A Comparative Study on the Effects of Chinese Economic Variables on the Exchange Rate Before/After the Financial Crisis

2019 ◽  
Vol 32 (2) ◽  
pp. 605-628
Author(s):  
Song Jie Xu ◽  
Song-Choon Park
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Comparative Study ◽  
Economic Variables ◽  
The Exchange Rate

scholarly journals Empirical Relationship of Exchange Rate with Inflation, International Trade and Gross Domestic Product (GDP) in Pakistan’s Economy

2019 ◽  
pp. 171-182
Author(s):  
Erum Khushnood Zahid Shaikh ◽  
Zahid H. Channa ◽  
Mehwish Bhutto
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Empirical Relationship ◽  
Exchange Rate Policy ◽  
Domestic Product ◽  
Special Focus ◽  
Economic Variables ◽  
Independent Variables ◽  
The Exchange Rate ◽  
Relationship Of

In the modern world, the exchange rate plays an important role in measuring the strength of country’s economy in global economic conditions. An exchange rate is an important tool for controlling various macro-economic variables, and it is itself affected by different macro-economic variables. Pakistan is a developing country of the world and its unstable economy faces high variability in the exchange rate or devaluation of the domestic currency. Therefore, this study investigates the relationship of an exchange rate with selected macro-economic variables (i.e. import, GDP, Inflation & export), with a special focus on Pakistan’s economy. It also aims at finding out the degree of strength at which selected independent variables to leave a significant impact on the exchange rate in the economy of Pakistan (i.e. during the period of 1992 to 2017). For this secondary database study, data extracted from official website of World Bank, State Bank of Pakistan and Economic Surveys of Pakistan. Multiple regression models were used to measure the empirical impact of selected independent variables on exchange rate. Findings show that the Import and Gross Domestic Product (GDP) have a significant negative impact on exchange rate whereas, export and inflation have a significant positive impact on the exchange rate in the economy of Pakistan. The study recommends that the Government of Pakistan should adapt to make its exchange rate policy more effective through high production, more export with a reduction of import and price stability.

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.

scholarly journals Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman’s Stress Tests

2016 ◽  
Vol 3 (1) ◽  
pp. 24
Author(s):  
Salvador Climent-Serrano
Keyword(s):  
Exchange Rate ◽  
Historical Data ◽  
Econometric Model ◽  
Stock Exchange ◽  
Housing Prices ◽  
Financial Sector ◽  
Stress Tests ◽  
Economic Variables ◽  
Model Based ◽  
The Exchange Rate

This work develops an econometric model based on the exogenous economic variables used in Oliver Wyman´s report. In this case the model is used in order to estimate late payments (NPLs) by Spanish credit entities. A model based on variables considered to be optimal to quantify impact on the NPLs is developed by studying the aforementioned variables, modifying them and eliminating any which are superfluous. Furthermore, whether or not the model is optimal for long periods of time is corroborated. This is due to the fact that the scenario in Oliver Wyman´s report from September 2012 (Wyman 2012) is based on 30 years of Spanish economical historical data, as stated in the report itself. The results indicate the variables that have impact on defaults. The increase in housing prices, the Madrid Stock Exchange Index, the Exchange Rate the euro against USD. The Euribor 12 months and the industries Credit to other residents, decreases the delinquency. The NPLs also fell by transfers from riskier assets to SAREB. However, these results are different if the economy is growing or in recession. So the results will not be optimal but the appropriate model is employed.

Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications

2018 ◽  
Vol 21 (01) ◽  
pp. 1850005 ◽  
Author(s):  
Becksndale Masawi ◽  
Sukanto Bhattacharya ◽  
Terry Boulter
Keyword(s):  
Exchange Rate ◽  
Comparative Study ◽  
Central Bank ◽  
Information Content ◽  
Central Banks ◽  
Currency Markets ◽  
Reserve Bank ◽  
The Mean ◽  
The Exchange Rate

