change ◽  
Correction Model ◽  
Us Dollar ◽  
The Exchange Rate

Abstrak Inflasi merupakan salah satu indikator perekonomian yang penting, laju perubahannya selalu diupayakan rendah dan stabil. Inflasi yang tinggi dan tidak stabil merupakan cerminan akan kecenderungan naiknya tingkat harga barang dan jasa secara umum dan terus menerus sehingga akan melemahkan daya beli masyrakat yang nantinya akan berdampak pada penurunan pendapatan nasional. Oleh karena itu diharapkan adanya pengendalian laju inflasi yang akhir-akhir ini menunjukkan grafik yang meningkat. Penelitian ini membahas tentang “Analisis Pengaruh Suku bunga dan Nilai Kurs Terhadap Tingkat Inflasi Di Indonesia Periode 1985-2014”, bertujuan untuk mengetahui pengaruh suku bunga, dan nilai kurs terhadap tingkat inflasi di Indonesia dengan menggunakan error correction model (ECM). Hasil penelitian ini menunjukkan bahwa suku bunga berpengaruh positif dan signifikan terhadap tingkat inflasi di Indonesia, nilai kurs RP/US Dollar berpengaruh positif dan signifikan terhadap tingkat inflasi di Indonesia.   Keywords: tingkat inflasi, suku bunga, dan nilai kurs.   Abstract Inflation is one of the important economic indicators, the rate of change is always besought low and stable. High and unstable inflation is a reflection of the tendency to increase the level of prices of goods and services in general and continuously so that it will weaken the purchasing power of the people which will reduce national incomelater. Therefore, it is expected to control the inflation rate, which lately shows an increasing graph. This study discusses "The analysis of the Influence of Interest Rates and Exchange Rates to the Inflation Rate in Indonesia for the Period 1985-2014", aims to determine the effect of interest rates, and the exchange rate on the inflation rate in Indonesia using the error correction model (ECM). The results of this study indicate that interest rates have a positive and significant effect on the inflation rate in Indonesia, the exchange rate of Rupiah / US dollar has a positive and significant effect on the inflation rate in Indonesia.   Keywords: Inflation Rate, Interest Rates, and Exchange Rates.

scholarly journals Long Memory in Exchange Rate Volatility

2021 ◽  
Author(s):  
Aysu Yaşar ◽  
Kenan Terzioğlu
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Long Memory ◽  
Asset Prices ◽  
Market Price ◽  
Exchange Rate Volatility ◽  
Financial Asset ◽  
Model Structure ◽  
Continuous Stream ◽  
The Exchange Rate

Considering rapidly evolving technology and effective markets, wherein information and news are quickly and effectively reflected in financial asset prices, the positions of investors trading in financial markets regarding financial asset prices vary according to the continuous stream of information coming to the market. However, markets are not fully efficient in terms of maintaining a long memory that enables future pricing estimates based on the past market price of the financial asset. Revealing the existence of a long memory structure is essential to the development of monetary policies since exchange rates that tend to return to average exert high resistance. In this study, the exchange rate’s long-range dependence is determined in the scope of the log-periodogram estimator and using a fractional model structure, the average model, and the variance model structure related to the exchange rate between February 22, 2001–March 16, 2020 are examined. In this context, the parameters in the model allow an examination of the long memory process. According to the fractionally integrated exponential generalized autoregressive conditional heteroskedasticity model, it is determined that the effects of shocks in the exchange rate market continue and persist for a long period. Policy suggestions within the scope of exchange rates are evaluated within model outputs.

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