scholarly journals TÜRKİYE İLE BRICS ÜLKE DÖVİZ KURLARI ARASINDAKİ NEDENSELLİK İLİŞKİSİ - THE CASUALITY BETWEEN TURKEY AND BRICS COUNTRIES EXCHANGE RATES

2017 ◽  
pp. 44-54 ◽  
Author(s):  
Hakan ÖNER
Keyword(s):  
Exchange Rates ◽  
Brics Countries

The Effects of Macro News on Exchange Rates Volatilities: Evidence from BRICS Countries

2019 ◽  
Vol 56 (8) ◽  
pp. 1817-1842
Author(s):  
Zhitao Lin ◽  
Ruolan Ouyang ◽  
Xuan Zhang
Keyword(s):  
Exchange Rates ◽  
Brics Countries ◽  
Macro News

Behaviour of the Foreign Exchange Rates of BRICS: Is it Chaotic?

2018 ◽  
Vol 11 (2) ◽  
pp. 1-19 ◽  
Author(s):  
Sharad Nath Bhattacharya ◽  
Mousumi Bhattacharya ◽  
Basav Roychoudhury
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Rate Volatility ◽  
Deterministic Chaos ◽  
Nonlinear Dependence ◽  
Foreign Exchange Rates ◽  
Brics Countries ◽  
Long Run ◽  
Chaotic Nature

The article focuses on the behaviour of foreign exchange rates of BRICS countries in reference to US dollar with special emphasis on examining presence of nonlinear dependence and deterministic chaos. The findings did not indicate random walk behaviour in the returns for all exchange rates and performance of GARCH as well as EGARCH models are reasonably good in capturing the conditional volatility. Further evidences suggest existence of nonlinear dependence and we compute Maximal Lyapunov Exponent and Correlation Dimension test with multiple surrogate series which confirms the chaotic nature of the exchange rates for all countries under study except for South Africa. The findings support short run predictability in exchange rates while long run predictions are unlikely to be successful. The chaotic nature of the foreign exchange market calls for newer intervention mechanism by the Central Bank of the respective countries to limit the exchange rate volatility.

scholarly journals Analyzing dynamics and forecasting real effective exchange rates for BRICS countries (1994–2016)

2018 ◽  
Vol 34 (4) ◽  
pp. 568-590
Author(s):  
Viacheslav M. Shavshukov ◽  
◽  
Alexey V. Vorontsovsky ◽  
Lyudmila F. Vyunenko ◽  
◽  
...  
Keyword(s):  
Exchange Rates ◽  
Brics Countries ◽  
Effective Exchange

scholarly journals Revisiting the dynamic relationship between exchange rates and stock prices in BRICS countries: A wavelet analysis

2018 ◽  
Vol 18 (2) ◽  
pp. 101-113 ◽  
Author(s):  
Ahmed Mohamed Dahir ◽  
Fauziah Mahat ◽  
Nazrul Hisyam Ab Razak ◽  
A.N. Bany-Ariffin
Keyword(s):  
Wavelet Analysis ◽  
Exchange Rates ◽  
Stock Prices ◽  
Brics Countries ◽  
Dynamic Relationship

scholarly journals Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries

2020 ◽  
Vol 25 (50) ◽  
pp. 395-412
Author(s):  
Mourad Mroua ◽  
Lotfi Trabelsi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Generalized Method Of Moments ◽  
Stock Market Returns ◽  
Content Type ◽  
Brics Countries ◽  
Short And Long Term

Purpose This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and long-term effect of the US dollar on major stock market indices of Brazil, Russia, India, China and South-Africa (BRICS) nations. Design/methodology/approach This paper applies a new methodology combining the panel generalized method of moments model and the panel auto-regressive distributed lag (ARDL) method to investigate the existence of a causal short-/long-run relationships and dynamic dependence among all stock market returns and exchanges rates changes of BRICS countries. Findings Results show that exchange rate changes have a significant effect on the past and the current volatility of the BRICS stock indices. Besides, ARDL estimations reveal that exchange rate movements have a significant effect on short- and long-term stocks market indices of all BRICS countries Originality/value The findings have implications for policymakers and market participants who try to manage the exchange rate will have a different dose of intervention if they know that the effects of currency depreciation are different than appreciation. These results have important implications that investors should take into account in frequency-varying exchange rates and stock returns and regulators should consider developing sound policy measures to prevent financial risk.

scholarly journals Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model

2019 ◽  
Vol 12 (2) ◽  
pp. 99
Author(s):  
Yijin He ◽  
Shigeyuki Hamori
Keyword(s):  
Exchange Rates ◽  
Value At Risk ◽  
Tail Dependence ◽  
Oil Prices ◽  
Dependence Structure ◽  
Copula Models ◽  
Conditional Dependence ◽  
Brics Countries ◽  
T Copula ◽  
Student’S T

We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student’s t copulas to measure the constant dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student’s t copula. We found that negative dependence and significant tail dependence exist in all pairs considered. The Russian Ruble (RUB)–WTI pair has the strongest dependence. Moreover, we treated five exchange rate–oil pairs as portfolios and evaluated the Value at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil price falls sharply.

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.

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