Traditionally, central banks have used direct intervention in currency markets when the exchange rate has moved away from equilibrium or when the volatility has been excessive and the literature on the effects of indirect intervention is sparse. We examine whether indirect intervention has any impact on the exchange rate levels by examining the central bank verbal communications in Australia and Canada. We find evidence that the Bank of Canada’s (BOC’s) speeches reduce the mean exchange rate returns but not the Reserve Bank of Australia’s (RBA’s) speeches. Our results show that the socio-economic similarities between countries do not guarantee a similar impact of indirect intervention.

scholarly journals The Effect of Economic Variables in the Exchange Rate of the Iraqi Dinar for the Period (1995-2015)

2018 ◽  
pp. 98
Author(s):  
Muslim Qasim
Keyword(s):  
Exchange Rate ◽  
Theoretical Framework ◽  
Economic Variables ◽  
The Third ◽  
Exchange Rate Fluctuations ◽  
The Exchange Rate ◽  
Relationship Of ◽  
The Relationship

This study aims to identify the trends of fluctuations of Iraqi dinar exchange rate along with diagnosis the factors that influencing it. The importance of this study is that it attempts to examine the mechanisms of impacts some economic variables on the exchange rate fluctuations of Iraqi economy as a result of the use of the Iraqi Central Bank's policies. This study based on a hypothesis that states: Iraqi dinar exchange influenced by several factors and variables, some are fact and some are because the hard cash that led to the occurrence of fluctuations. Since the cash supply has a positive as well as a significant impact on creating and finding these fluctuations. This study comprises three sections: first section presenting the theoretical framework of the exchange rate. Second section focuses on the Relationship  of the exchange rate of the Iraqi dinar with economic variables. Finally, the third section analyzes the results of impacts some economic variables on the Iraqi dinar fluctuations exchange rate for the period of (1995-2015). The study found a set of results, and based on the outcomes of the study a number of recommendations has been presented.

scholarly journals The Exchange Rate Effects of Macro News after the Global Financial Crisis

2017 ◽  
Vol 2017 (305) ◽  
Author(s):  
Yin-Wong Cheung ◽  
◽  
Rasmus Fatum ◽  
Yohei Yamamoto ◽  
◽  
...  
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Rate Effects ◽  
Macro News ◽  
The Exchange Rate ◽  
The Global Financial Crisis

Exchange rate exposure and firm productivity in India

2019 ◽  
Vol 12 (4) ◽  
pp. 531-543
Author(s):  
Sonali Madhusmita Mohapatra
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Regression Model ◽  
Service Sector ◽  
Negative Impact ◽  
Annual Data ◽  
Firm Level ◽  
Content Type ◽  
Exchange Rate Exposure ◽  
The Exchange Rate

Purpose The purpose of this paper is to investigate the linkage between exchange rate exposure and firms’ productivity in India. This study also tries to compare the effects of exchange rate exposure on the productivity of the pre- and post-financial crisis periods and also between export- and import-oriented firms. Design/methodology/approach By using the annual data of 232 manufacturing and service sector firms for the period of 2000-2013, this paper examines the exchange rate exposure and firms’ performance in India. In the first stage, the two-factor regression model, Adler and Dumas, is used, and in the second stage, the Levinsohn and Petrin (2003) approach is used for estimating the total factor productivity of significant firms. Finally, for examining the relationship between exchange rate exposure and productivity, the instrumental variable panel data regression model is used. Findings This study observes that a negative relation exists between the appreciation of exchange rate exposure and firms’ productivity. The study also reveals that the export-oriented firms make loss during exchange rate appreciation which decreases the productivity. The financial crisis has the negative impact on productivity, as well. Originality/value Although there are an ample number of studies which examined the effects of the exchange rate on firm’s export, growth, investment, however impact of exchange rate exposure on productivity at firm level is scanty. This study tries not only to compare the effects of exchange rate exposure on the productivity of the pre- and post-financial crisis periods but also between the export- and import-oriented firms which is another innovation of this study.

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

2017 ◽  
Vol 24 (1) ◽  
pp. 54-70
Author(s):  
Hasanah Setyowati ◽  
Riyanti Ningsih
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Analysis Model ◽  
Macroeconomic Factors ◽  
Return On Equity ◽  
Equity Ratio ◽  
Regression Techniques ◽  
The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

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