scholarly journals Determining the Nominal Exchange Rate in Sri Lanka: An Application of The Lagrange Multiplier Structural Break Unit Root Test and The Ardl Co-Integration

2020 ◽  
Vol 8 (2) ◽  
pp. 57-70
Author(s):  
Iwanthika Rajakaruna ◽  
Nelson Perera
Keyword(s):  
Exchange Rate ◽  
Sri Lanka ◽  
Unit Root ◽  
Time Series Data ◽  
Structural Break ◽  
Unit Root Test ◽  
Nominal Exchange Rate ◽  
Series Data ◽  
The Impact ◽  
Bound Test

Bihari There is a vast literature on the impact of exchange rate on developing countries’ economies. This paper studies the determinants of nominal exchange rate fluctuations in Sri Lanka. It employs recent secondary macroeconomics monthly time series data (2011:01-2018:07) and tests the ARDL co-integration approach with structural break LM unit root test, which was introduced by Lee and Strazicich in 2013. Results of the bound test show that the nominal exchange rate has a long-term relationship with its determinants. Further, our empirical findings suggest that a strong depreciating link exists between the nominal exchange rate and money supply in Sri Lanka during the sample period. Outcomes are signals that identify new lessons for policy-makers to implement consistent foreign exchange policies. Doing so must consider both monetary and fiscal policy simultaneously.

scholarly journals Covid-19 Pandemic and the Market Performance Analysis: Evidence From Indonesia

2020 ◽  
Vol 11 (6) ◽  
pp. 337
Author(s):  
Achmad Nurdany ◽  
Muhammad Ghafur Wibowo ◽  
Izra Berakon
Keyword(s):  
Exchange Rate ◽  
Unit Root ◽  
Time Series Data ◽  
Market Performance ◽  
Unit Root Test ◽  
Commodity Price ◽  
Series Data ◽  
Point Selection ◽  
The Government ◽  
The Impact

This paper empirically identified the impact of the Covid-19 pandemic on market performance in Indonesia. We use a cointegrating regression model of FM-OLS and D-OLS along with Cubic Spline missing data interpolation, summary unit root test, unit root test with Dickey-Fuller breakpoint selection, and Johansen cointegration test. Daily time series data of Covid-19 cumulative case, exchange rate, IDX composite, and gold commodity price were analyzed around 119 days after the first announced case in Indonesia. The finding from FM-OLS and D-OLS analysis showed that the Covid-19 pandemic has a positive and significant impact on exchange rate and gold commodity price. The Covid-19 pandemic impact is appeared to be negative and significant in explaining IDX composite price. It seems that during the Covid-19 pandemic, people prefer to do transactions in the commodity market than neither capital nor money market. The diagnostic of cointegrating regression showed that all variables are integrated of order one I (1), and the long-run cointegration among variables in each equation exists. From the unit root test with break point selection, this study revealed that Covid-19 pandemic has an extreme impact on Indonesian market performance only in the first month after the case was announced. The government responses to mitigate the spread of the Covid-19 pandemic and to minimize the possibly profound impact of market performance are appeared to be successful. Besides, it seems that people's fear is diminished, quite high in the first month, and began to shrink in the following month.

scholarly journals Implication of Monetary Policy Rate and Interest Rate on Exchange Rate in Nigeria: 1981-2017

2019 ◽  
pp. 1-11
Author(s):  
Nnamani, Vincent ◽  
Anyanwaokoro, Mike
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Statistical Tool ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The study investigated the implication of monetary policy rate on the exchange rate and interest rate in Nigeria, 1981-2017. Because of the above-stated problems, the specific objectives are to: Investigate the effect of monetary policy rate on the exchange rate in Nigeria, determine the effect of the monetary policy rate on interest rate in Nigeria. The analysis of error correction and autoregressive lags fully covers both long-run and short-run relationships of the variable under study. The statistical tool of analysis employed in the study is Autoregressive Distributed Lags (ARDL) and Philips Peron method of stationary testing and structural breakpoint unit root test., these methods were employed to check the stationarity and breakpoint analysis of the time series data employed in this study. The study observed that monetary policy rate has a positive and significant effect on the exchange rate in Nigeria. It was also observed that the monetary policy rate has a positive and significant effect on the interest rate in Nigeria. Overall, our results indicated that the impact of monetary policy on the exchange rate was significant. There was a positive and significant relationship between monetary policy variables and exchange rate. The conclusion that is drawn from our results is that monetary policy remains an effective and potent tool for ensuring a stable exchange rate in Nigeria. The study recommended that monetary policy should be used to create a favourable investment environment by facilitating the emergence of market-based interest rate and exchange rate regimes which could attract domestic and foreign investments. Second; the Central bank of Nigeria (CBN) need to avoid ordination and balance between monetary and fiscal policies to ensure the smooth realization of monetary policy goals. Policy inconsistency or summersault to determine its policy impact before contemplating a change. Finally, there should be a coo.

