scholarly journals FINANCIAL RISK EXPOSURES OF THE AIRLINES INDUSTRY: EVIDENCE FROM CATHAY PACIFIC AIRWAYS AND CHINA AIRLINES

2017 ◽  
Vol 17 (2) ◽  
Author(s):  
Yasmin Yashodha ◽  
Baharom Abdul Hamid ◽  
Muzafar Shah Habibullah
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Airline Industry ◽  
Financial Stability ◽  
Stock Price ◽  
Financial Risk ◽  
Forecast Error ◽  
Impulse Response Function ◽  
Fuel Price ◽  
Substantial Impact

This study explores the long run and dynamic relationships between the stock price of Cathay Pacific Airways and China Airlines against key determinants of financial risks exposure confronting the airline industry, which include interest-rate, exchange rate and fuel price risk exposures for the period of January 1996 to December 2011. The (Johansen & Juselius, 1990) cointegration technique was employed to detect any long time trending relationship followed Vector Error Correction Model (VECM) and Vector Auto-Regression (VAR). The generalised forecast error variance decomposition and the generalised impulse response function were employed to comprehend the effects of theses financial risk exposures. Our empirical results suggest that exchange rate movements have a substantial impact, compared to the fuel price and interest rate exposures against the stock price of the analysed airline. Our findings play a pertinent role in the determination of the respective airlines foreign vulnerability and financial policies which would be helpful for industry players and policy makers from a financial stability perspective.Keywords: Airline; Stock Price; VECM; VAR; IRF.

scholarly journals Oil Prices and the U.S. Dollar Exchange Rate: Evidence from the Monetary Model

2018 ◽  
Vol 10 (4) ◽  
pp. 17
Author(s):  
Moayad H. Al Rasasi
Keyword(s):  
Exchange Rate ◽  
Forecast Error ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Oil Prices ◽  
Error Variance ◽  
Monetary Model ◽  
Forecast Error Variance ◽  
Positive Shock

This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.

scholarly journals KAJIAN AKTIVITAS EKONOMI LUAR NEGERI INDONESIA TERHADAP PERTUMBUHAN EKONOMI INDONESIA PERIODE 1998-2014

2017 ◽  
Vol 9 (2) ◽  
pp. 119
Author(s):  
Ryan Hawari ◽  
Fitri Kartiasih
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Direct Investment ◽  
Forecast Error ◽  
Foreign Debt ◽  
Trade Openness ◽  
Impulse Response Function ◽  
Error Variance ◽  
Forecast Error Variance

Indonesia is a developing country which adopts an “open economic”. That caused Indonesia economic is strongly influenced by factors that come from outside of Indonesia. External factors in this research is referred to foreign debt, foreign direct investment, trade openness and exchange rate of rupiah with USD. The analytical method in this research used Vector Error Correction Model (VECM) which will focused on Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD). Based on result of IRF, exchange rate had a positive effect to economic growth, while foreign debt, foreign direct investment and trade openness had a negative effect to economic growth. Based on result of FEVD, shock on economic growth in Indonesia affected by economic growth itself (43.21%), followed by foreign debt (26.30%), trade openness (14.16%), foreign direct investment (8.29%) and exchange rate (8.04%) Keywords: economic growth, trade openness, VECM, IRF, FEVD

scholarly journals Financial Risk and Adoption of Public-Private Partnerships in Kenyan Public Universities

2020 ◽  
pp. 32-41
Author(s):  
Francis Mukatia Asakania ◽  
Gregory S. Namusonge ◽  
Maurice Sakwa
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Financial Risk ◽  
Public Universities ◽  
Positive Influence ◽  
Public Private Partnerships ◽  
The Public ◽  
Exchange Rate Variability ◽  
Descriptive Research ◽  
Number Of Factors

Employment of public-private partnerships as a way of delivery of public utilities has been on the rise in the recent past. This has been driven by a number of factors, key among them being the ability of the public entity to transfer financial risk to private sector players who are better placed to mitigate such risks. The study purposed to assess the effect of financial risk on adoption of public-private partnerships in Kenyan public universities. The specific study objectives were to evaluate the influence of interest rate variability, revenue streams variability and exchange rate variability on adoption of public-private partnerships. The study employed a descriptive research design while targeting a population of 223 comprising of purposively selected employees from nine public universities. A sample size of 143 was used from whom data was collected using structured questionnaire. Data analysis employed use of both descriptive and inferential statistics. The results obtained show that interest rate variability, revenue stream variability and exchange rate variability have a statistically significant influence on adoption of public-private partnerships. On the basis of the study findings it was concluded that financial risk transfer had a significant positive influence on adoption of public-private partnerships in Kenyan public universities. It is therefore recommended that Kenyan public universities should thoroughly evaluate financial risk involved in any project before entering into public-private partnership arrangement in order to enhance value for money.

scholarly journals Pengaruh Kurs, Suku Bunga, dan Dividen Pershare Terhadap Harga Saham Pada Sektor Perbankan yang Terdaftar di Bursa Efek Indonesia Tahun 2013– 2017

2018 ◽  
Vol 10 (1) ◽  
pp. 21-33
Author(s):  
Atika Riziqyani ◽  
Gunistiyo ◽  
Niken Wahyu C
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Interest Rate ◽  
Linear Regression ◽  
Stock Prices ◽  
Stock Price ◽  
Banking Sector ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Share Price

