scholarly journals Indikator Kesejahteraan Petani melalui Nilai Tukar Petani (NTP) dan Pembiayaan Syariah sebagai Solusi

2018 ◽  
Vol 9 (1) ◽  
pp. 129
Author(s):  
Cut Muftia Keumala ◽  
Zamzami Zainuddin
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Consumer Goods ◽  
Agricultural Sector ◽  
Profit Sharing ◽  
Production Costs ◽  
Rice Farmers ◽  
The Exchange Rate ◽  
Good Determination

<p>As an agricultural country, attention to the welfare of farmers in Indonesia is considered very strategic. One of the measuring tools for farmers’ welfare that is used today is Farmer’s Exchange Rate (FER). This study aims to examine and explore some of the problems with the exchange rate experienced by farmers, including; Farmer’s Exchange Rate (FER) in identifying the welfare of farmers, determining the increase and decrease of Farmer Exchange Rate (FER) in Indonesia; and the potential of Islamic financing in providing solutions for the welfare of farmers. The results show that the increase in FER is not always good. Determination of the increase and decrease rice farmers’ exchange rates are productivity, grain prices, prices of consumer goods, and prices of fertilizers, the exchange rate of farmers on food and nonfood consumption, and production costs. Shariah schemes can be used as a new alternative to help the interest-free and profit-sharing agricultural sector.</p><p>Sebagai negara agraris perhatian terhadap kesejahteraan petani di Indonesia dinilai sangat strategis. Salah satu alat ukur kesejahteraan petani yang digunakan saat ini adalah Nilai Tukar Petani (NTP). Penelitian ini bertujuan untuk mengkaji dan menggali beberapa permasalahan terhadap nilai tukar yang dialami petani, antara lain; Nilai Tukar Petani (NTP) dalam mengindentifikasi kesejahteraan petani, penentu peningkatan dan penurunan Nilai Tukar Petani (NTP) pangan di Indonesia; dan potensi pembiayaan syariah dalam memberikan solusi untuk mensejahterakan petani. Hasil penelitian menunjukkan bahwa Kenaikan NTP tidak selalu baik. Penentu terjadinya kenaikan dan penurunan nilai tukar petani padi adalah produktivitas, harga gabah, harga barang konsumsi, dan harga pupuk, nilai tukar petani terhadap konsumsi makanan dan nonmakanan, serta biaya produksi. Skim syariah dapat dijadikan alternatif baru untuk membantu sektor pertanian yang bebas bunga dan berdasarkan bagi hasil.</p>

scholarly journals Application of Generalized Space Time Autoregressive Model on Farmer Exchange Rate Data in Three Provinces of The Sumatera Island

2020 ◽  
Vol 21 (2) ◽  
pp. 97
Author(s):  
Fadhilatul Nida Aryani ◽  
Sri Sulistijowati Handajani ◽  
Etik Zukhronah
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Agricultural Sector ◽  
Space Time ◽  
Rate Data ◽  
Previous Time ◽  
West Sumatra ◽  
Cross Correlations ◽  
The Exchange Rate ◽  
Inverse Distance

The agricultural sector has a big role in the development of the Gross Regional Domestic Product (GDP). Therefore the agricultural sector is very important. Besides the agricultural sector, the farmer's welfare also needs to be considered because the agricultural sector will be good if the welfare of farmers is good also. In measuring the level of farmers' welfare, the method used is the farmer's exchange rate. The farmer's exchange rate has a location relationship and a previous time relationship. The Generalized Space-Time Autoregressive (GSTAR) model is a good method of forecasting data that contains time series and location relationships by assuming that the data has heterogeneous characteristics. The purpose of this study is to model the farmer exchange rate data with GSTAR using normalization of cross-correlations weighting and inverse distance in three provinces namely West Sumatra, Bengkulu and Jambi Provinces. Based on data analysis, the best GSTAR model obtained by using the best weighting with the model is GSTAR (11) − I(1) using normalization of cross-correlations because the assumption of normal white noise and multivariate are fulfilled with an RMSE value of 1.097775. The best GSTAR model explains that the exchange rate of West Sumatra farmers is only the previous time, Bengkulu farmers' exchange rate is the previous time and is the exchange rates of farmers of West Sumatra and Jambi, whereas for the exchange rate of farmers of Jambi is the exchange rates of farmers of Bengkulu and West Sumatra and influenced by previous times.Keywords: GSTAR, RMSE, farmers exchange rate, normalization of cross-correlations, inverse distance.

scholarly journals The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

2019 ◽  
Vol 22 (3) ◽  
pp. 117-129
Author(s):  
Jana Šimáková ◽  
Nikola Rusková
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchanges ◽  
The Exchange Rate ◽  
Chemical Companies ◽  
The Empirical Analysis

