scholarly journals Keterkaitan Pasar Valuta Asing dan Saham di Indonesia dengan Beberapa Negara Mitra Utama: 1998-2009

2010 ◽  
Vol 10 (2) ◽  
pp. 85-94
Author(s):  
Lana Soelistianingsih
Keyword(s):  
Hong Kong ◽  
Foreign Exchange ◽  
Capital Market ◽  
Foreign Exchange Market ◽  
Capital Inflows ◽  
Exchange Market ◽  
Portfolio Balance ◽  
Long Run ◽  
Regional Markets ◽  
Short Run

Using co-integration, the results show that the movement of Indonesian foreign exchange market and capital market has moved to long—run equilibrium with other currencies and indices from partner countries, while the short-run equilibrium between markets have been proved by using VECM. The Indonesian case supports portfolio balance approach introduced by Frankel. The increasing of IHSG attracts capital inflows and makes the demand for domesfic currency higher, and IDR becomes appreciation. Indonesian market has strong linkages with Asian regional markets especially with Hong Kong market, while having no relationship with US market.

Product, Money, and Foreign Exchange Market Disequilibria and Inflation in Uzbekistan During the Period 1994-2000

2003 ◽  
Vol 53 (4) ◽  
pp. 363-384
Author(s):  
T. Ranaweera
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Inflation Dynamics ◽  
Quarterly Data ◽  
Empirical Estimates ◽  
Market Rate ◽  
Long Run ◽  
Short Run ◽  
Import Restrictions

In this study a macroeconomic framework is developed and applied ascertaining the influence of domestic disequilibria and external shocks on inflation dynamics in Uzbekistan. Using quarterly data for the period 1994:Q1 to 2000:Q3, several long-run relationships are estimated for goods, money, and foreign exchange markets of Uzbekistan, which are characterised by multiple exchange rates, import restrictions, and other domestic administrative controls. The empirical estimates, which use error-correction mechanisms for different markets, show that domestic monetary and output developments, and changes in the official exchange rate vis-à-vis the parallel market rate have had a significant influence on the short-run behaviour of the foreign exchange market in Uzbekistan. Furthermore, disequilibria in the product and money markets are the major forces driving short-run inflation dynamics. It should be noted that the study has been constrained by both the quantity and the quality of quarterly data available on the Uzbek economy.

Optimistic and pessimistic economic sentiments and US Dollar exchange rate

2021 ◽  
Author(s):  
Sonia Kumari ◽  
Suresh Kumar Oad Rajput ◽  
Rana Yassir Hussain ◽  
Jahanzeb Marwat ◽  
Haroon Hussain
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Ordinary Least Squares ◽  
Exchange Market ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate

This study investigates the affiliation of various proxies of economic sentiments and the US Dollar exchange rate, mainly focusing on the real effective exchange rate of USD pairing with three other major currencies (USDEUR, USDGBP, and USDCAD). The study has employed Google Trends data of economy optimistic and pessimistic sentiments index and survey-based economy sentiments data on monthly basis from January 2004 to December 2018. The study engaged Ordinary Least Squares (OLS) and Auto-Regressive Distributed Lag (ARDL) estimation techniques to evaluate the short-run and long-run effects of economy-related sentiments and macroeconomic variables on the exchange rate. The results from the study found that Economy Optimistic Sentiments Index (EOSI) and Economy Pessimistic Sentiments Index (EPSI) appreciate and depreciate the US Dollar exchange rate in the short-run, respectively. Our sentiment measures are robust to survey-based Michigan Consumer Sentiment Index (MSCI), Consumer Confidence Index (CCI), and various macroeconomic factors. The MSCI and CCI sentiments show a long-term impact on the foreign exchange market. This study implies that economic sentiments play a vital role in the foreign exchange market and it is essential to consider behavioral aspects when modeling the exchange rate movements.

scholarly journals Cointegration and Causality Relationship Between Stock Market, Money Market and Foreign Exchange Market in Pakistan

2017 ◽  
Vol 5 (1) ◽  
pp. 1-20
Author(s):  
Ghulam Abbas ◽  
Roni Bhowmik ◽  
Laxmi Koju ◽  
Shouyang Wang
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Money Market ◽  
Exchange Market ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Causality Relationship ◽  
Long Run Equilibrium

