scholarly journals Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test

2021 ◽  
Vol 24 (2) ◽  
pp. 37-57
Author(s):  
Syed Ali Raza ◽  
Nida Shah ◽  
Muhammad Ali ◽  
Muhammad Shahbaz
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Hedge Fund ◽  
Gold Price ◽  
G7 Countries ◽  
Linear Dynamics ◽  
Fund Managers ◽  
Non Linear

Abstract In the recent era, gold is considered an essential investment source, a source of hedging inflation, and a medium of monetary exchange. The gold and exchange rate nexus become prominent after events like sovereign debt crisis, subprime mortgage crisis, low-interest rate problem, and global financial market solvency. These events attract the attention of researchers and academician for investigating the dynamics of the relationship between gold and exchange rates, and the majority of the studies discusses the linear dynamics, but the non-linear dynamics are ignored. Therefore, the current research investigates the non-linear dynamics of gold price and exchange rate relationship in G7 countries using the new technique named the nonparametric causality approach. This study uses monthly data from the years 1995(January)-2017 (March). The empirical results show that exchange rate return causes gold prices in four out of G7, especially at the low tails. This study also gives valuable insights for monetary policymakers, gold exporter’s international portfolio managers, and hedge fund managers.

scholarly journals Post-communist countries of the EU and the euro: Dynamic linkages between exchange rates

2017 ◽  
Vol 67 (4) ◽  
pp. 511-538 ◽  
Author(s):  
Nikolaos Stoupos ◽  
Apostolos Kiohos
Keyword(s):  
Czech Republic ◽  
Exchange Rates ◽  
Euro Area ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Monetary Integration ◽  
The Czech Republic ◽  
The Impact ◽  
The Eu ◽  
Dynamic Linkages

The sovereign debt crisis of 2010 in the euro area significantly decelerated the monetary integration of the EU. The main purpose of this paper is to explore whether five post-communist member states of the EU are mature enough to adopt the euro. We used nominal exchange rates in the error correction model with asymmetric power ARCH (ECM-APARCH). Our results highlight that EU membership positively increased the impact of the euro on the currency of each of these countries in the short-run. In contrast, the long-term effect of the euro on each currency is negative for the Czech Republic, Hungary, and Croatia. Wholly different results were obtained for Poland and Romania. The APARCH model showed that the negative responses of the euro had a greater or neutral effect on the conditional variance of each currency instead of the positive responses. The debt crisis of the euro area had no impact on the dynamic linkages between the currencies. Our research concludes that Croatia, the Czech Republic, and Hungary are not ready to join the euro area in the near future. On the other hand, the currencies of Poland and Romania are already aligned with the fluctuations of the euro.

scholarly journals Do Exchange Rate Series Present General Dependence? Some Results using Recurrence Quantification Analysis

2013 ◽  
Vol 5 (10) ◽  
pp. 678-686
Author(s):  
Teresa Aparicio ◽  
Dulce Saura .
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Recurrence Quantification Analysis ◽  
Underlying Structure ◽  
Recurrence Quantification ◽  
Non Linear ◽  
Quantification Analysis

In this paper, we apply a methodology based on the “Recurrence Quantification Analysis” to four daily exchange rate returns series. Our aim is to discover if they exhibit some kind of underlying structure, and to find an economic explanation for the behavior of exchange rates. Our results show the existence of structure in all series that, in certain cases, can be identified as non-linear deterministic. We also conclude that, in general, the underlying structure tends to disappear in the most recent periods.

scholarly journals Forecasting Exchange Rate Across Countries with Gold Price as Exogenous Variable Using Transfer Function and VARI-X Model

MATEMATIKA ◽  
2020 ◽  
Vol 36 (3) ◽  
pp. 181-196
Author(s):  
Alhassan Sesay ◽  
Suhartono Suhartono ◽  
Dedy Dwi Prastyo
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Transfer Function ◽  
Exchange Rates ◽  
Arima Model ◽  
Gold Price ◽  
Savings Accounts ◽  
Daily Data ◽  
The Relationship

Investors and collectors hold gold as protection for their savings and wealth atlarge. Gold does not pay interest like treasure bonds or savings accounts, but current goldprices often reflect increases and decreases of an asset. This research aims to provide amodel for the relationship between the exchange rate, which is vital in exporting gold, andgold prices across countries. The Australia, Brazil, and South Africa exchange rates areused as a case study against the gold price. The ARIMA model is used for forecasting goldprice as an input for the Transfer Function and VARIX models. The Transfer Functionmodel only considers the relationship between gold prices as input with the exchange ratein each country, whereas the VARIX model also considers the interrelationship betweenexchange rates in these countries. Daily data is used for the period 1st June 2010 to the28th February 2018. The RMSE and MAPE are used as criteria for selecting the bestmodel. The results show that VARIX is the best model for forecasting the Australianexchange rate, while the Transfer function is the best model for forecasting South Africanand Brazilian exchange rates.

