scholarly journals Exchange Rate Volatility: Does Microeconomic Policy Uncertainty Impact Exchange Rate Volatility?

2021 ◽  
Vol 9 (11) ◽  
pp. 843-849
Author(s):  
Kelly Oniha
Keyword(s):  
United States ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Macroeconomic Policy ◽  
Policy Uncertainty ◽  
Macroeconomic Variables ◽  
The Exchange Rate ◽  
The Impact

Abstract: This paper analyzes the impact of macroeconomic policy uncertainty on the exchange rate volatility in United States. Using newly developed measure of monetary policy uncertainty, and macroeconomic variables, I find that higher monetary policy uncertainty increases the exchange rate volatility.

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.

scholarly journals Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2006 ◽  
Vol 96 (3) ◽  
pp. 552-576 ◽  
Author(s):  
Philippe Bacchetta ◽  
Eric van Wincoop
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
Exchange Rate Volatility ◽  
Order Flow ◽  
Macroeconomic Variables ◽  
Symmetric Information ◽  
Macroeconomic Fundamentals ◽  
The Exchange Rate ◽  
Exchange Rate Changes

Empirical evidence shows that most exchange rate volatility at short to medium horizons is related to order flow and not to macroeconomic variables. We introduce symmetric information dispersion about future macroeconomic fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence, the model implies that (a) observed fundamentals account for little of exchange rate volatility in the short to medium run, (b) over long horizons, the exchange rate is closely related to observed fundamentals, (c) exchange rate changes are a weak predictor of future fundamentals, and (d) the exchange rate is closely related to order flow.

scholarly journals EFEK KETERBUKAAN PERDAGANGAN PADA VOLATILITAS NILAI TUKAR

2019 ◽  
Vol 10 (1) ◽  
pp. 38-45
Author(s):  
Wayrohi Meilvidiri ◽  
Syahruddin Syahruddin ◽  
Romualdus Turu Putra Maro Djanggo
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Trade Openness ◽  
Exchange Rate Volatility ◽  
Normality Test ◽  
Lm Test ◽  
Exchange Rate Movements ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Impact

This study uses the q to q dataset for the period 2011-2018, to examine the effect of trade openness on the exchange rate, on the other hand variable money supply, inflation and GDP growth and high-low exchange rates (dummy) will smooth the impact of shocks to the exchange rate . Using the OLS econometric estimator to see the effect of variables and the ARCH method to measure the uncertainty of exchange rate movements. Estimation results show that trade openness (open trade index); the money supply (money supply) and the high-low peak value of the exchange rate have a significant positive effect while the growth variable has a significant negative effect on exchange rate volatility. The LM test simultaneously found ARCH in residual data in lag 1 and lag 2. The normality test found abnormal residuals, while the residual heteroscedasticity test showed no ARCH problems in the last residuals.

scholarly journals PERANAN KEBIJAKAN MONETER DALAM MENJAGA STABILITAS PEREKONOMIAN INDONESIA SEBAGAI RESPON TERHADAP FLUKTUASI PEREKONOMIAN DUNIA

2007 ◽  
Vol 9 (2) ◽  
pp. 145-177
Author(s):  
M. Maulana Al Arif ◽  
Achmad Tohari
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Open Economy ◽  
Small Open Economy ◽  
Monthly Data ◽  
Vector Autoregressive ◽  
The World ◽  
The Exchange Rate ◽  
The Impact

This paper analyzes the impact of the inflation and the world interest rate on the Indonesian economy and the effectiveness of the Indonesian central bank policy to adopt the domestic macroeconomic fluctuation.Assuming Indonesia as a small-open economy, the Stuctural Vector Autoregressive Model is utilized on the monthly data during the periode of 1999: 1 – 2004: 12 covering the main domestic macroeconomic indicator (output, price, money supply, interest rate and the exchange rate) and the world oil price and world interest rate as the disturbance source.The analysis provides 2 main results, first, the international variables do have impacts on the domestic variables fluctuation, implying the fragility of the domestic economy due to the external shock, second, the monetary policy is effective on supporting the economic growth and stabilizing the price level. However, the Bank Indonesia policy to stabilize the international shock via the exchange rate channel, contributes to a higher impact of the international shock on domestic interest rate.Keywords: monetary policy, business cycle, SVARJEL Classification: E52, E32, C32, F41

scholarly journals Exchange Rate Volatility and Its Implications on Macroeconomic Variables in East African Countries