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

scholarly journals Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate

2021 ◽  
Vol 8 (4) ◽  
pp. 31
Author(s):  
KHATTAB Ahmed ◽  
SALMI Yahya
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Selection Criterion ◽  
Econometric Models ◽  
Interbank Market ◽  
Foreign Exchange Reserves ◽  
Central Bank Intervention ◽  
The Exchange Rate

The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.

scholarly journals The Impact of Russia’s Oil-Dominated Energy Economic Changes on the Exchange Rate of Russian Ruble – Chinese Renminbi

2017 ◽  
Vol 13 (22) ◽  
pp. 173
Author(s):  
Maoguo Wu ◽  
Yue Yu
Keyword(s):  
Economic Development ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Explanatory Power ◽  
Close Relation ◽  
Policy Implications ◽  
The Exchange Rate ◽  
Exchange Rate Changes ◽  
Pillar Industry ◽  
The Impact

Russia’s economic development has a close relation with China, due to geographical and historical reasons. This paper investigates whether the ruble – renminbi exchange rate changes accordingly when the pillar industry of Russia is drastically changing, and how the exchange rate changes and how it affects Russia’s economic development. In this paper, data of 7 variables spanning 122 months are selected based on related literature and availability of data. Regression analysis and empirical tests are carried out consequently. The results show that the energy price index represented by oil prices is negatively correlated with the exchange rate, and the explanatory power is as high as 41.1%. Following basic arbitrage methods and strategies, this paper verifies the feasibility of using arbitrage by comparing actual exchange rates with forecasted exchange rates. According to empirical results, problems witnessed in the process of ruble internationalization provides policy implications for China. China’s economy is utilized as an example to discuss the shortcomings of Russia’s economy. Related solutions are proposed.

scholarly journals The Stock Market and Exchange Rates in Five South Asian Countries

2017 ◽  
Vol 18 (1) ◽  
pp. 102 ◽  
Author(s):  
Firmansyah Firmansyah ◽  
Shanty Oktavilia
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Return ◽  
The Philippines ◽  
Short Run ◽  
The Exchange Rate

The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31 March 2017, this study utilizes Engle-Granger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns. To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries. The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

On the asymmetric response of the exchange rate to shocks in the crude oil market

2020 ◽  
Vol 14 (4) ◽  
pp. 839-852 ◽  
Author(s):  
Huthaifa Alqaralleh
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Crises ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
The Exchange Rate ◽  
Asymmetric Cointegration

Purpose This paper aims to investigate the nonlinear dynamics in the effects of oil price shocks on the exchange rate for a sample from the Group of Twenty (G20) over the period 1994:1-2019:1. Design/methodology/approach Using monthly time series data covering the period1994:1-2019:1, the author first use the non-parametric triples test of Randles et al. (1980) to ascertain the existence of asymmetric properties in the sample of exchange rates. Then the author used the nonlinear ARDL cointegration approach developed by Shin et al. (2014) to examine the reaction of these exchange rates to the oil price shocks. Findings This study has identified significant evidence that the exchange rate is asymmetrically distributed, with the effect that high appreciation of the exchange rate is followed by slower depreciation. The NARDL results support such asymmetry even more strongly because in the test the exchange rate is shown to react differently in the long term to positive and negative shocks in oil prices. Another major finding was that the speed of adjustment differed over the sample, as the cumulative dynamic multipliers effect highlighted. Research limitations/implications This change in direction and the employment of non-linear technique can be to obtain better insight into the model specification, which the author believes, will not only enhance the findings in the literature but also enhance forecasting and decision-making. Practical implications A practical implication of this change is the possibility that policymakers and participants concerned with exchange rate stability should intervene in the market to alleviate the unfavourable impact of oil price shocks on the exchange rate. Originality/value Addressing this nonlinear dynamic in the effects of oil price shocks on the exchange rate have at least the following two important reasons: asymmetry and regime change are types of nonlinearities that affect the market dynamics, especially, over marked sample period with such financial crises as the global financial crises of 2007, thereby violating the linear models. Adopting an asymmetric cointegration technique permits to incorporate cointegrated positive and negative components of the considered series.

scholarly journals A Study on the Pass-Through Rate of the Exchange Rate on the Liquid Natural Gas (LNG) Import Price in China

2020 ◽  
Vol 8 (4) ◽  
pp. 70
Author(s):  
Chaofeng Tang ◽  
Kentaka Aruga
Keyword(s):  
Exchange Rate ◽  
Natural Gas ◽  
Exchange Rates ◽  
Import Price ◽  
Monetary Reform ◽  
Lag Effect ◽  
The Exchange Rate ◽  
Pass Through ◽  
Liquid Natural Gas ◽  
The Impact

