scholarly journals How do Exports and Imports Distress Foreign Exchange Reserves in Indonesia? A Vector Auto-Regression Approach

2020 ◽  
Author(s):  
S. Hariadi ◽  
A.Z. Tayibnapis ◽  
N. Irawati
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Reserves ◽  
Regression Approach ◽  
Vector Auto Regression ◽  
Auto Regression

scholarly journals Interdependence among ASEAN 5 in Foreign Exchange Market

2017 ◽  
Vol 17 (1) ◽  
pp. 53
Author(s):  
Yunita Astanti Unlinnuha
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Positive Response ◽  
Granger Causality Test ◽  
Exchange Market ◽  
Causality Test ◽  
Us Dollar ◽  
Vector Auto Regression ◽  
The Relationship ◽  
Auto Regression

This paper examines the relationship between ASEAN-5 foreign exchange market and US Dollar in last 5 years. The data used is the currency of ASEAN-5 countries that are Indonesia, Malaysia, Vietnam, and Thailand. The data was analyzed using VAR (Vector Auto Regression). Among ASEAN 5, there are interdepence relationship in foreign exchange market. The strongest interdepence relationship are showed between Indonesia, Singapore and Malaysia, while Phillipines and Thailand have less influence toward others. Foreign exchange market among ASEAN 5 shows positive response which has been proven by Granger Causality test.

scholarly journals An Empirical Test on Linkage Between Foreign Exchange Market and Stock Market: Evidence from Hungary, Czech Republic, Poland and Romania

2017 ◽  
Vol 13 (31) ◽  
pp. 25
Author(s):  
Ngo Thai Hung
Keyword(s):  
Exchange Rate ◽  
Czech Republic ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Stock Return ◽  
Foreign Exchange Market ◽  
Empirical Test ◽  
Causality Test ◽  
Vector Auto Regression ◽  
Auto Regression

The paper aims to examine the causal relationship between the stock prices and exchange rates in Hungary, Czech Republic, Poland and Romania. The investigation employs Granger’s Causality test and Vector Auto Regression technique on monthly stock return and the foreign exchange rate for the period October 31, 2008 to September 18, 2017. The major findings of the study that there is no Granger’s causality between the exchange rate return and stock return in these countries. The study also uses Vector Auto Regression modeling to confirm that though stock return and exchange rate are related to each other but any consistent relationship does not exist between them. Our results have provided beneficial information for investors, government policies and researchers.

scholarly journals Determinants of foreign exchange reserves in Serbia and North Macedonia

2020 ◽  
Vol 65 (226) ◽  
pp. 103-120
Author(s):  
Mile Bosnjak ◽  
Vlatka Bilas ◽  
Gordana Kordic
Keyword(s):  
Monetary Policy ◽  
Quantile Regression ◽  
Foreign Exchange ◽  
Economic Fluctuations ◽  
Foreign Exchange Reserves ◽  
Quarterly Data ◽  
Regression Approach

This paper employs a quantile regression approach to explore the determinants and properties of international foreign exchange reserves in Serbia and North Macedonia, at various foreign exchange levels. The observed period covers quarterly data for 2005q1-2019q1. The results reveal quantile-dependent determinants of foreign exchange reserves and enable comparison between the two countries, showing co-movements between monetary policy and economic fluctuations. Following the estimates obtained in this research, the paper compares the role of foreign exchange reserves in Serbia and North Macedonia.

Sign in / Sign up

Export Citation Format

Share Document