2020 ◽  
Vol 7 (3) ◽  
pp. 145
Author(s):  
Nicas Yabu ◽  
Deogratius Kimolo
Keyword(s):  
Exchange Rate ◽  
Positive Impact ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Mitigation Measures ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Lending Rates ◽  
The Exchange Rate

The study examines the extent of exchange rate volatility and its impact on key macroeconomic variables such as exports, FDI inflows, interest rate and inflation in Tanzania, Kenya and Uganda. The GARCH model is used to compute the extent of exchange rate volatility while the Panel Autoregressive Distributed Lag (ARDL) technique or pooled mean group (PMG) estimator was used to estimate the effects of exchange rate volatility on selected macroeconomic variables. The results indicate that volatility in the exchange rate is a real issue in all the sampled countries and is fundamentally driven by exports and FDI dynamics for the period under consideration. The results indicate a positive impact of the exchange rate volatility to export performance and lending rates in the long run. Exchange rate volatility appears to be detrimental to both export performance and leads to a reduction in lending rates in the short run. Also, the response of FDI to exchange rate volatility seems to be negative in the long run while in the short run the response from the volatility of real exchange rate seems is insignificant. Though not significant, the volatility of the exchange rate appears to have a positive impact on inflation. The study recommends that policymakers need institute mitigation measures which could smooth out excessive exchange rate volatility to minimize its likely impact on the economy. The study also indicated a need for the EAC countries to consider adopting inflation targeting monetary policy framework in order to contain inflation at the appropriate level.

scholarly journals Coping with the Exceptional Economic Problems in Turkey: A Field Survey on SMES

2019 ◽  
Vol 12 (2) ◽  
pp. 109-126 ◽  
Author(s):  
Ercan Özen
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Developed Countries ◽  
Business Owners ◽  
Important Place ◽  
Exchange Rate Fluctuations ◽  
The Exchange Rate ◽  
The Impact

Abstract Developing countries need higher economic growth to reach the level of developed countries. When developing countries exceed the potential economic growth, problems, such as, high external debt and high current deficit emerge. Such situations increase the financial risk of the country; in addition, international political risks, fluctuations in capital inflows and some manipulative movements have subjected countries to extreme exchange rate fluctuations. Purposes of this research: (1) to uncover the impact of high exchange rate volatility on small business activities and (2) to determine whether the level of exposure of the exchange rate shock on business owners varies by age. The methodology of the study involved a survey administered to 390 small and medium-sized enterprises (SMEs). The findings of the study show that after a period of significant exchange rate fluctuations, business activities were negatively affected, sales decreased, and job cuts increased. On the other hand, the exchange rate effect was mostly felt by all business owners of different ages. According to the study, it can be concluded that small enterprises are vulnerable to rising exchange rate volatility. The effect on SMEs with more work experience is not different. In order to alleviate the effects of adverse exchange rate movements, enterprises should be more cautious in their activities. Two suggestions can be made at this point: (i) Governments should follow optimal growth policies and (ii) Small businesses that have an important place in the economy should be made aware of the exchange rate risk and crisis management.

scholarly journals Real Time Data

2018 ◽  
Vol 4 (3) ◽  
pp. 147
Author(s):  
Arlind Rama ◽  
Ilir Vika
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Foreign Currency ◽  
Developing Economies ◽  
Exchange Rate Volatility ◽  
Economic News ◽  
Economic Fundamentals ◽  
Us Dollar ◽  
The Impact ◽  
Exchange Rates Volatility

Interpretation of exchange rate volatility in the light of economic fundamentals comprises an issue of interest for policymakers when it comes to implementing the monetary policy. Understanding the impact of economic news on the Lek exchange rate against two main hard currencies, Euro and US dollar, would serve to better orient the monetary policy and forex market agents positioning in time. Exchange rates volatility on economic news in short-term is an often discussed phenomenon in the economic literature, but through this material we tend to measure these effects in the Albanian foreign currency market and contribute in the literature interpreting foreign currency markets volatility in developing economies. Very often, domestic foreign exchange movements are attributed to developments in large international markets. In the case of Albanian Lek volatility analysis, we tend to find answers regarding the importance of economic news coming from the two main economies in focus, Eurozone and the US. Furthermore, we investigate the importance of the economic information flow in Albania in determining the Lek exchange rate against Euro and US dollar. For a period in focus from January 2007 until July 2012, we try to understand if the exchange rate volatility has been a result of economic fundamentals or financial markets stress related economic news.

