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.

A hybrid approach to exchange rates

2016 ◽  
Vol 33 (1) ◽  
pp. 50-68 ◽  
Author(s):  
Guangfeng Zhang ◽  
Ian Marsh ◽  
Ronald MacDonald
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Time ◽  
Private Information ◽  
Hybrid Approach ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Macro News ◽  
The Impact ◽  
Exchange Rates Volatility

Purpose – This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework. Design/methodology/approach – The authors apply real-time data of macro announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH models and examine various model specifications. Findings – Data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process. Originality/value – This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study.

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.

scholarly journals Assessing the Sustainability of Inflation Targeting: Evidence from EU Countries with Non-EURO Currencies

2019 ◽  
Vol 11 (20) ◽  
pp. 5654
Author(s):  
Adina Ionela Străchinaru ◽  
Bogdan Andrei Dumitrescu
Keyword(s):  
Exchange Rate ◽  
Inflation Targeting ◽  
Foreign Currency ◽  
Exchange Rate Volatility ◽  
European Countries ◽  
It Strategy ◽  
It Adoption ◽  
Banking Concentration ◽  
The Exchange Rate ◽  
The Impact

This paper examines the impact of inflation targeting (IT) adoption on macroeconomic outcomes (unemployment, inflation, exchange rate, and its volatility) and banking concentration by comparing the non-EUR European countries that adopt an IT strategy to non-EUR European countries that do not adopt an IT strategy for the period of 2005–2015. The results suggest that IT has no impact on inflation, unemployment, and the exchange rate raises the systemic risk. Moreover, in non-IT countries, central banks are more concerned to minimizing the exchange rate volatility to better protect the debtors with foreign currency (EURO) loans.

scholarly journals IMPACT OF THE FED’S UNCONVENTIONAL MONETARY POLICY ON THE US FINANCIAL MARKET

2021 ◽  
Vol 9 (3) ◽  
pp. 145-158
Author(s):  
Silvia Trifonova ◽  
◽  
Svilen Kolev ◽  
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rates ◽  
Financial Market ◽  
Unconventional Monetary Policy ◽  
The Us ◽  
Policy Measures ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Impact

This paper is devoted to the unconventional monetary policy measures implemented by the US Federal Reserve (Fed) after the global financial crisis. The objective is to conduct an empirical analysis and econometric study on the effects of the US Fed non-standard monetary policy measures on the US financial market, namely by observing the reaction on the US 10-year government bond yield, the US stock market via the S&P 500 index, and the exchange rate of the US dollar versus the euro (EUR/USD). The observed period spreads from January 2009 to March 2019, with the use of monthly data. It captures the Fed’s unconventional monetary policy measures, the first steps of the then planned gradual termination of quantitative easing (QE) and lifting of the interest rates, which was reverted in the course of 2019 and 2020. The results from the constructed vector error correction model suggest that Fed’s monetary policy stance continues to influence the changes in the bond yields, the S&P 500 index, and the value of the US dollar through the interest rate, the portfolio balance, and the exchange rate channels. The findings show that the process of normalization of the monetary policy regarding the future interest rates path in the US under the Fed’s monetary policy must be carefully guided. It must be consistent with the macroeconomic conditions and the state of the financial sector. The impact on the developed and emerging markets must be considered as well, with the main aim of avoiding potential serious risks.

Application of Artificial Neural Network (Ann) in Modeling Foreign Currency Exchange Rates

2018 ◽  
Vol 6 (10) ◽  
Author(s):  
George Kiplagat Kipruto ◽  
Dr. Joseph Kyalo Mung’atu ◽  
Prof. George Otieno Orwa ◽  
Nancy Wairimu Gathimba
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Performance Metrics ◽  
Exchange Rate Volatility ◽  
Foreign Currencies ◽  
Exchange Rates Volatility

Investors, Policy makers, Governments etc. are all consumers of exchange rates data and thus exchange rate volatility is of great interest to them. Modeling foreign exchange (FOREX) rates is one of the most challenging research areas in modern time series prediction. Neural Network (NNs) are an alternative powerful data modeling  tool that has ability to capture and represent complex input/output relationships. This study describes application of neural networks in modeling of the Kenyan currency (KES) exchange rates volatility against four foreign currencies namely; USA dollar (USD), European currency (EUR), Great Britain Pound (GBP) and Japanese Yen (JPY) foreign currencies. The general objective of the proposed study is to model the Kenyan exchange rate volatility and confirm applicability of neural network model in the forecasting of foreign exchange rates volatility. In our case the Multilayer Perceptron (MLP) neural networks with back-propagation learning algorithm will be employed. The specific objectives of the study is to build the neural network for the Kenyan exchange rate volatility and examine the properties of the network, finally to forecast the volatility against four other major currencies. The proposed study will use secondary data of the mean daily exchange rates between the major currencies quoted against the Kenyan shilling. The data will be acquired from the central bank of Kenya's (CBK) website collected for ten years of trading period between the years 2005 to 2017. The data will be analyzed using both descriptive and inferential statistics, with the aid of R's neuralnet package. A number of performance metrics will be employed to evaluate the model. Conclusion and recommendations will be made at the end of the study.

Impact of external currency exposures on macroeconomic policies

2020 ◽  
pp. 23-40
Author(s):  
I. V. Prilepskiy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Positive Impact ◽  
Exchange Rate Regime ◽  
Macroeconomic Policies ◽  
Panel Regressions ◽  
Financial Account ◽  
Currency Exposure ◽  
Cross Country ◽  
The Impact

Based on cross-country panel regressions, the paper analyzes the impact of external currency exposures on monetary policy, exchange rate regime and capital controls. It is determined that positive net external position (which, e.g., is the case for Russia) is associated with a higher degree of monetary policy autonomy, i.e. the national key interest rate is less responsive to Fed/ECB policy and exchange rate fluctuations. Therefore, the risks of cross-country synchronization of financial cycles are reduced, while central banks are able to place a larger emphasis on their price stability mandates. Significant positive impact of net external currency exposure on exchange rate flexibility and financial account liberalization is only found in the context of static models. This is probably due to the two-way links between incentives for external assets/liabilities accumulation and these macroeconomic policy tools.

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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