scholarly journals The Exchange Rate and Consumer Prices in Pakistan: Is Rupee Devaluation Inflationary?

2002 ◽  
Vol 41 (2) ◽  
pp. 107-120 ◽  
Author(s):  
Ehsan U. Choudhri ◽  
Mohsin S. Khan
Keyword(s):  
Exchange Rate ◽  
Empirical Analysis ◽  
Consumer Prices ◽  
Recent Developments ◽  
Popular View ◽  
Short Run ◽  
Empirical Tests ◽  
The Exchange Rate ◽  
Exchange Rate Changes ◽  
The Empirical Analysis

This paper challenges the popular view that devaluation of the rupee is inflationary. Recent developments in the theoretical literature are reviewed to explain why consumer prices would be unresponsive to exchange rate changes in the short run. Then empirical tests are conducted for Pakistan during the period 1982 to 2001 to examine whether inflation is systematically related to changes in the exchange rate. The empirical analysis finds no association between rupee devaluations and inflation in Pakistan. It appears, therefore, that concerns about the inflationary consequences of rupee devaluation are unsupported by the facts.

scholarly journals An Econometric Analysis of the Relationship between Changes in Government Bonds, Exchange Rate and Inflation Dynamics in South Africa

2018 ◽  
Vol 10 (4(J)) ◽  
pp. 165-173
Author(s):  
Sanusi K A ◽  
Meyer D F
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Empirical Analysis ◽  
Inflation Rate ◽  
Series Data ◽  
Government Bond ◽  
Government Bonds ◽  
Depth Analysis ◽  
The Exchange Rate ◽  
The Empirical Analysis

The study examined the dynamic interaction between government bonds, exchange rate and inflation in South Africa. The study follows a quantitative research method, using monthly time series data from 2007 to 2017 within the framework of a Vector Autoregressive Analysis (VAR). Evidence from the empirical analysis shows that government bond accounts for significant variation in the exchange rate and inflation rate within the study period. The causality test also suggests the presence of uni-directional causal relationships from government bonds to exchange rate, and also to the inflation rate. The principal conclusion that emanates from the empirical analysis is that government bonds are an important policy instrument in the management of the exchange rate and the inflation rate in South Africa. The study recommends that the South African Reserve Bank is a coordinator of government bond and should carry out an in-depth analysis of the economic conditions before issuing the government bonds, taking into account its impeding effects on the exchange rate and inflation rate and many other macroeconomic variables. 

EXCHANGE RATE PASS-THROUGH INTO INDUSTRY-SPECIFIC PRICES: AN ANALYSIS WITH INDUSTRY-SPECIFIC EXCHANGE RATES

2019 ◽  
pp. 1-33
Author(s):  
Hülya Saygılı ◽  
Mesut Saygılı
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Indirect Effects ◽  
Transition Process ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through

This paper examines the heterogeneity of exchange rate pass-through into industry-specific import, producer, and consumer prices. Results show that depending on the imported input contents, price responsiveness to the aggregate and relative exchange rate changes displays significant differences. We found that direct exchange rate impacts are more significant than indirect effects. The importance of the indirect effects is largely influenced from energy, basic metal, and chemical industries that provide intermediate inputs to others. The time horizon plays a role in the transition process: exchange rate pass-through tends to get stronger and spread to different price indices over time. The short-run impacts of aggregate exchange rate changes are not significant, while relative exchange rate changes partially transmit to producer and consumer prices in low-import content industries. In the long run direct impacts of both aggregate and relative exchange rates are significant on import prices in all industries and producer prices in high-import content industries. Another interesting finding is that the relative and aggregate exchange rate changes have opposing impacts on domestic prices: asymmetric information about industry-specific exchange rates can create pricing opportunities.

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.

scholarly journals Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2006 ◽  
Vol 96 (3) ◽  
pp. 552-576 ◽  
Author(s):  
Philippe Bacchetta ◽  
Eric van Wincoop
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
Exchange Rate Volatility ◽  
Order Flow ◽  
Macroeconomic Variables ◽  
Symmetric Information ◽  
Macroeconomic Fundamentals ◽  
The Exchange Rate ◽  
Exchange Rate Changes

Empirical evidence shows that most exchange rate volatility at short to medium horizons is related to order flow and not to macroeconomic variables. We introduce symmetric information dispersion about future macroeconomic fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence, the model implies that (a) observed fundamentals account for little of exchange rate volatility in the short to medium run, (b) over long horizons, the exchange rate is closely related to observed fundamentals, (c) exchange rate changes are a weak predictor of future fundamentals, and (d) the exchange rate is closely related to order flow.

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan

2017 ◽  
Vol 18 (4) ◽  
pp. 368-380
Author(s):  
Abdul Rashid ◽  
Farooq Ahmad ◽  
Ammara Yasmin
Keyword(s):  
Exchange Rate ◽  
Credit Default Swap ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Credit Default ◽  
Macroeconomic Indicators ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate

