scholarly journals Determining Pak Rupee Exchange Rates vis-à-vis Six Currencies of the Industrial World: Some Evidence Based on the Traditional Flow Model

2001 ◽  
Vol 40 (4II) ◽  
pp. 885-897
Author(s):  
Razzaque H. Bhatti
Keyword(s):  
Exchange Rates ◽  
Coefficient Of Variation ◽  
Flow Model ◽  
French Franc ◽  
Swiss Franc ◽  
Test Statistics ◽  
Industrial Countries ◽  
Japanese Yen ◽  
The U.S ◽  
German Mark

Pak-rupee exchange rates vis-à-vis many currencies of the industrial world have weakened continuously and persistently since Pakistan abandoned fixed exchange rates in April 1982. This proposition is strongly supported by descriptive test statistics, as shown in Table 1, such as mean, standard deviation and coefficient of variation of six Pak rupee exchange rates—against the U.S. dollar, British pound, German mark, Japanese yen, Swiss franc and French franc—over the period 1982q1-2000q4. Based on these descriptive statistics, it is evident that Pak rupee has depreciated persistently against all currencies of the industrial countries in question over the period under investigation; for example, it has depreciated by 324.05 percent against the British pound, 406.360 percent against the U.S. dollar, 344.53 percent against the French franc, 498.48 percent against the Swiss franc, 477.78 percent against the German mark and 986.25 percent against the Japanese yen since April 1982. As evidenced by coefficient of variation, Pak rupee has weakened enormously against all currencies of the industrial world, while it has weakened relatively more alarmingly against the Japanese yen, Swiss franc and German mark.

scholarly journals U.S. Dollar Asymmetry And Exchange Rate Volatility

2011 ◽  
Vol 13 (2) ◽  
pp. 1 ◽  
Author(s):  
Nikiforos T. Laopodis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Volatility ◽  
French Franc ◽  
Stochastic Behavior ◽  
High Volatility ◽  
The U.S ◽  
German Mark

<span>he paper explores the stochastic behavior of six exchange rates three EMS and three non-EMS during the U.S. dollar appreciation (before 1985) and depreciation (after 1985) using Exponential GARCH-M model. The results showed that high volatility in all rates was present before 1985, increased dramatically thereafter, and decreased later for the non-EMS rates. In general, U.S. dollar depreciations increased the volatility more than appreciations did for the French franc, the Italian lira, and the German mark.</span>

scholarly journals Doubts About the McKinnon Standard

1988 ◽  
Vol 2 (1) ◽  
pp. 105-112 ◽  
Author(s):  
Rudiger Dornbusch
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Stability ◽  
Business Community ◽  
Empirical Basis ◽  
Monetary System ◽  
Fertile Soil ◽  
Japanese Yen ◽  
The U.S ◽  
German Mark

[This paper responds to “Monetary and Exchange Rate Policies for International Financial Stability: A Proposal,” by Ronald I. McKinnon, in this same issue.] For over ten years, Ronald McKinnon has advocated a new monetary system centered on fixed exchange rates between the Japanese yen, the German mark, and the U.S. dollar. His proposal has fallen on fertile soil because the dramatic volatility in exchange rates makes the financial press and the business community grasp for ready answers. McKinnon's scheme seems to solve the problem of currency instability and to judge from his presentation there are only merits and not one shortcoming. In fact, however, there is little theoretical or empirical basis for his standard. To support this criticism, I will first summarize several of McKinnon's key propositions and prescriptions and then review these in a critical spirit.

