scholarly journals The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia

2021 ◽  
Author(s):  
Andrey Duván Rincón-Torres ◽  
Kimberly Rojas-Silva ◽  
Juan Manuel Julio-Román
Keyword(s):  
Exchange Rate ◽  
Financial Stability ◽  
Return Volatility ◽  
Event Analysis ◽  
Treasury Bonds ◽  
Bond Return ◽  
The Exchange Rate ◽  
Analysis Models ◽  
Fx Market ◽  
Bid Ask Spreads

We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information to the TES market, but the opposite does not completely hold: A one percent COP depreciation leads to a persistent reduction of TES prices between 0.05% and 0.22%. However, a 1% TES price increase has a very small effect and not entirely significant on the exchange rate, i.e. a COP appreciation between 0.001% and 0.009%. Furthermore, TRM return volatility increases do not affect bond return volatility but its liquidity, i.e. the bid/ask quote number and volume. These results are coherent with the fact that the FX market more efficiently reflects the effect of shocks than the TES market, which may be due to its low liquidity and concentration on a specific habitat. These results have implications for the design of financial stability policies as well as for private portfolio design, rebalancing and hedging.

scholarly journals The Relationship of BIST Sector Indices with Exchange Rate Volatility

2021 ◽  
Vol 8 (1) ◽  
pp. 56-74
Author(s):  
Necmiye Serap Vurur
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Industrial Sector ◽  
Suitable Model ◽  
Return Volatility ◽  
Causality Test ◽  
Daily Data ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
The Relationship

Through globalization, the increased integration in financial markets has made the relationship between exchange rate and stocks important. The study aims to model the exchange rate volatility using daily data for the period 04.01.2010-15.10.2020 and investigate the causality relationship between sector returns and exchange rate return volatility. In order to model the volatility of the exchange rate return series, the GARCH model was used to reveal the possible asymmetry feature in the series. As a result of the model applications, GARCH (2,2) was determined as the most suitable model to measure volatility modelling. Then, the Granger causality test was used to see whether there is a relationship between BIST sector return indices and exchange rate return volatility. As a result of the study, one notes that there is a uni-directional causality from the exchange rate return volatility series to the service, technology, and industrial sector indices. There is a bi-directional causality relationship between the financial sector index and the exchange rate return volatility series. It is noteworthy that the causality relationship between the BIST100 index and the exchange rate is towards the volatility of the exchange rate return series from the BIST 100 index, unlike the sector indices. According to this result, it is seen that the changes in the dollar exchange rate affect the decisions of the investors who will invest in the relevant index. The results show that in the case of Turkey, mostly traditional theories are valid.

scholarly journals Estimando a Densidade da Taxa de Câmbio Usando Modelos Paramétricos: o Caso do Brasil

2007 ◽  
Vol 5 (1) ◽  
pp. 29
Author(s):  
Marcos Massaki Abe ◽  
Eui Jung Chang ◽  
Benjamin Miranda Tabak
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Financial Stability ◽  
Options Market ◽  
Options Markets ◽  
Empirical Results ◽  
The Exchange Rate ◽  
Density Forecasts ◽  
Future Exchange ◽  
Option Market

This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.

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.

Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

2017 ◽  
Vol 24 (1) ◽  
pp. 54-70
Author(s):  
Hasanah Setyowati ◽  
Riyanti Ningsih
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Analysis Model ◽  
Macroeconomic Factors ◽  
Return On Equity ◽  
Equity Ratio ◽  
Regression Techniques ◽  
The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

On the Exchange Rate Policy

2010 ◽  
pp. 21-28
Author(s):  
K. Yudaeva
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Exchange Rate Policy ◽  
Institutional Changes ◽  
Crisis Period ◽  
Local Currency ◽  
High Inflation ◽  
Rate Policy ◽  
The Exchange Rate

The level of trust in the local currency in Russia is very low largely because of relatively high inflation. As a result, Bank of Russia during crisis times can not afford monetary policy loosening and has to fight devaluation expectations. To change the situation in the post-crisis period Russia needs to live through a continuous period of low inflation. Modified inflation targeting can help achieve such a result. However, it should be amended with institutional changes, particularly development of hedging instruments.

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.

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.

The long-run stability of a small, open economy under crawling peg regime

2002 ◽  
Vol 52 (1) ◽  
pp. 57-78
Author(s):  
S. Çiftçioğlu
Keyword(s):  
Exchange Rate ◽  
Open Economy ◽  
Risk Premium ◽  
Small Open Economy ◽  
Exchange Rate Policy ◽  
Price Stability ◽  
Output Stability ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The paper analyses the long-run (steady-state) output and price stability of a small, open economy which adopts a “crawling-peg” type of exchange-rate regime in the presence of various kinds of random shocks. Analytical and simulation results suggest that with the exception of money demand shocks, an exchange rate policy which involves a relatively higher rate of indexation of the exchange rate to price level is likely to lead to the worsening of price stability for all types of shocks. On the other hand, the impact of adopting such a policy on output stability depends on the type of the shock; for policy shocks to the exchange rate and shocks to output demand, output stability is worsened whereas for the shocks to risk premium of domestic assets, supply price of domestic output and the wage rate, better output stability is achieved in the long run.

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