The effect of exchange rate, interest rate and dividend of share price on banking sector which is listed in Indonesia Stock Exchange year 2013-2017. Essay. Tegal: Faculty of Economics and Business Universitas Pancasakti Tegal,2018. The purpose of this study is to determine the ability of investors in considering stock prices in the banking sector in 2013-2017. Hypothesis in this research is 1) exchange rate effect on stock price. 2) interest rates affect the stock price. 3) dividend pershare effect on stock price. 4) exchange rate, interest rate and dividend pershare simultaneously affect the stock price. The population used in this study is a banking company that publishes stock prices listed on the Indonesia Stock Exchange in 2013-2017. The sample in this research are 21 banking companies. With technique of sampling using purposive sampling. The data in this research is quantitative data. Sources of data in this study are secondary sources obtained from the share price of an annual banking company published in Indonesia Stock Exchange period 2013-2017. Data collection techniques using documentation techniques. Data analysis method using descriptive statistic, classical assumption test, simple linear regression analysis, multiple linear regression analysis and coefficient of determination, then obtained the result of research that the exchange rate does not have a significant effect on stock prices, the interest rate does not significantly influence the stock price, against stock price, exchange rate, interest rate and dividend pershare have significant effect to stock price.

scholarly journals PENGARUH INFLASI, SUKU BUNGA, DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM GABUNGAN PERIODE 2016 – 2018

2021 ◽  
Vol 6 (1) ◽  
pp. 50-59
Author(s):  
Irine Melyani ◽  
Martha Ayerza Esra
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Time Series Data ◽  
Secondary Data ◽  
Series Data ◽  
Future Research ◽  
Time Range ◽  
Important Indicator ◽  
The Interest Rate

The movement of stock price index is the important indicator for investors to determine whether the investor would sell, buy, or hold shares. The movement of CSPI is affected by several factor like macroeconomy. The purpose of this study was to determine the effect of inflation, interest rate, and exchange rate against CSPI. Theoretically, the effect of inflation, interest rate, and exchange rate is based on efficient market hyphothesis and signalling theory which inflation, interest rate and exchange rate provide signal to investor which affect their decision that cause change to CSPI. The type of data used in this study is secondary data with quantitative approach. The sampling is based on time series data from 2016-2018 using purposive sampling methodso that 36 samples are obtained. This research uses multiple uses multiple regression analysis method using SPSS 2.2. The results of this study indicate that during the period 2016-2018 inflation does not affect CSPI, the interest rate have negative affect on CSPI and exchange rate have positive affect on CSPI. Future research is expected to add another independent variable and extend the time range of the research to obtain ore accurate and comprehensive results. Keywords: Inflation, Interest Rate, Exchange Rate, Composite Stock Price Indonesia

scholarly journals Measuring monetary policy by money supply and interest rate: evidence from emerging economies

2021 ◽  
Vol 21 (3) ◽  
pp. 347-367
Author(s):  
Trung Thanh Bui ◽  
Kiss Dávid Gábor
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Money Supply ◽  
Emerging Economies ◽  
Forecast Error ◽  
Impulse Response Function ◽  
Error Variance ◽  
Limited Effect ◽  
Forecast Error Variance

Abstract Although measuring monetary policy is a contentious issue in the literature, much less evidence on this issue is available for emerging economies. This paper aims to investigate the role of interest rate and money supply in measuring monetary policy in twelve emerging economies that target inflation through the analysis of Granger causality, impulse response function, and forecast error variance decomposition. The empirical results show that both money supply and interest rate are useful predictors for changes in inflation. Moreover, both show a comparable power to explain the variation of inflation. However, a rise in interest rate increases rather than decreases inflation, whereas money supply has a positive and expected effect on inflation. These findings suggest that interest rate may not fully capture the overall stance of monetary policy or interest rate has a limited effect on inflation.

scholarly journals Impact of Oil Price Fluctuation on the Economy of Nigeria, the Core Analysis for Energy Producing Countries

2020 ◽  
Author(s):  
Jelilov Gylych ◽  
Abdullahi Ahmad Jibrin ◽  
Bilal Celik ◽  
Abdurrahman Isik
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Forecast Error ◽  
Consumer Price Index ◽  
Oil Price ◽  
Impulse Response Functions ◽  
Price Fluctuation ◽  
Level Of Significance ◽  
Oil Price Fluctuation ◽  
Empirical Analyses

The study aims to find the short-run empirical analyses of the impact of oil price fluctuation on the monetary instrument (Exchange rate, Inflation, Interest rate) in Nigeria. We explored the frequently used Toda–Yamamoto model (TY) model, by adopting the TY Modified Wald (MWALD) test approach to causality, Forecast Error Variance Decomposition (FEVD) and Impulse Response Functions (IRFs).The study covered the period 1995 to 2018 (monthly basis), and our findings from MWALD test indicated that there is a uni-directional causality of the log of oil price (lnoilpr) to log of the exchange rate (lnexchr) at 10% level of significance, also there is a contemporaneous response of log of consumer price index (lncpi) to log of exchange rate (lnexchr) and log of interest rate (lnintr), and jointly (lnoilpr, lncpi and lnintr) granger cause lncpi. Also at 5% level of significance lnintr responded due to positive change in lnoilpr and lnexchr, and jointly causes lnintr at 5% level of significance. This is complimented with our findings in FEVDs, and IRFs. The empirical analyses shows that oil price is a strong determining factor of exchange rate, cost of borrowing and directly influences inflationary or deflationary tendencies in Nigeria..

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