AbstractThis paper examines the relationship between stock market (KSE-100), money market (M2 and 180 days T-bill rate), and foreign exchange market (ER: PKR/USD) in Pakistan by using monthly data covering the period from 2000:M1 to 2015:M12. The study investigates long-run equilibrium relationship between these three financial markets by employing Johansen and Juselius[1] cointegration tests. Long-run and short-run causality relationship between stock market and other macroeconomic variables is also established by employing vector error correction model (VECM) and pairwise granger causality tests. The results of multivariate cointegration test (trace test) indicate a one cointegrating vector, and the significant normalized cointegrating coefficients are evident of long run equilibrium relationship between all the selected variables. Negative and significant ECT (− 1) for all variables during full sample period witness the presence of long-run causality connection among variables, while during the military regime and democratic regime, significant difference of long-run causal connections are identified across the regimes. Moreover, the results of granger causality test also indicate that there are significant variations in the causality relationship among variables across the regimes. Therefore, it is essential for forecasting, planning and policy making to consider the importance of political governance system while analyzing the historical cointegration among financial market and make the necessary adjustments accordingly.

scholarly journals Triangular Causality and Controlling Parallel Exchange Market

2019 ◽  
Vol 3 (1) ◽  
pp. 20-32
Author(s):  
Bijan Bidabad
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Price Level ◽  
Balance Of Payments ◽  
Market Liquidity ◽  
Exchange Market ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
The Relationship

In this paper, the triangular relationship of money, price, and foreign exchange in a causality context are studied. It is concluded that regulating the exchange rate by volume of liquidity in a period of less than a year is not possible, but in annual and biannual analyses we can regulate the exchange rate through controlling the liquidity. In other words, in the long run, the exchange rate is affected by liquidity and price level, but in the short run, the price level has only temporary effects on the exchange rate. The results of the study show that: liquidity affects the exchange rate in the long run; price affects the liquidity in the long run; in the long run, liquidity and exchange rate affect prices.  Our results show that injection of foreign exchange into the parallel exchange market with different lags has little effects with different directions on the exchange rate. The same result is true for the relationship between liquidity and dollar rate. In other words, in spite of the long run relationship between exchange rate and liquidity, we cannot justify this relationship in the short run. The same is true with the balance of payments position and exchange rate in the short run. By simulating the relationship between injecting (selling) foreign exchange in the parallel exchange market, liquidity and the cumulative balance of payments all with exchange rate, we can conclude that in the short run, regulating exchange rate by instruments such as selling exchange in the parallel market or controlling the liquidity is not possible, but in the long run, conducting foreign exchange sale policy and controlling the liquidity and the balance of payments position can control the exchange market.

scholarly journals Foreign exchange market interventions and the $–¥ exchange rate in the long run

2015 ◽  
Vol 47 (38) ◽  
pp. 4037-4055
Author(s):  
Joscha Beckmann ◽  
Ansgar Belke ◽  
Michael Kühl
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Long Run ◽  
The Exchange Rate

Modeling Volatility of Exchange Rates Returns in the Nigerian Foreign Exchange Market in the Presence of Non-Gaussian Errors

2019 ◽  
Vol 1 ◽  
pp. 246-258
Author(s):  
D A Kuhe ◽  
J T Aarga ◽  
I T Ayigege
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Good News ◽  
Foreign Exchange Rates ◽  
Exchange Market ◽  
Volatility Clustering ◽  
Long Run ◽  
Modeling Volatility ◽  
Non Gaussian

This study investigates volatility behaviour of exchange rates returns of Naira against CFA, Euro, Great British Pounds, US Dollar, West African Unit of Account (WAUA) and Japanese Yen in Nigeria using historical volatility approach as well as symmetric and asymmetric Autoregressive Conditional Heteroskedasticity (GARCH) models in the presence of non-Gaussian errors. The study utilizes daily quotations of these exchange rates from 12/11/2001 to 04/13/2018 making a total of 4008 observations each. Historical (annualized) volatility approach as well as symmetric GARCH (1,1) and asymmetric EGARCH (1,1) models were used to model the exchange rates return series. Results showed that CFA and USD have the highest and least annualized volatilities (market risk) respectively among the six exchange rates returns as measured by historical approach. The symmetric GARCH (1,1) model showed volatility clustering with evidence of shock persistence in the six exchange rates return series. The asymmetric EGARCH (1,1) model found evidence of asymmetry and leverage effects in the Nigerian foreign exchange market indicating that negative shocks (bad news) generate more volatility than positive shocks (good news) of similar magnitudes. All the estimated models were found to be stationary and mean reverting indicating the predictability and stability of the conditional variances of the foreign exchange rates returns. This result suggests that no matter how high or low the foreign exchange rates shall move in the exchange market, they shall eventually return to their long-run averages. Stationary and mean reverting stocks provide good and long term investment opportunities for investors.

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