Purpose This paper aims to empirically examine the long- and short-run relationship between macroeconomic indicators (exchange rates, interest rates, exports, imports, foreign reserves and the rate of inflation) and sovereign credit default swap (SCDS) spreads for Pakistan. Design/methodology/approach The authors apply the autoregressive distributed lag (ARDL) model to explore the level relationship between the macroeconomic variables and SCDS spreads. The error correction model is estimated to examine the short-run effects of the underlying macroeconomic variables on SCDS spreads. Finally, the long-run estimates are obtained in the ARDL framework. The study uses monthly data covering the period January 2001-February 2015. Findings The results indicate that there is a significant long-run relationship between the macroeconomic indicators and SCDS spreads. The estimated long-run coefficients reveal that both the interest rate and foreign exchange reserves are significantly and negatively, whereas imports and the rate of inflation are positively related to SCDS spreads. Yet, the results suggest that the exchange rate and exports do not have any significant long-run impact on SCDS spreads. The findings regarding the short-run relationship indicate that the exchange rate, imports and the rate of inflation are positively, whereas the interest rate and exports are negatively related to SCDS spreads. Practical implications The results suggest that State Bank of Pakistan should design monetary and foreign exchange rate polices to minimize unwanted variations in the exchange rate to reduce SCDS spreads. The results also suggest that it is incumbent to Pakistan Government to improve the balance of payments to reduce SCDS spreads. The findings also suggest that the inflation targeting policy can also help in reducing SCDS spreads. Originality/value This is the first study to examine the empirical determinants of SCDS spreads for Pakistan. Second, it estimates the short- and long-run effects in the ARDL framework. Third, it considers both internal and external empirical determinants of SCDS spreads.

Determinants of Workers’ Remittances in Nepal: An Empirical Study

2021 ◽  
Vol 3 (1) ◽  
pp. 126-140
Author(s):  
Naw Raj Bhatt ◽  
Melina Kharel
Keyword(s):  
Exchange Rate ◽  
Poverty Eradication ◽  
Exogenous Variables ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
External Sector ◽  
The Relationship

Background: Remittance has a crucial role in external sector stability, poverty eradication, and social as well as the human development of developing countries like Nepal. The determinants of remittance are widely discussed in the existing works of literature from altruism and portfolio approaches. Since the share of remittance in the current account, current transfer income, and forex reserve is significantly high, the study of major determinants of increasing remittance inflow is necessary. In this regard, this paper examines the relationship between remittance inflow, exchange rate, and workers outflow in Nepal. Objective: The main objective of this study was to examine the effect of the exchange rate and workers outflow on the remittance inflow of Nepal. Methods: This study employs the ARDL approach to co-integration to examine the relationship between remittance inflow as an endogenous variable and exchange rate and workers outflow as exogenous variables. Results: The coefficients of the exchange rate and workers outflow are significant and positive in long run as well as in the short-run whereas coefficients of the first lag value of workers outflow and remittance inflow itself are significant but negative. Conclusion: The significant and positive coefficient of exchange rate indicates that depreciation of Nepalese currency with US dollar (or rise in the exchange rate) rises the remittance inflow. Further, the remittance inflow also increases with an increase in workers outflow. The effect of the exchange rate on remittance is greater than that of workers outflow in both the long-run and short-run.

scholarly journals The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

2019 ◽  
Vol 22 (3) ◽  
pp. 117-129
Author(s):  
Jana Šimáková ◽  
Nikola Rusková
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchanges ◽  
The Exchange Rate ◽  
Chemical Companies ◽  
The Empirical Analysis

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

scholarly journals The mutual specification of genres and audiences: Reflective two-mode centralities in person-to-culture data

2017 ◽  
Author(s):  
Omar Lizardo
Keyword(s):  
Network Analysis ◽  
Empirical Analysis ◽  
Network Theory ◽  
Cultural Sociology ◽  
Population Based ◽  
Criterion Validity ◽  
Measurement Framework ◽  
Recent Developments ◽  
Cultural Choices ◽  
The Empirical Analysis

Recent developments at the intersection of cultural sociology and network theory suggest that the relations between persons and the cultural forms they consume can be productively analyzed using conceptual resources and methods adapted from network analysis. In this paper I seek to contribute to this developing line of thinking on the culture-networks link as it pertains to the sociology of taste. I present a general analytic and measurement framework useful for rethinking traditional survey (or population) based data on individuals and their cultural choices as a “two mode” persons X genres network. The proposed methodological tools allow me to develop a set of “reflective” metrics useful for ranking both persons and genres in terms of the pattern of choices and audience composition embedded in the cultural network. The empirical analysis shows that these metrics have both face and criterion validity, allowing us to extract useful information that would remain out of reach of standard quantitative strategies. I close by outlining the analytic and substantive implications of the approach.

scholarly journals Exchange Rate Pass-Through to Domestic Prices: Evidence from OECD Countries

2017 ◽  
Author(s):  
Harun Bal ◽  
Mehmet Demiral ◽  
Filiz Yetiz
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Price Index ◽  
Oecd Countries ◽  
Domestic Prices ◽  
Macroeconomic Indicators ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through

There is an immense literature on the effects of exchange rate changes on macroeconomic indicators, specifically on the trade balance, growth, inflation, and overall productivity in open economies. One of the main attempts in the related literature is about ascertaining whether the exchange rate fluctuations alter domestic prices. This possible mechanism is called as the pass-through effect which is getting more important since the argument that exchange rate adjustment is a part of the solution for global rebalancing is empirically well-supported. Starting from this claim, this study purposes to explore whether there is an exchange rate pass-through effect in 19 high-income OECD countries over the period 1990-2015. To this end, using a panel data set of consumer price index, producer price index proxied by wholesale price index, the nominal effective exchange rates, and industrial production presented by the value-added share of industry sectors in gross domestic product, structural vector autoregressive (VAR) and autoregressive distributed lag (ARDL) models are estimated in an unbalanced panel data analysis procedure. Results reveal that exchange rate pass-through effects on the domestic prices are significant but not that strong in both the short-run and the long-run. Expectedly, the pass-through effects tend to diminish over time. The study concludes that policy-makers need to consider policy actions accompanying the exchange rate changes to ensure domestic price stability which consequently interacts with many macroeconomic indicators.

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