23. Economic and Monetary Union

2019 ◽  
pp. 343-357
Author(s):  
Amy Verdun
Keyword(s):  
Exchange Rates ◽  
Monetary Union ◽  
Sovereign Debt ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Economic And Monetary Union ◽  
Sovereign Debt Crisis ◽  
To Come ◽  
Set Up ◽  
The Global Financial Crisis

This chapter provides an introduction to economic and monetary union (EMU). It describes the key components of EMU and what happens when countries join. EMU was the result of decades of collaboration and learning, which have been subdivided here into three periods: 1969–91, taking us from the European Council’s first agreement to set up EMU to Maastricht, when the European Council included EMU in the Treaty on European Union (TEU); 1992–2002, from when plans for EMU were being developed to the irrevocable fixing of exchange rates; and 2002 onwards, once EMU had been established, and euro banknotes and coins were circulating in member states. Next, the chapter reviews various theoretical explanations, both economic and political, accounting for why EMU was created and looks at some criticisms of EMU. Finally, the chapter discusses how EMU has fared under the global financial crisis and the sovereign debt crisis. These crises brought to the fore various imperfections in the design of EMU. This section discusses what changes have been made since 2009 to address those flaws and at what we may expect in the years to come.

scholarly journals Selectivity and Market Timing Skills in Emerging Greek Equity Mutual Funds During the Sovereign Debt Crisis

2020 ◽  
Vol 15 (2) ◽  
pp. 133-150
Author(s):  
Kyriazis A. Nikolaos ◽  
Koulis Alexandros ◽  
Papadamou Stephanos ◽  
Beneki Christina
Keyword(s):  
Mutual Funds ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Market Timing ◽  
Capital Asset Pricing ◽  
Sovereign Debt Crisis ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Before And After ◽  
Beta Coefficient

AbstractThis paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset Pricing Model (CAPM), the selectivity and market timing skills of these funds are under scrutiny. This takes place by assigning a linear form to the Beta coefficient and transforming the traditional CAPM equation into a second order polynomial. Results provide evidence of an improvement in selectivity and market timing skills for the majority of these emerging funds after the outburst of the debt crisis and the adoption of measures by Troika. Thereby, the potential of excess profit-making possibilities for capable fund managers in the Greek fund market is enhanced during non-conventional periods in comparison to normal times, even though the Efficient Markets Hypothesis (EMH) still holds.

Exploring real exchange rate effects on trade balances in Thailand

2002 ◽  
Vol 28 (11) ◽  
pp. 16-27 ◽  
Author(s):  
Tantatape Brahmasrene ◽  
Komain Jiranyakul
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Foreign Currency ◽  
Bilateral Trade ◽  
Real Exchange Rates ◽  
The Real ◽  
Cointegration Tests ◽  
Non Linear ◽  
The Impact

This study investigates the impact of real exchange rates on the trade balances between Thailand and its major trading partners. Previous empirical evidence gave mixed results of the impact of real exchange rates on trade balances. In this study, Augmented Dicky‐Fuller and Phillips‐Perron tests for stationarity followed by the cointegration tests are implemented. All variables in the model are nonstationary but cointegrated. In cointegrating regressions, biases are introduced by simultaneity and serial correlation in the error. The specification that deals with these problems is the non‐linear specification of Stock and Watson (1989). By using this non‐linear model as modified by Reinhart (1995), the results show that the impact of real exchange rates (Thai baht/foreign currency) on trade balances is significant in most cases. Therefore, the generalized Marshall‐Lerner condition seems to hold. Furthermore, the results show that the real exchange rates play a more important role in the determination of the bilateral trade balances than other factors. Since the real exchange rate variable plays a major role in this study, the policy recommendation is to prevent exchange rate misalignment. A policy that can neutralize the changes in nominal exchange rates and relative prices should be introduced to prevent further deterioration of the trade balance.

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