scholarly journals Health Status, Labour Productivity and Economic Growth in Nigeria

2019 ◽  
pp. 1-12
Author(s):  
Kelani, Fatai Adeshina ◽  
Odunayo, Henry Adewale ◽  
Ozegbe, Azuka Elvis ◽  
Nwani, Stanley Emile
Keyword(s):  
Economic Growth ◽  
Health Status ◽  
Time Series Data ◽  
Labour Productivity ◽  
Unit Root Test ◽  
Developed Countries ◽  
Policy Framework ◽  
Series Data ◽  
The Impact ◽  
Bound Test

The quest for rapid economic growth and development has pre-occupied the minds of researchers and policy makers most especially in less developed countries. This has resulted to empirical inquiry into the causes of growth in a sustainable term. This study therefore examines the impact of health status and labour productivity on economic growth in Nigeria. By utilizing annual time series data from 1981 to 2017, the study carried out ADF unit root test to ascertain the stationarity of the series. The result confirms that the series were stationary at levels and t first difference, hence, the adoption of ARDL bound test to Co-integration. The empirical estimates of the parameters of the model show that both health status and labour productivity have positive impacts on economic growth in Nigeria. This follows economic theory as expected. A further analysis of the significance of the estimates reveals that health status plays a significant role in Nigerian growth process. However, labour productivity fails to significantly impact on growth episodes in Nigeria. Other variable which stimulates economic growth in the country is gross fixed capital formation. The study therefore recommends a policy framework towards improvement in the quality of labour through adequate funding of education and re-tooling the educational system to enhance labour productivity for a more robust growth of the economy.

scholarly journals The Impact of Macroeconomic Factors on Manufacturing Sector Value Added in Ethiopia: An Application of Bounds Testing Approach to Cointegration

2020 ◽  
Vol 23 (1) ◽  
Author(s):  
Dagim Tadesse Bekele ◽  
Meskerem Teka Haile
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Manufacturing Sector ◽  
Government Expenditure ◽  
Value Added ◽  
Series Data ◽  
Macroeconomic Variables ◽  
Long Run ◽  
The Impact ◽  
Bound Test

The role of the manufacturing sector for the economic growth and structural change is very low in Ethiopia and performing less compering with that of the other sectors in the economy. So, this research tried to look at how different macroeconomic variables affect the manufacturing sector value added by using annual time series data from 1982 to 2018 estimated by Autoregressive-Distributed Lag (ARDL). The result from the Bound test shows manufacturing sector value added has a long-run relationship with macroeconomic variables in the model. In the long-run, general inflation rate, exchange rate, and trade openness have a significant negative effect on the manufacturing sector value-added. In contrast, general government expenditure has a significant positive effect. Also, the Error Correction model shows an adjustment towards the long-run equilibrium of the manufacturing sector value-added. So, the government has to control the general inflation level, promote demand for domestic manufacturing products and competitiveness of domestic firms, and strengthen the backward link of the sector to decrease its import-input dependency to reduce the effect of exchange rate depressions. Lastly, effective and efficient government expenditure will have to be used to increase the manufacturing sector value-added.

scholarly journals Assessment of the Impact of External Borrowing on the Economic Growth of the Developing Countries - Nigerian Experience

2018 ◽  
Vol 3 (1) ◽  
pp. 29 ◽  
Author(s):  
Adeboye Akanni Akinwunmi ◽  
Rosemary Bukola Adekoya
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Capital Investment ◽  
Time Series Data ◽  
External Debt ◽  
Unit Root Test ◽  
Debt Service ◽  
Series Data ◽  
Explanatory Variables ◽  
The Impact

This paper examines the impact of foreign borrowing on the economic growth of the developing nations using Nigeria as a case study. Time series data from 1985 and 2015 were sourced from Central Bank of Nigeria Statistical Bulletin and other related journals. Data sourced were analyzed using Durbin Watson auto correlation to test for the reliability of the data and diagnostic tests such as unit root test (Augmented Dickey Fuller) and Johansen co-integration to test for the non-stationary of the data and long run relationship between the dependent and independent variables. OLS multiple regressions were used as estimation technique to test for the relationship between the explanatory variables and economic growth. The study revealed that there is significant relationship between economic growth, exports, capital investment and debt service payment but external debt and exchange rate have a significant inverse relationship with economic growth. The study concludes that, capital investment, exports and debt service payment have impact on economic growth but external debt and exchange rate do not. Therefore, the study recommends that, purpose of borrowing should be considered important while channeling the borrowed funds and efficient utilization of the funds to solve the purpose by which it was acquired will go a long way to impact growth on the economy of the country.