scholarly journals Exchange Rate Volatility and Trade Flows: Evidence from China, Pakistan and India

2015 ◽  
Vol 7 (11) ◽  
pp. 121 ◽  
Author(s):  
Sarfaraz Ahmed Shaikh ◽  
Ouyang Hongbing
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Series Data ◽  
General Level ◽  
Negatively Associated ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
The Impact

This study examines the impact of exchange rate fluctuations on trade flows in case of China, Pakistan and India by using the time series data from 1980 to 2013. Most of the researchers have advocated that exchange rate volatility is negatively associated with general level of trade. In this study we have used the standard deviation of the moving average of the logarithm of the exchange rate as a proxy for volatility. And to investigate this relationship, we have applied the Autoregressive Distributive Lag (ARDL) approach for co-integration which estimates the short and long run relationship among the variables for the said period. The results of this empirical work have suggested that exchange rate volatility is negatively associated with Chinese exports in short run while positively associated in long run. However, in the case of Pakistan and India both in the short run and long run, the exchange rate volatility is negatively associated with total volume of trade.

scholarly journals Interest Rate and Exchange Rate Volatility Spillovers: Multiscale Perspective of Monetary Policy Transmission in Ghana

2020 ◽  
Vol 9 (1) ◽  
pp. 135-167
Author(s):  
Nana Kwame Akosah ◽  
Paul Alagidede ◽  
Eric Schaling
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Output Gap ◽  
Monetary Policy Transmission ◽  
Volatility Spillovers ◽  
Policy Transmission ◽  
The Exchange Rate ◽  
Macro Variables

AbstractGhana’s economy is characterised by acute exchange rate volatility alongside persistent and high consumer inflation. This places the economy among the sub-Saharan African countries with the highest inflation over the years. Therefore, we explore in-sample and out-of-sample macro-volatility spillovers to determine the effectiveness of monetary policy and also ascertain the relevance of the exchange rate in Ghana’s interest rate setting at both time and multiscale domains. The study reveals scale-dependent interconnectedness among the macro-variables as their causal linkages broadly intensify at the longer time-scale. We find the real policy rate and the exchange rate to be net transmitters of shocks, while inflation and output gaps are net receivers of shocks from the system. Output gap, however, is the largest net receiver of shocks from the system. The empirical findings generally buttress the prerequisite to uphold exchange rate stability in order to inure general macroeconomic stability in Ghana. In addition, the extent of spillover dynamics from policy interest rate to and from the targeted macro-variables (particularly output gap and inflation) appears to be moderate even in the long run, surmising less effective monetary policy transmission in Ghana.

scholarly journals Implication of Monetary Policy Rate and Interest Rate on Exchange Rate in Nigeria: 1981-2017

2019 ◽  
pp. 1-11
Author(s):  
Nnamani, Vincent ◽  
Anyanwaokoro, Mike
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Statistical Tool ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The study investigated the implication of monetary policy rate on the exchange rate and interest rate in Nigeria, 1981-2017. Because of the above-stated problems, the specific objectives are to: Investigate the effect of monetary policy rate on the exchange rate in Nigeria, determine the effect of the monetary policy rate on interest rate in Nigeria. The analysis of error correction and autoregressive lags fully covers both long-run and short-run relationships of the variable under study. The statistical tool of analysis employed in the study is Autoregressive Distributed Lags (ARDL) and Philips Peron method of stationary testing and structural breakpoint unit root test., these methods were employed to check the stationarity and breakpoint analysis of the time series data employed in this study. The study observed that monetary policy rate has a positive and significant effect on the exchange rate in Nigeria. It was also observed that the monetary policy rate has a positive and significant effect on the interest rate in Nigeria. Overall, our results indicated that the impact of monetary policy on the exchange rate was significant. There was a positive and significant relationship between monetary policy variables and exchange rate. The conclusion that is drawn from our results is that monetary policy remains an effective and potent tool for ensuring a stable exchange rate in Nigeria. The study recommended that monetary policy should be used to create a favourable investment environment by facilitating the emergence of market-based interest rate and exchange rate regimes which could attract domestic and foreign investments. Second; the Central bank of Nigeria (CBN) need to avoid ordination and balance between monetary and fiscal policies to ensure the smooth realization of monetary policy goals. Policy inconsistency or summersault to determine its policy impact before contemplating a change. Finally, there should be a coo.

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