scholarly journals Meta-Analysis of Gold Price and Major ASEAN Currency (Malaysian Ringgit, Singapore Dollar, Thai Baht) Against US Dollar

2018 ◽  
Vol 1 (1) ◽  
Author(s):  
Michael Tinggi ◽  
Shaharudin Jakpar ◽  
Amy Chin Ee Ling ◽  
Akmal Hisham Tak ◽  
Daw Tin Hla
Keyword(s):  
Exchange Rate ◽  
Meta Analysis ◽  
Gold Price ◽  
Bretton Woods ◽  
Integration Test ◽  
The Us ◽  
Floating Exchange Rate ◽  
Us Dollar ◽  
The Relationship

With the exit of Bretton Woods System and Gold Standard, the floating rate was adopted by most countries among ASEAN region. Floating exchange rate has been a major debacle issue for the volatility of world gold price in relation to national currency value including that of the ASEAN region. The motivation behind this empirical study is to examine the relationship between gold price and exchange rate of ASEAN major currencies such as Malaysian Ringgit (MYR/USD), Singapore Dollar (SGD/USD), and Thai Bath (THB/USB) against the US dollar. Gold price is primarily dominated in US dollar, and any variation in US dollar may influence the value of other currencies. The monthly meta-analysis involves the study of a span of 30-year data, effective from 1981 to 2010. While the findings report no short term relationship, a Johansen Co-integration test finds evidence of a long term relationship between gold price vis-a-vis the exchange rate of major ASEAN currencies, such as MYR/USD, SGD/USD and THB/USD. Further evidence from OLS shows that gold price has a positive relationship with MYR/USD but reports perverse relationship against SGD/USD and THB/USD.

scholarly journals The Relationship between Gold Prices and Exchange Value of US Dollar in India

2015 ◽  
Vol 5 (1) ◽  
pp. 17-25 ◽  
Author(s):  
Girish Karunakaran Nair ◽  
Nidhi Choudhary ◽  
Harsh Purohit
Keyword(s):  
Exchange Rate ◽  
Currency Markets ◽  
Causality Test ◽  
Exchange Value ◽  
Integration Test ◽  
Recession Analysis ◽  
Us Dollar ◽  
The Impact ◽  
The Relationship

The inverse relationship between the value of U.S. dollar and that of gold is one of the most talked about relationships in currency markets. The present study is an attempt to understand the impact of recession of 2008 on relationship between exchange rate of US dollar in INR and gold prices in India. The study uses Johansen Co- Integration test to check the long term association between exchange rate of US dollar in INR and gold prices in India and it further uses the Granger Causality Test to check the lead lag relationship between the variables. A separate pre, during and post recession analysis of the variables is done to understand the impact of recession on this relationship. The study highlights how this relationship has changed since the global turmoil.

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.

scholarly journals Cointegration of Stock Market and Exchange Rate in Indonesia

2019 ◽  
Vol 2 (2) ◽  
pp. 125 ◽  
Author(s):  
Pribawa E Pantas ◽  
Muhamad Nafik Hadi Ryandono ◽  
Misbahul Munir ◽  
Rofiul Wahyudi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Capital Market ◽  
Global Financial Crisis ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Johansen Cointegration Test ◽  
The Global Financial Crisis

This study aims to determine the long-term relationship between stock market and exchange rate in Indonesia. The research method used is Johansen cointegration test. The results of this study found no cointegration between the variables tested. Thus the exchange rate, JII, and IHSG have no relationship in the long term. The fluctuation of the rupiah exchange rate in recent years did not generally affect the performance of stock indices especially after the global financial crisis of 2008. This shows the capital market in Indonesia has a good performance so that it is not so sensitive to the sentiment of the decline in the rupiah against the US dollar. This finding is in line with the findings of Syahrer (2010) which states the exchange rate has no effect on the stock market.

The Effect of Covid-19, Rupiah Exchange Rate, and Inflation on the Indonesia Sharia Stock Index during the Covid-19 Pandemic

2021 ◽  
Vol 4 (1) ◽  
pp. 313-336
Author(s):  
Achmad Agus Priyono ◽  
Ari Kartiko
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Stock Index ◽  
Series Data ◽  
Stock Market Index ◽  
Short Term ◽  
The Us ◽  
Us Dollar

