scholarly journals Google Search in Exchange Rate Models: Hype or Hope?

2021 ◽  
Vol 14 (11) ◽  
pp. 512
Author(s):  
Bodo Herzog ◽  
Lana dos dos Santos
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Exchange Rates ◽  
Trading Volume ◽  
Value Added ◽  
Online Search ◽  
Search Intensity ◽  
A Value ◽  
Exchange Rate Models ◽  
Google Search

This paper studies the power of online search intensity metrics, measured by Google, for examining and forecasting exchange rates. We use panel data consisting of quarterly time series from 2004 to 2018 and ten international countries with the highest currency trading volume. Newly, we include various Google search intensity metrics to our panel data. We find that online search improves the overall econometric models and fits. First, four out of ten search variables are robustly significant at one percent and enhance the macroeconomic exchange rate models. Second, country regressions corroborate the panel results, yet the predictive power of search intensity with regard to exchange rates vary by country. Third, we find higher prediction performance for our exchange rate models with search intensity, particularly in regard to the direction of the exchange rate. Overall, our approach reveals a value-added of search intensity in exchange rate models.

The long-run effects of geopolitical risk on foreign exchange markets: evidence from some ASEAN countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hon Chung Hui
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Risk Index ◽  
Foreign Exchange Markets ◽  
Content Type ◽  
Long Run ◽  
Exchange Markets ◽  
Exchange Rate Models ◽  
Asean Countries

PurposeThe purpose of this paper is to analyse the long-run relationship between geopolitical risk and exchange rates in four ASEAN countries.Design/methodology/approachWe augment theoretical nominal exchange rate models available in the literature with the geopolitical risk index developed by Caldara and Iacoviello (2019), and then estimate these models using the ARDL approach to Cointegration.FindingsOur analysis uncovers evidence of Cointegration in the exchange rate models when the MYR-USD, IDR-USD, THB-USD and PHP-USD exchange rates are used as dependent variable. Next, geopolitical risk is a significant long-run driver for these exchange rates. Third, in all countries higher geopolitical risk leads to a depreciation of domestic currency.Research limitations/implicationsThere are implications for entrepreneurs, central banks, portfolio managers and arbitrageurs who actively trade in financial markets. Financial market players can benefit from a better understanding of how geopolitical events affect the portfolio of financial assets across various countries, while entrepreneurs can work out hedging strategies.Originality/valueThis is a contribution to the study of interlinkages between political risk and foreign exchange markets. It is the first study to adopt the geopolitical risk index of Caldara and Iacoviello (2019) to the study the foreign exchange markets of ASEAN countries.

Exchange rate effects on agricultural exports

2019 ◽  
Vol 11 (4) ◽  
pp. 600-621
Author(s):  
Rui Mao
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Exchange Rates ◽  
Food Industry ◽  
Real Exchange Rates ◽  
Data Set ◽  
Content Type ◽  
Agricultural Exports ◽  
Country Level ◽  
Rate Effects

Purpose The purpose of this paper is to extend empirical investigations of the relationship between real exchange rates and agricultural exports to the firm-product-country level with the use of disaggregated panel data of China’s food industry. In particular, the study aims to explore heterogeneities in the export response to real exchange rates across firms, destinations and products, as well as to differentiate responses on the intensive and extensive margins. Design/methodology/approach This paper utilizes a merged panel data set of firm-product-country level transaction records of China’s agricultural exports with firm-level survey data of the food industry. Panel regression models are constructed to identify empirical relationships. Findings Real appreciations are found to reduce export quantities and the probability to enter destination markets. These impacts are enhanced in 2005 when China unexpectedly depegged yuan from the USD. In addition, real appreciations in 2005 also reduced the yuan-denominated export price and increased firms’ probability to exit destination markets. Taking the exchange rate reform as a natural experiment, evidence suggests that the negative exchange rate effects on exports are robust to the endogeneity issue. Finally, heterogeneous export responses are identified with respect to firm productivities and ownerships, income levels and locations of destination markets, as well as product groups. Originality/value This paper provides first-hand evidence on how real exchange rates influence agricultural exports at the firm-product-country level. A featured contribution is that China’s exchange rate reform in 2005 is utilized to alleviate the typical concern of endogeneity. Findings may benefit policy makers, for example, by identifying firms most vulnerable to real appreciations.

