scholarly journals Panel Data Analysis of Exchange Rate for Fragile Five

2017 ◽  
Vol 5 (1) ◽  
pp. 264
Author(s):  
Assoc. Prof. Dina Çakmur Yildirtan ◽  
Lecturer Esengül Salihoğlu
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Exchange Rates ◽  
Money Supply ◽  
Panel Data Analysis ◽  
Developed Countries ◽  
Causality Test ◽  
Cointegration Tests ◽  
The Exchange Rate ◽  
Panel Vector Autoregression

After the Bretteon Woods System, as a result of the preffering especially the flexible exchange rate systems of developed countries the exchange rate risk has emerged. The transfer for the flexible exchange systems in the majority of developing countries started with the financial liberalization in the 1990’s. In this period, the progress of information technology and globalization have rendered exchange rate policies and exchange rates a priority for countries and exchange rates have become effective on macroeconomic indicators. In this study was examined exchange rate behaviour of Morgan Stanley’s “Fragile Five Countries” which are Brazil, India, Indonesia, South Africa and Turkey. For this purpose with the Panel Cointegration Tests was investigated if there is long termed relationship between the exchange rate and international reserves, money supply and The Bloomberg U.S. Financial Conditions Index(BFCIUS). As well as, Granger Causality test is applied using Panel Data Causality Techniques are used to uncover the direction of relation between variables. Thus Panel Vector Autoregression (PVAR) Model was estimated among the variables. The present study is distinguished from previous studies by investigation of long term relationship between also The BFCIUS, exchange rate. Data base is containing from the exchange rate index, international reserve index, Money supply index and BFCIUS variables presented by Bloomberg and monthly data includes 1015 observations done in the period of March 2000 – January 2017.

scholarly journals The COVID-19 Process and the Exchange Rate Relation: An Application on Turkey

2020 ◽  
Author(s):  
Eda Dineri ◽  
İbrahim Çütçü
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Structural Breaks ◽  
Health Problems ◽  
Cointegration Test ◽  
Causality Test ◽  
Economic Changes ◽  
The World ◽  
The Exchange Rate ◽  
The Impact

Abstract The recent shocks in supply and demand in the world are not due to unexpected economic reasons; in fact, they are related to Covid-19 that causes rapidly spreading global health problems and life threats around the world. While the global powers are dealing with the social problems created by Covid-19 pandemic, they should not neglect the economic changes created by this pandemic. The most important of these economic changes in developing countries with high fragility is exchange rates, because exchange rates can directly affect many macroeconomic variables, from inflation to foreign trade, from the balance of payments to interests. In countries with high fragility due to the effect of pandemic, economic uncertainty causes fluctuations in the exchange rate. Is the reason for the change in the exchange rate, the number of cases or economic risks that may occur due to possible health problems?In this study, the impact of the number of new cases and the number of new deaths for the process of Covid-19 pandemic on the exchange rate in Turkey is examined. The daily data consider the number of new cases, the number of new deaths and exchange rate for the period of 16.03.2020–06.05.2020. The first step of the analysis, the stationary of the series is tested by Lee and Strazicich (2003) unıt root test which allowed structural break. Hatemi-J (2008) Cointegration Test that allow two structural breaks and Hacker-Hatemi-J Bootstrap causality test are used in the analysis. In the results of the Hatemi- J (2008) cointegration test, there is a medium and long-term relationship, with under structural breaks between the number of new cases and the number of new deaths and the exchange rate. According to the results of the analysis, it can be concluded that the number of new cases and the number of new deaths have a significant effect on the exchange rate, causing uncertainty in the economy.JEL Classification: I19, F31, C22

Commodity prices and exchange rates: evidence from commodity-dependent developed and emerging economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Saba Haider ◽  
Mian Sajid Nazir ◽  
Alfredo Jiménez ◽  
Muhammad Ali Jibran Qamar
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Forecast Error ◽  
Commodity Prices ◽  
Developed Countries ◽  
Emerging Countries ◽  
Superior Performance ◽  
Content Type ◽  
Commodity Export ◽  
The Exchange Rate

PurposeIn this paper the authors examine evidence on exchange rate predictability through commodity prices for a set of countries categorized as commodity import- and export-dependent developed and emerging countries.Design/methodology/approachThe authors perform in-sample and out-of-sample forecasting analysis. The commodity prices are modeled to predict the exchange rate and to analyze whether this commodity price model can perform better than the random walk model (RWM) or not. These two models are compared and evaluated in terms of exchange rate forecasting abilities based on mean squared forecast error and Theil inequality coefficient.FindingsThe authors find that primary commodity prices better predict exchange rates in almost two-thirds of export-dependent developed countries. In contrast, the RWM shows superior performance in the majority of export-dependent emerging, import-dependent emerging and developed countries.Originality/valuePrevious studies examined the exchange rate of commodity export-dependent developed countries mainly. This study examines both developed and emerging countries and finds for which one the changes in prices of export commodities (in case of commodity export-dependent country) or prices of major importing commodities (in case of import-dependent countries) can significantly predict the exchange rate.

scholarly journals Evidence of Inflation-Poverty Causality in Nigeria based on the Toda-Yamamoto Dynamic Causality Test.

