The Euro-Dollar Exchange Rate: A Long Term Perspective

2000 ◽  
Author(s):  
Jerome Teiletche
Keyword(s):  
Exchange Rate ◽  
Dollar Exchange Rate

scholarly journals Empirical Analysis of “Volatilitysurprise” between Dollar Exchange Rate and CRB Commodity Future Markets

2016 ◽  
Vol 8 (9) ◽  
pp. 117
Author(s):  
Ching-Chun Wei
Keyword(s):  
Exchange Rate ◽  
Multivariate Garch ◽  
Garch Models ◽  
Suitable Model ◽  
Dollar Exchange Rate ◽  
Short And Long Term ◽  
Multivariate Garch Models ◽  
Commodity Future ◽  
Equity Index

This paper used the five multivariate GARCH models (including BEKK, CCC, DCC, VARMA-CCC and VARMA-DCC) to analyze the mean and volatility interaction of volatility surprise between US dollar exchange and CRB future index (including agricultural, energy, commodity and precious metal equity index). The empirical findings exhibit that significant own short and long-term persistence effects and the cross-markets volatility surprise spillover short and long-term persistence effects between dollar exchange rate and CRB commodity future equity index markets in five multivariate GARCH models. Besides that, the residual diagnostic test indicated that VARMA-DCC models is the best suitable model to modeling the dollar exchange rate with CRB commodity equity index.

Testing for long-term memory in yen/dollar exchange rate

1994 ◽  
Vol 1 (2) ◽  
pp. 101-109 ◽  
Author(s):  
R. Bhar
Keyword(s):  
Exchange Rate ◽  
Long Term Memory ◽  
Term Memory ◽  
Dollar Exchange Rate

scholarly journals Pengaruh Variabel Makroekonomi Terhadap Jumlah Penghimpunan Zakat di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 199
Author(s):  
Sheema Haseena Armina
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Short Term ◽  
Correction Model ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Analysis Technique

Purpose this study analyzes the effect of the industrial production index, the dollar exchange rate, inflation and the BI 7DRR on the amount of zakat collection from January 2015 to December 2018to identify the potential of zakat to support alleviation in Indonesia. Methodology/Approach: this study uses a quantitative approach with a Vector Error Correction Model (VECM) data analysis technique with time series data from Januari 2015 t0 December 2018. Findings: The results show that in short term causality, there is an effect between long-term and short-term between zakat as the dependent variable with inflation and the dollar exchange rate. However, there is no short-term causality effect between BI 7-DRR and IPI to the amount of zakat while the long-term causality effect, all independent variables have a significant effect to the dependent variable namely zakat. Implications: The integration of Islamic philanthropic institutions has the potential to channel aid and support to alleviate poverty. This study adds the IPI variable to interpret the GDP variable in analyzing its effect on zakat.

ASSESSMENT persistent time series hryvnia to the dollar US

2019 ◽  
Author(s):  
Serhii Ternov ◽  
Vasyl Fortuna
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Efficient Market Hypothesis ◽  
Long Term Memory ◽  
Characteristic Time Scale ◽  
Term Memory ◽  
Dollar Exchange Rate ◽  
Study Process ◽  
Daily Changes

Contemporary literature suggests that the effective market hypothesis is not substantiated. Instead, it suggests the Fractal Market Hypothesis (FMH). Fractal markets are characterized by long-term memory. The main feature of the fractal market is that the frequency distribution of the indicator looks the same across diffe­ rent investment horizons. In such cases, it is said that for an appropriate indicator, the phenomenon of scale invariance is observed. All daily changes are correlated with all future daily changes, all weekly changes are correlated with all future weekly changes. There is no characteristic time scale, a key characteristic of the time series. The presence of memory in the time series can be characterized by the Hearst indicator. This paper analyzes the hryvnia to US dollar exchange rate for the period 04.06.14-04.01.15. Finding the Hearst index made it possible to conclude that there is or is not long-term memory in this series. The presence of long-term memory indi­ cates that the efficient market hypothesis is unjustified. The hypothesis was tested that the longer the averaging intervals are taken into account in the model, the Hearst's index decreases. The analysis does not have great predictive power, however, it allows to identify the presence or absence of long-term memory in the study process and thus to accept or reject the hypothesis of an effective market. That is, the series under study is persistent, thus demonstrating long-term me­ mory availability. Thus, since persistence is revealed, the hypothesis of an effective market for the exchange rate yield is not confirmed, but instead can be argued for the fractality of the hryvnia / dollar exchange rate yield. Therefore, the application of the proposed approach made it possible to find the Hearst rate for the hryvnia / dollar exchange rate. The value found indicates that the effective market hypothesis is not substantiated for at least such an exchange rate.

scholarly journals Is Gold a Hedge Against Turkish Lira?

2008 ◽  
Vol 3 (1) ◽  
pp. 35-40 ◽  
Author(s):  
Feride Ozturk ◽  
Sezgin Acikalin
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Gold Price ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Us Dollar ◽  
Turkish Lira

Is Gold a Hedge Against Turkish Lira?This paper investigates whether gold is an internal hedge and/or an external hedge against Turkish lira (TL) by using monthly data from January 1995 to November 2006. Cointegration test results confirm the long-term relationships between the gold price and consumer price index and between the gold price and TL/US dollar exchange rate. The Granger Tests, based on vector error correction model (VECM), indicate that gold price Granger causes the consumer price index and TL/US dollar exchange rate in a unidirectional way. It is concluded that gold acts as an effective hedge against potential future TL depreciation and rising domestic inflation. Furthermore, gold price may be considered as a good indicator of inflation and hence it can be used as a guide to monetary policy.

scholarly journals Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data

1987 ◽  
Vol 1 (3) ◽  
pp. 249-274 ◽  
Author(s):  
Jeffrey A. Frankel ◽  
Kenneth A. Froot
Keyword(s):  
Exchange Rate ◽  
Survey Data ◽  
Short Term ◽  
Dollar Exchange Rate

scholarly journals Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data

10.3386/w2216 ◽  
1987 ◽  
Author(s):  
Jeffrey Frankel ◽  
Kenneth Froot
Keyword(s):  
Exchange Rate ◽  
Survey Data ◽  
Short Term ◽  
Dollar Exchange Rate

The influence of inflation targeting on the pass-through effect of the exchange rate

2018 ◽  
pp. 70-84
Author(s):  
Ph. S. Kartaev ◽  
Yu. I. Yakimova
Keyword(s):  
Developing Countries ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Policy Regime ◽  
Short And Long Term ◽  
The Exchange Rate ◽  
Pass Through ◽  
The Impact

The paper studies the impact of the transition to the inflation targeting regime on the magnitude of the pass-through effect of the exchange rate to prices. We analyze cross-country panel data on developed and developing countries. It is shown that the transition to this regime of monetary policy contributes to a significant reduction in both the short- and long-term pass-through effects. This decline is stronger in developing countries. We identify the main channels that ensure the influence of the monetary policy regime on the pass-through effect, and examine their performance. In addition, we analyze the data of time series for Russia. It was concluded that even there the transition to inflation targeting led to a decrease in the dependence of the level of inflation on fluctuations in the ruble exchange rate.

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