scholarly journals Exchange rate modelling in the development community using the ARDL cointegration approach: The case of emerging markets

2020 ◽  
Vol 10 (2) ◽  
pp. 53-70
Author(s):  
Abdulkader Aljandali ◽  
Christos Kallandranis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Equilibrium Exchange Rate ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ex Post ◽  
Long Run ◽  
Equilibrium Exchange ◽  
Exchange Rate Movements ◽  
Exchange Rate Models

Despite rising interest in African economies, there is little prior research on the determinants of exchange rate movements in the region. This paper examines the monthly exchange rates of the country members of the Southern African Development Community (SADC) from 1990 to 2010 inclusive. Long-run equilibrium exchange rate models are established, exchange rate determinants are identified, and ex-post forecasts are generated for a period of 18 months (Sekantsi, 2011). The autoregressive distributed lag (ARDL) cointegration model is used in this paper, given its statistical advantages over commonly, applied cointegration techniques. Findings show that the ARDL method generates accurate forecasts for eight out of 11 sampled exchange rates. In keeping with earlier literature (e.g., Redda & Muzindusti, 2017; Zerihun & Breitenbach, 2017; etc.), findings suggest that the chances of SADC member countries fulfilling the requirements of a currency union are quite low. This paper marks one of the first attempts in the literature to forecast exchange rates in SADC using the ARDL approach (Pesaran & Shin, 1995). The results would be of interest to policy-makers, researchers and investors.

scholarly journals THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE IN EAST ASIA

2011 ◽  
Vol 02 (01) ◽  
pp. 85-102 ◽  
Author(s):  
WILLEM THORBECKE
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
East Asian ◽  
Value Added ◽  
Domestic Economy ◽  
Production Networks ◽  
Regional Production ◽  
The Us ◽  
Exchange Rate Changes ◽  
Chinese Yuan

This paper considers how exchange rates affect East Asian trade. The evidence indicates that exports produced within regional production networks depend on exchange rates throughout the region while labour-intensive exports depend on exchange rates in the exporting country. These results make sense since the majority of the value-added of processed exports come from imported parts and components while most of the value-added of labour-intensive exports comes from the domestic economy. Recent findings also indicate that imbalances between China and the US are a major outlier and that an appreciation of the Chinese yuan (CNY) is necessary to reduce these imbalances.

scholarly journals Modeling and Forecasting Exchange Rates

2016 ◽  
Vol 55 (1) ◽  
pp. 19-30
Author(s):  
Jovita Gudan
Keyword(s):  
United Kingdom ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Predictive Performance ◽  
The United Kingdom ◽  
Long Run ◽  
Modeling And Forecasting ◽  
Exchange Rate Models ◽  
One Year

This paper investigates models for the euro exchange rate against the currencies of Denmark, Poland, theUnited States, and the United Kingdom. The objective of this paper is to compare different methods of modeling andout-of-sample forecasting. One of the techniques is cointegration relation, which is implemented through a vector errorcorrection model. The existence of cointegration supports the long-run relationship between the nominal exchange rateand a number of fundamental variables. The evidence presented in this paper shows that a simple multivariate randomwalk model tends to have superior predictive performance, compared to other exchange rate models, for a period of lessthan one year.

scholarly journals Panel Data Analysis of Exchange Rate for Fragile Five

2017 ◽  
Vol 5 (1) ◽  
pp. 264
Author(s):  
Assoc. Prof. Dina Çakmur Yildirtan ◽  
Lecturer Esengül Salihoğlu
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Exchange Rates ◽  
Money Supply ◽  
Panel Data Analysis ◽  
Developed Countries ◽  
Causality Test ◽  
Cointegration Tests ◽  
The Exchange Rate ◽  
Panel Vector Autoregression