2020 ◽  
Vol 6 (1) ◽  
pp. 277-286
Author(s):  
Ibrahim Abdulhamid Danlami ◽  
Mohamad Helmi Hidthiir ◽  
Sallahuddin Hassan
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Research Work ◽  
Control Variables ◽  
Causality Test ◽  
Time Poverty ◽  
Local Currency ◽  
Societal Welfare ◽  
The Exchange Rate

Purpose: One of the known global consequences of inflation is increasing and causing poverty. Most studies follow suit and empirically investigated the effect of inflation on poverty without taking into cognizance that poverty might as well cause inflation. The main aim of this study is to investigate the nature of causality between inflation and poverty in Nigeria. Methodology This research work employs the famous Toda-Yamamoto causality test to investigate the nature of causality between inflation and poverty in Nigeria for the period 1980-2016, with money supply and exchange rate as control variables. Findings: The results reveal that there is bidirectional causality between inflation and poverty, none of the variables cause money supply and none of them cause exchanges rate. Implication: Even though the money supply does not cause poverty directly, it does cause inflation, and inflation in turns causes poverty. Also, the exchange rate does not cause inflation directly, but it does cause poverty, and at the same time, poverty causes inflation. Therefore, the study calls the attention of the policymakers to be cautious in making policies concerning money supply and local currency devaluations (exchange rate) as they cause both inflation and poverty directly and indirectly, consequently, they affect the societal welfare in general.

scholarly journals Panel Analysis of Monetary Model of ASEAN-5 Exchange Rates

2018 ◽  
Vol 11 (11) ◽  
pp. 1
Author(s):  
Noor Zainab Tunggal ◽  
Shariff Umar Shariff Abd. Kadir ◽  
Venus-Khim Sen Liew
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Money Supply ◽  
The United States ◽  
Real Income ◽  
Nominal Exchange Rate ◽  
Monetary Model ◽  
Nominal Exchange Rates ◽  
The Exchange Rate

In this study, we examined whether the exchange rates in ASEAN-5 countries are driven by monetary fundamentals. We applied the panel unit root tests and found that the United States denominated nominal exchange rates of Malaysian Ringgit, Indonesian Rupiah, Philippines Peso, Singapore Dollar, and Thailand Baht are all integrated of order one. Meanwhile, relative money supply and relative real income are also integrated in the same order. Nonetheless, the relative interest rate is integrated in order zero, and it implies the uncovered interest rate parity held in ASEAN-5. By using a panel cointegration test pioneered by Pedroni (2000, 2004), we found evidence that there is a long-run relationship between nominal exchange rate and its monetary fundamentals. Consistent with the monetary model of the exchange rate, relative money supply is positively related to nominal exchange rates, while relative real income is negatively related to nominal exchange rates. Therefore, this study reveals the importance of relative real money supply and relative income for the exchange rate market players to predict and monitor ASEAN-5 exchange rates.

scholarly journals Penerapan Vector Error Correction Model pada Variabel Makro Ekonomi di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 287
Author(s):  
Moh. Faizin
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Time Series Data ◽  
Good Condition ◽  
Series Data ◽  
Causality Test ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
Macro Variables

In this time, the countries can be said to be in a good condition of the national economy if there are some indicators in positive economic macro, it is including the decline of inflation, the amount of money circulating is also decline, and the exchange rate strengthening against foreign currencies and reduced interest rates. The purpose of this study is to analyze the causality and cointegration relationships of economic macro variables, by using time series data for 2010-2019 and using the VECM model. The results of the study found that there is no causality relationship between inflation and the BI rate. Likewise, the variable money supply does not affect the BI rate. The exchange rate also does not affect each other on the BI rate variable. Causality test results also indicate that the money supply does not have a causality relationship to inflation, while the exchange rate variables influence each other on inflation. To exchange rates, it does not give affect in the variable amount of money in circulation each other. By explanation of the estimation results of the VECM model, it shows the long-term and short-term relationships of each variable generally.

scholarly journals Pengaruh Jumlah Uang Beredar dan Kurs terhadap Harga Beras di Indonesia dengan Inflasi sebagai Variabel Intervening

2021 ◽  
Vol 12 (2) ◽  
pp. 168-183
Author(s):  
Muhammad Syariful Anam ◽  
Dian Luthvita Nadila ◽  
Iskandar Iskandar
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Money Supply ◽  
Secondary Data ◽  
Analysis Model ◽  
The Third ◽  
Insignificant Effect ◽  
Rice Prices ◽  
The Exchange Rate ◽  
Path Analysis Model

The study aims to determine the effect of the money supply and exchange rates on rice prices with inflation as an intervening variable. Secondary data is time series 2015-2019 from BPS and BI, and is analyzed using a path analysis model which is an extension of multiple linear regression. The results showed that the money supply had a negative and significant effect on inflation, while the exchange rate had a positive and insignificant effect on inflation. Another finding is that the money supply has a positive and significant effect on rice prices, the exchange rate has a negative and insignificant effect on rice prices, and inflation has a negative and significant effect on rice prices. The third finding is that inflation as an intervening variable only mediates the money supply to the price of rice.

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.

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

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