scholarly journals KOINTEGRASI DAN KAUSALITAS INDEKS HARGA SAHAM GABUNGAN DAN DOW JONES INDUSTRIAL INDEX

2016 ◽  
Vol 4 (2) ◽  
Author(s):  
Paulus Sulluk Kananlua
Keyword(s):  
Time Series ◽  
Impulse Response ◽  
Unit Root ◽  
Time Series Data ◽  
Global Financial Crisis ◽  
Unit Root Test ◽  
Variance Decomposition ◽  
Cointegration Test ◽  
Series Data ◽  
The Impact

This research is obviously intended to analyze the impact of global financial crisis which happened in America and surrogated by the Dow Jones Industrial Index (DJI) towards the Indonesian Stock Exchange, represented by the composite index (IHSG). The study is conducted by using time series data ranging from January 2007 to July 2014. Data used consists of 60 months observation. In order to examine the time series data, Vector Autoregressive Model (VAR) is employed. We run the statistical tool to estimate the respon caused by the shock of research variable. Before estimating the model of Vector Autoregression (VAR), the data used must following the unit root test, cointegration test, granger causality test, and then runned by using VAR model. Our result reveals that the data is not stationer at level, but stationer at first difference. The interpreted estimation output resulting from impulse response function and variance decomposition show that DJI’s respons is much bigger caused by the shock from DJI itself with average number stand on 99.36%. Further, the proportion of IHSG on average is 0.64%. Meanwhile the respon of IHSG sparked by the DJI is 53.10% on average. The remained value as 46.90% is caused by the shock from IHSG.  Key Words: DJI, IHSG, VAR, Unit Root Test, Cointegration Test, Granger Test, Impulse Response,Variance Decomposition

scholarly journals TRADE OPENNESS AND ECONOMIC GROWTH IN MALAYSIA FROM 1980-2018

2020 ◽  
Vol 5 (2) ◽  
pp. 55-63
Author(s):  
Khairunisah Kamsin ◽  
James Alin ◽  
Mori Kogid
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Trade Openness ◽  
Unit Root Test ◽  
Wald Test ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Long Run ◽  
The Impact ◽  
Bound Test

This study analyses the impact of trade openness on economic growth, between 1980-2018. This study using the unit root test (ADF) and the Philip and Perron (PP) test to examine the stationary of the time series data, the ARDL test to show the cointegration and long-run relationship between variables, and the Wald test to show the short-term effect of the variables. The finding shows that all variables have a long-run relationship with economic growth and the bound test shows that foreign direct investment (FDI) and the Real Effective Exchange Rate (REER) have a positive and significant relationship with economic growth. The study also found that openness is correlated with economic growth in Malaysia.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

2019 ◽  
Vol 23 (4) ◽  
pp. 442-453 ◽  
Author(s):  
Saidia Jeelani ◽  
Joity Tomar ◽  
Tapas Das ◽  
Seshanwita Das
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Time Series Data ◽  
Structural Break ◽  
Series Data ◽  
Ripple Effect ◽  
Macroeconomic Factors ◽  
Parameter Instability ◽  
Macroeconomic Variables ◽  
The Relationship

The article aims to study the relationship between those macroeconomic factors that the affect (INR/USD) exchange rate (ER). Time series data of 40 years on ER, GDP, inflation, interest rate (IR), FDI, money supply, trade balance (TB) and terms of trade (ToT) have been collected from the RBI website. The considered model has suggested that only inflation, TB and ToT have influenced the ER significantly during the study period. Other macroeconomic variables such as GDP, FDI and IR have not significantly influenced the ER during the study period. The model is robust and does not suffer from residual heteroscedasticity, autocorrelation and non-normality. Sometimes the relationship between ER and macroeconomic variables gets affected by major economic events. For example, the Southeast Asian crisis caused by currency depreciation in 1997 and sub-prime loan crisis of 2008 severely strained the national economies. Any global economic turmoil will affect different economic variables through ripple effect and this, in turn, will affect the ER of different economies differently. The article has also diagnosed whether there is any structural break or not in the model by applying Chow’s Breakpoint Test and have obtained multiple breaks between 2003 and 2009. The existence of structural breaks during 2003–2009 is explained by the fact that volume of crude oil imported by India is high and oil price rise led to a deficit in the TB alarmingly, which caused a structural break or parameter instability.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

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