International Reserves Accumulation

2011 ◽  
pp. 88-104
Author(s):  
Michael Gapen ◽  
Michael Papaioannou
Keyword(s):  
Information Technology ◽  
Exchange Rates ◽  
International Reserves ◽  
Fiscal Deficit ◽  
Industrial Countries ◽  
Current Account Deficits ◽  
World Markets ◽  
Reserve Accumulation ◽  
The Cost ◽  
The U.S

This paper examines the global implications from recent reserve accumulation in Asia. Advances in information technology and closer integration of world markets have complicated economic policymaking by increasing countries’ vulnerability to capital account crises and introducing new channels of risk transmission. To safeguard against these developments, many countries accumulated unprecedented levels of international reserves. Current account deficits in some industrial countries have supported such reserve accumulation, in particular for Asian countries that have promoted export-led growth underpinned by competitive exchange rates. Asian economies have been willing to absorb the cost of reserve accumulation rather than adjusting their exchange rate levels. This strategy, however, has increased the likelihood of protectionist measures from abroad, which could lead to contractions in trade and output. Moreover, these dynamics may transition to a generalized real appreciation of the major Asian currencies, while mounting pressure for a reduction of the U.S. fiscal deficit to sustainable levels.

scholarly journals How and What Influences from COVID-19 Have Impacted Stock Prices and Exchange Rates? the Case of Japan

2021 ◽  
Vol 10 (2) ◽  
pp. 32
Author(s):  
Yutaka Kurihara
Keyword(s):  
Exchange Rates ◽  
Stock Prices ◽  
Food Service ◽  
The State ◽  
The Other ◽  
State Of Emergency ◽  
Market Participants ◽  
Japanese Yen ◽  
Death Cases ◽  
The U.S

This study reports the empirical analyzes of the COVID-19 on stock prices and exchange rates of Japan. Newly confirmed cases and death cases have significantly positive impacts on Japanese stock prices. One reason is that Japanese stock prices recently move together with U.S. stock prices. Under this situation, the U.S. could recover from the damage of COVID-19 ahead of other countries and its stock prices have increased hugely, so the effects on Japanese stock prices have been quite large. The rising of the U.S. stock prices have had a big influence so as to deny the adverse effects by COVID-19 in Japan. The other reason is that although the stock prices of tourism, food service, and so on were damaged in Japan, other industry stock prices have been increasing. The coefficients of declaration of the state of emergency/anti-infection measures are positive which denotes that the stock market may have taken the measure favorably. However, they are positive, but they are also insignificant. For the exchange rates, the newly confirmed case is significant and positive which means that it promotes depreciation of the Japanese Yen. It seems natural because if the situation of COVID-19 becomes serious, market participants consider investment in Japan as risky. Finally, both of the cases of confirmed cases and death cases of COVID-19 are negatively and significantly related with the flow of people. The coefficient of declaration of the state of emergency/anti-infection measures is negative, however, they are not significant to the flow of people.

scholarly journals A Test Of Purchasing Power Parity (PPP) Theory And The International Fisher Effect: A Case Of The U.S. Dollar And The Japanese Yen

2011 ◽  
Vol 7 (1) ◽  
pp. 82
Author(s):  
Kishore G. Kulkarni
Keyword(s):  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Explanatory Power ◽  
Early Years ◽  
Purchasing Power ◽  
Fisher Effect ◽  
Power Parity ◽  
Time Period ◽  
Japanese Yen ◽  
The U.S

The present paper discusses the theories of Purchasing Power Parity (PPP) and the International Fisher Effect dating back to the early years of the twentieth century, and tests their evidence for the recent time period data for the U.S. dollar Yen exchange rate. The results show that both these theories provide a satisfactory explanation of the behavior of exchange rates. One of the main reasons why these theories lost their explanatory power in recent years was the inflexibility of exchange rates in the Bretton Woods System. However, as the exchange rates became flexible again in recent years, the theories have become more applicable. It is further observed that the quarterly data are more relevant for these theories than the monthly data.

scholarly journals Extreme volatility dependence in exchange rates

2021 ◽  
Vol 40 (82) ◽  
pp. 25-56
Author(s):  
Magnolia Miriam Sosa Castro ◽  
Christian Bucio Pacheco ◽  
Héctor Eduardo Díaz Rodríguez
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Asymmetric Volatility ◽  
The Exchange Rate ◽  
Japanese Yen ◽  
Mexican Peso ◽  
The U.S

This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model conditional

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

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