Purpose of this study is to clarify the effect of the number of daily cases reported to have contracted the Covid-19 virus, the exchange rate of the rupiah against the US dollar and inflation on the movement of the Indonesian Sharia stock index (ISSI) during the Pandemic Covid 19 in the short term and long term. Data analysis methods that used is analysis Error Correction Mechanism (ECM) using Eviews software 10. The data collected is daily time series data starting from March 2, 2020 to May 31, 2021 so that the number of samples collected obtained as many as 283 samples . The results of the study stated that the addition of the daily number of reported cases of contracting the Covid-19 virus has a negative impact on The Indonesian Sharia Stock Market Index (ISSI) during the Covid-19 pandemic, so that encourage the weakening of the Stock Index both in the long and long term short. Likewise, the weakening of the rupiah against the US dollar will caused the fall of the sharia index during the Covid 19 pandemic, both in the long term and long and short term. However, the study found no effect inflation on the Indonesian Sharia Stock Index (ISSI) during the Covid19 pandemic, good long term and short term

Effects of exchange rate and income on the US bilateral trade with China under Chinese managed floating exchange rate system

2018 ◽  
Vol 11 (3) ◽  
pp. 236-246 ◽  
Author(s):  
Yongqing Wang
Keyword(s):  
Exchange Rate ◽  
Bilateral Trade ◽  
Trade Deficit ◽  
Rate System ◽  
Content Type ◽  
Long Run ◽  
The Us ◽  
Floating Exchange Rate ◽  
Exchange Rate System ◽  
Us Dollar

Purpose China’s exchange rate system remains a public concern. This paper aims to investigate the effects of the appreciation of the US dollar (or depreciation of Chinese Yuan) under China’s “managed floating exchange rate system” on the US bilateral trade deficit with China, the US exports to China and the US imports from China. Design/methodology/approach The author uses quarterly data from 2005Q3 to 2017Q3 and applies autoregressive distributed lags model to carry out the empirical analysis. Findings The results suggest that both the US and Chinese income are important determinants of the US bilateral trade deficit with China, the US exports to China and the US imports from China. Further, the appreciation of the US dollar with respect to Chinese currency may discourage the US exports to China, but will not considerably promote the US imports from China in the long run. Finally, the appreciation of the US dollar does not contribute significantly to the US trade deficit with China in the long run. Originality/value Policymakers may want to pay attention to the results of currency depreciation on bilateral trade flows and trade balance in both the short and the long run. The results are different. Policymakers may also want to keep the following in mind: both the US and Chinese income are vital factors of bilateral trade balance, exports and imports.

scholarly journals Is Gold a Hedge Against Turkish Lira?

2008 ◽  
Vol 3 (1) ◽  
pp. 35-40 ◽  
Author(s):  
Feride Ozturk ◽  
Sezgin Acikalin
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Gold Price ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Us Dollar ◽  
Turkish Lira

Is Gold a Hedge Against Turkish Lira?This paper investigates whether gold is an internal hedge and/or an external hedge against Turkish lira (TL) by using monthly data from January 1995 to November 2006. Cointegration test results confirm the long-term relationships between the gold price and consumer price index and between the gold price and TL/US dollar exchange rate. The Granger Tests, based on vector error correction model (VECM), indicate that gold price Granger causes the consumer price index and TL/US dollar exchange rate in a unidirectional way. It is concluded that gold acts as an effective hedge against potential future TL depreciation and rising domestic inflation. Furthermore, gold price may be considered as a good indicator of inflation and hence it can be used as a guide to monetary policy.

scholarly journals Export Determinant of Micro, Small, and Medium Enterprise Products (MSMEs) in Indonesia with Error Correction Model (ECM) Approach

2021 ◽  
Vol 6 (6) ◽  
pp. 149-155
Author(s):  
Cicih Ratnasih ◽  
. Sumarni ◽  
M. Imron Rosyadi ◽  
Dedy Triharjanto ◽  
. Yolanda
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Major Effect ◽  
Short Term ◽  
Substantial Impact ◽  
The Us ◽  
Us Dollar

This study analyzes the relationship between the exchange rate of the rupiah against the US dollar, MSME growth, investment, MSME credit, and inflation all have an effect on MSME exports in Indonesia. The purpose of this study is to determine the extent to which the independent factors above have an effect on MSME product exports using multiple linear regression analysis. The Error Correction Mechanism (ECM) analytical approach was employed in this study, which covered the period 2010-2020. ECM analysis is capable of resolving short- to long-term imbalances. This study demonstrates that there is no such thing as a short-term-long-term equilibrium. Partially, the rupiah exchange rate against the US dollar, investment, and inflation all had a significant effect on the export of MSME products in Indonesia, while the rupiah exchange rate against the US dollar, MSME growth, and investment all had a significant effect on the export of MSME products in the short term. At various points in time (long and short term), it can be seen that the rupiah's exchange rate against the US dollar and investment had a substantial impact on MSME exports. Simultaneously, all variables had a major effect on the export of MSME products in Indonesia, both in the long and short term.

scholarly journals Has the Dollar Peg Served the Saudi Economy Well?