The Chinese liquid natural gas (LNG) import price has been unstable because the stability of LNG import prices is related to changes in the exchange rates. This paper analyzes the pass-through rate of the Chinese Yuan (CNY) and Japanese Yen (JPY) on the Chinese LNG import price. The Time-Varying Parameter vector autoregressive (TVP-VAR) model is adopted to verify the pass-through rate of the exchange rates on the LNG import price using the Markov chain Monte Carlo (MCMC) method. Since September 2005, the JPY pass-through rate on the Chinese LNG import price has been decreasing while that of the CNY has been increasing. Notably, the pass-through rate of CNY began to exceed that of JPY after 2008. Moreover, since 2005, the lag effect of the CNY on the Chinese LNG import price became longer compared to JPY. If any new currency reform of the CNY is implemented in the future, then the impact of JPY on the Chinese LNG import price could be reduced and the lag effect of the CNY on the Chinese LNG import price could become longer. Therefore, the fluctuation of the CNY is becoming an important factor in understanding the movements of the Chinese LNG import price. This implies the significance of considering the effect of the exchange rate on an energy market when the market is influenced by a monetary reform of the importing country.

CAPACITY INVESTMENT, PRICING, AND PRODUCTION ALLOCATION ACROSS INTERNATIONAL MARKETS WITH EXCHANGE RATE UNCERTAINTY

2012 ◽  
Vol 29 (01) ◽  
pp. 1240008 ◽  
Author(s):  
ANAS AHMED ◽  
MURAT ERKOC ◽  
SOHYUNG CHO
Keyword(s):  
Exchange Rate ◽  
Foreign Market ◽  
International Markets ◽  
Production Costs ◽  
Capacity Investment ◽  
Production Decisions ◽  
Optimal Capacity ◽  
The Exchange Rate ◽  
The Impact ◽  
Local Sourcing

In this paper, we investigate joint optimal capacity investment, pricing and production decisions for a multinational manufacturer who faces exchange rate uncertainties. We consider a manufacturer who sells its product in both domestic and foreign markets over a multiperiod season. Because of long-lead times, the capacity investment must be committed before the selling season begins. The exchange rate between the two countries fluctuates across periods and the demand in both markets are price dependent. Our model considers three scenarios: (1) early commitment to price and quantity with central sourcing, (2) postponement of prices and quantities with central sourcing, and (3) local sourcing. We derive the optimal capacity and the optimal prices for each scenario, and investigate the impact of the exchange rate parameters and the length of the selling season. We observe that while the price and production decisions in the domestic market are independent of the exchange rate under early commitment and local sourcing scenarios, the exchange rate between two countries directly impacts these decisions under the postponement setting. We identify thresholds and gain insights on capacity and production costs, exchange rate movement, and selling season length for the choice of entering a foreign market under all scenarios.

Exchange Rate Pass-Through: A Case Study of a Small Open Economy

2007 ◽  
Vol 7 (3) ◽  
pp. 1850112 ◽  
Author(s):  
Olajide Oladipo
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Nominal Exchange Rate ◽  
Production Costs ◽  
Policy Implications ◽  
Relative Price ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Future Path

The exchange rate pass-through for Nigeria imports is estimated by applying an econometric procedure to sectoral data which avoids the pit-falls in previous studies. We use the mark-up approach, which implies setting export prices as a mark-up on production costs. So, the price facing importers is the exchange rate adjusted production costs where mark-up depends on the competitive pressures in the import's market and the nominal exchange rate. Our results indicate incomplete pass-through at varying degrees across sectors, which implies that the foreign exporters passed on only part of the increase in their costs of production to import prices. Also, it reveals that the effort of the Nigerian government in encouraging companies to use local inputs where possible instead of relying on imported intermediate inputs is gradually yielding positive results. Important policy implications that follow from our results of incomplete pass-through to domestic prices could influence CBN forecasts of future path of inflation, a key element in the conduct of monetary policy. Indeed, the successful implementation of monetary policy presupposes that CBN has not only a good understanding of inflation dynamics but is also relatively successful at predicting the future path of inflation. Also, our results imply that the exchange rate policy may be a blunt instrument when used to restore external balance since relative price adjustments will be limited. Furthermore, the incomplete pass-through suggests that exchange rate changes are likely to lead to smaller real effects on the economy through lower changes in both the terms of trade and import volumes and finally, the extent of inflation (deflation) effects of exchange rate depreciation (appreciation) operating through changes in the prices of imported goods will be moderated.

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