After the Bretteon Woods System, as a result of the preffering especially the flexible exchange rate systems of developed countries the exchange rate risk has emerged. The transfer for the flexible exchange systems in the majority of developing countries started with the financial liberalization in the 1990’s. In this period, the progress of information technology and globalization have rendered exchange rate policies and exchange rates a priority for countries and exchange rates have become effective on macroeconomic indicators. In this study was examined exchange rate behaviour of Morgan Stanley’s “Fragile Five Countries” which are Brazil, India, Indonesia, South Africa and Turkey. For this purpose with the Panel Cointegration Tests was investigated if there is long termed relationship between the exchange rate and international reserves, money supply and The Bloomberg U.S. Financial Conditions Index(BFCIUS). As well as, Granger Causality test is applied using Panel Data Causality Techniques are used to uncover the direction of relation between variables. Thus Panel Vector Autoregression (PVAR) Model was estimated among the variables. The present study is distinguished from previous studies by investigation of long term relationship between also The BFCIUS, exchange rate. Data base is containing from the exchange rate index, international reserve index, Money supply index and BFCIUS variables presented by Bloomberg and monthly data includes 1015 observations done in the period of March 2000 – January 2017.

scholarly journals A Predictive Effect of Exchange Rates on Value-Added Free Trade

2020 ◽  
Vol 12 (21) ◽  
pp. 9146
Author(s):  
Myoung Shik Choi
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Trade Balance ◽  
Value Added ◽  
Trade Flows ◽  
Currency Depreciation ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Positive Effect

The study investigates a predictive exchange rate effect on value-added trade flows on global value chains. We theoretically review the role of exchange rates on international trade based on insular, open, and global value chained economies. This paper empirically confirms a retro forecasting rule of the exchange rate on exports and trade balance using the value-added data for the period from 1995 to 2015. The first result is that real effective exchange rates have predictive elasticity information for the value-added trade flows. The second is that exchange rates have two practical effects on trade flows. The value-added exchange rate hurts the value-added trade balance due to increased intermediate trades, but the exchange rate has a positive effect on the gross trade balance. We would expect that value-added exports with trade balance can be improved in all sample countries when the value-added exchange rate is increasing. The main contribution is further evidence on distinguishing the currency depreciation on the value-added trade from the depreciation on the gross trade to achieve higher growth.

scholarly journals The Influence of Google Search Intensity on the Stability of the Indonesian Capital Market in the Perspective of the Defense Economy

2021 ◽  
Vol 04 (11) ◽  
Author(s):  
Darnis Darnis ◽  
Keyword(s):  
Capital Market ◽  
Trading Volume ◽  
Banking Sector ◽  
Sampling Technique ◽  
Volume Index ◽  
Search Intensity ◽  
Search Volume ◽  
Abnormal Trading Volume ◽  
The Stability ◽  
Google Search

This study aims to determine the Influence of Google Search Intensity on the Stability of the Indonesian Capital Market, as well as looking at the defense and security aspects, especially the economy. The research sample is the shares of the banking sector companies listed on the Indonesia Stock Exchange for the 2016-2018 period. The independent variable used in this study is the Abnormal Search Volume Index. The control variables used are Volatility, and Abnormal Trading Volume Lagged. The dependent variable used is Abnormal Trading Volume. The sampling method used in this study used a purposive sampling technique. Obtained the number of samples as many as 18 companies. The analysis technique used in this research is panel data regression. The results of this study indicate that the intensity of Google searches using the ASVI proxy has a significant positive effect on the stability of the stock represented by Abnormal Trading Volume. This illustrates that the use of Google search intensity data can be used as a reference in making defense policies against non-military threats, especially the stability of the Indonesian Capital Market.

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