2017 ◽  
Vol 4 (1) ◽  
pp. 145 ◽  
Author(s):  
Ryadh M. Alkhareif ◽  
William A. Barnett ◽  
John H. Qualls
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Economic Performance ◽  
Exchange Rate Regimes ◽  
Bretton Woods ◽  
Advantages And Disadvantages ◽  
The Us ◽  
Exchange Rate Arrangements ◽  
Us Dollar ◽  
Historical Relationship

There are three major objectives of this paper: first, to examine the various exchange rate regimes and arrangements that have emerged over the last 40 years since the collapse of the Bretton Woods Agreement, focusing on the advantages and disadvantages of each, particularly as they relate to inflation and real economic growth, second, to analyze the historical relationship between the Kingdom’s various exchange rate regimes and the performance of its non-oil private sector, and third, to compare Saudi Arabia’s economic performance since 1986 (when the riyal was firmly pegged to the US dollar) with a number of other developed and developing countries that have followed different exchange rate arrangements. The findings of this paper confirm that the dollar peg has served Saudi Arabia well.

scholarly journals Evaluation of Long Memory on the Malaysia Exchange Rate Market

2018 ◽  
pp. 653-656
Author(s):  
Atikullah Ibrahim ◽  
Siti Aida Sheikh Hussin ◽  
Zalina Zahid ◽  
SitiShalizaMohd Khairi
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Arima Model ◽  
Likelihood Estimation ◽  
Model Forecast ◽  
Monthly Data ◽  
The Us ◽  
Us Dollar ◽  
Arfima Model

This research evaluates the presence of long memory or long-term dependence on the Malaysian exchange rate. Daily, weekly and monthly data are evaluated against the US dollar (USD) covering from January 2005 to March 2018. Evaluation of long memory is based on the Geweke and Porter-Hudak estimation and the Maximum Likelihood Estimation. The result suggests the presence of long memory on all the daily, weekly and monthly data. Results show that shock on the Malaysian exchange rate persist longer than expected. The forecast capability also concludes that addition of the long memory presence from ARIMA model to ARFIMA model could improve the model forecast.

scholarly journals Latent root regression dalam mengatasi multikolinearitas

2017 ◽  
Vol 12 (1) ◽  
pp. 23
Author(s):  
Desy Pramesti Untari ◽  
Mathilda Susanti
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Money Supply ◽  
Stock Exchange ◽  
Principal Component Regression ◽  
Principal Component ◽  
Latent Root ◽  
Gold Price ◽  
The Us ◽  
Us Dollar

Salah satu metode yang dapat digunakan untuk mengatasi masalah multikolinearitas pada model regresi adalah latent root regression. Latent root regression  merupakan perluasan dari principal component regression. Tujuan penelitian ini adalah untuk melakukan  analisis latent root regression dalam mengatasi multikolinearitas yang diterapkan pada faktor-faktor yang mempengaruhi IHSG di Bursa Efek Indonesia. Variabel-variabel yang digunakan pada penelitian ini adalah IHSG, jumlah uang beredar, kurs rupiah terhadap dolar AS, harga emas dunia dan Indeks Dow Jones. Hasil penelitian yang diperoleh adalah faktor jumlah uang beredar, kurs rupiah terhadap dolar AS, harga emas dunia dan Indeks Dow Jones berpengaruh terhadap IHSG, namun terjadi multikolinearitas diantara faktor-faktor tersebut sehingga diselesaikan dengan latent root regression. Kemudian analisis latent root regression tersebut dibandingkan dengan analisis principal component regression pada faktor-faktor yang mempengaruhi IHSG di Bursa Efek Indonesia yang hasilnya adalah latent root regression lebih baik daripada principal component regression karena  lebih tinggi dan asumsi regresi lebih banyak dipenuhi pada latent root regression.Kata Kunci: latent root regression, multikolinearitas, IHSG. Latent Root Regression to Solve Multicolinearity AbstractOne of methods can be used to overcome the problem of multicollinearuty in a regression model is latent root regression. Latent root regression is an extension of principal component regression. The purpose of this research is to perfom a latent root regression analysis in solving multicollinearity on the factors that affect JSX Composite in Indonesia Stock Exchange. The variables used in this research are JSX Composite, money supply, rupiah exchange rate against the US dollar, gold price and DJI. The research result obtained are the factors of money supply, rupiah exchange rate against the US dollar, gold price and DJI affect  JSX Composite, but multicollinearity occur among these factors thus solved by latent root regression. Then the latent root regression analysis is compared with principal component regression on the factors that affect JSX Composite in Indonesia Stock Exchange that the result is better than latent root regression of principal component regression because  is higher and regression assumptions more fulfilled in latent root regression.Keywords: latent root regression, multicollinearity, JSX composite

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