scholarly journals Dependence on Oil Prices of Russian Stock Market

2016 ◽  
Author(s):  
Dilek Özdemir ◽  
Özge Buzdağlı ◽  
Murat Akdağ ◽  
Ömer Selçuk Emsen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Structural Breaks ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
Real Money ◽  
Effective Exchange ◽  
Russian Stock Market ◽  
Effective Exchange Rate

In the period after transition, economically full-liberal policy implementations applied by Russia Federation has been taken attention as cyclical movement. No variations of goods are said to be effective about the main reasons about cyclical movement in liberalization. As a kind of indicator of the Russian economy, stock market’s sensitivity to oil prices analyzed. In this context, especially change of oil prices, exchange rate and money supply effects on Russia are analyzed for the period of 1996M1-2015M12. Stationarity of the series is investigated by Lee and Strazicich (2003) unit root test with multiple structural breaks, existence of cointegration relation between series is tested by Maki (2012) method of cointegration with multiple structural break, and cointegration coefficients are predicted with Dynamic Ordinary Learst Square-DOLS method. Furthermore, causality relations between series are investigated by Hacker and Hatemi-J (2012) symmetric causality test. As a result, Russian stock market is positively affected by oil prices, real effective exchange rate and real money supply. Also causality tests showed that bidirectional causality relation found on stock market with oil prices and real effective exchange rate, and unidirectional causality from real money supply to stock market.

scholarly journals The Effect of Money Supply, Exchange Rate, and Interest Spread toward the Performance of Stock Market in Malaysia

2019 ◽  
Vol 6 (2) ◽  
pp. 142
Author(s):  
Yeoh Kai Qing ◽  
Suhal Kusairi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Market Performance ◽  
Real Effective Exchange Rate ◽  
Long Run ◽  
Stock Market Performance ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

The stock market has become a significant role in the economy and has attracted investor's attention, as it is to generate funds and make an investment decision for companies and investors as well. Therefore, the objective of this study is to study the effect of the money supply, exchange rate, interest spread and stock market in the short and long run and volatility issue. The study employed monthly data, from January 1997 to August 2018. Method analysis is the Autoregressive distributed lag (ARDL) and GARCH model. The findings stated that the money supply, real effective exchange rate, interest spread, had a long-run effect on the performance of the stock market. Money supply and the real effective exchange rate had a positive effect on the stock market performance in the short run. Conversely, the interest spread showed a negative influent on the stock market performance in the short run. The volatility indicated a high persistence between the money supply, real effective exchange rate, interest spread and stock market (KLCI). The implication of the study is the investors or policymakers should take account the changes of interest rate and exchange rate before making stock investment or policy to stabilize the stock market performance.Keywords: Performance, Money Supply, Real Effective Exchange Rate (REER), Interest Spread

scholarly journals Structural breaks and the equilibrium real effective exchange rate of China: A NATREX approach

2012 ◽  
Vol 23 (4) ◽  
pp. 1146-1163 ◽  
Author(s):  
Kefei You ◽  
Nicholas Sarantis
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Effective Exchange Rate

scholarly journals ANALYSIS OF THE ASYMMETRIC RELATIONSHIP BETWEEN OIL PRICES AND REAL EFFECTIVE EXCHANGE RATE IN KAZAKHSTAN

2021 ◽  
Vol 11 (4) ◽  
pp. 345-351
Author(s):  
Aktolkin Abubakirova ◽  
Lyazzat Kudabayeva ◽  
Gulnar Abdulina ◽  
Aliya Zurbayeva ◽  
Indira Tazhiyeva
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Effective Exchange Rate

A FORECASTING APPROACH TO REAL EFFECTIVE EXCHANGE RATE-OIL PRICE NEXUS IN CHINA

2020 ◽  
pp. 1-17
Author(s):  
HAMID BAGHESTANI ◽  
SEHAR FATIMA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Moving Average ◽  
Real Exchange Rates ◽  
Oil Prices ◽  
Exchange Rate Policy ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Rate Policy ◽  
Effective Exchange Rate

Motivated by the theoretical link between real exchange rates and oil prices, we utilize a univariate moving average (MA) and an augmented MA (A-MA) model to generate multi-period forecasts of China’s real effective exchange rate for 2008–2018. The MA model utilizes past information in real exchange rates, and the A-MA model utilizes past information in both real exchange rates and oil prices. We show that the A-MA forecasts are unbiased and embody useful predictive information beyond that contained in the MA forecasts. In addition, the A-MA forecasts are directionally accurate under asymmetric loss. Such accurate forecasts are useful as inputs for policymakers to design an optimal real exchange rate policy to promote trade and attract foreign investment, and for foreign entities that regard China as an attractive environment for investing in various sectors.

Real Effective Exchange Rate, Broad Money Supply, and Trade Balance in Vietnam: An Empirical Analysis from Bounds Test to a Cointegration Approach

2020 ◽  
Author(s):  
Kieu Oanh Dao ◽  
V.C. Nguyen ◽  
Si Tri Nhan Dinh
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Trade Balance ◽  
Negative Impact ◽  
Positive Impact ◽  
Real Effective Exchange Rate ◽  
Long Run ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

This paper aims to investigate the impact of the real effective exchange rate and broad money supply on the trade balance in Vietnam using quarterly data from the first quarter of 2000 to the fourth quarter of 2018. Using the ARDL-ECM approach to investigate this effect, a cointegration relationship exists between real effective exchange rate, broad money supply and trade balance. Results demonstrate that real effective exchange rate has a short-term negative impact on trade balance. Additionally, broad money supply has a positive impact on trade balance in the short run and long run with a very weak effect. Surprisingly, it was found that real foreign income and local income have no impact on trade balance.

scholarly journals Inflation Sources Across Developed And Developing Countries; Panel Approach

2012 ◽  
Vol 11 (2) ◽  
pp. 185
Author(s):  
Nayef Al-Shammari ◽  
Mohammed Al-Sabaey
Keyword(s):  
Developing Countries ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Government Spending ◽  
Oil Prices ◽  
Developed Countries ◽  
Effective Exchange ◽  
Main Determinants ◽  
Effective Exchange Rate

This paper investigates the sources of inflation across a sample of countries in the world. The data set covers around fifty nine countries using yearly data over the period from 1970 through 2007. The model is estimated using a panel model with a random effects specification. Results indicate that the main determinants of inflation for developing countries are different than those for developed countries. Our findings show that the main determinants of inflation for developed countries include government spending, money supply growth, world oil prices, interest rate, nominal effective exchange rate, and population. Whereas, sources of inflation for developing countries are estimated to include government spending, money supply growth, world oil prices, and the nominal effective exchange rate. Findings also report that there is no significant evidence for factors such as interest rate and population to affect the general price levels in developing countries.

scholarly journals A Non-Linear Analysis of the Oil Price-Exchange Rate Nexus in Nigeria

2016 ◽  
Vol 8 (4(J)) ◽  
pp. 79-91
Author(s):  
Olagbaju Ifeolu O. ◽  
Akinbobola Temidayo O.
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Non Linear ◽  
Domestic Prices ◽  
Effective Exchange ◽  
Pass Through ◽  
Effective Exchange Rate

This paper studies the effect of oil price shocks on the Nigerian exchange rate on the basis of monthly data over the period January, 2008 to October, 2015. In order to explore the effects of oil prices on the competitiveness of the Nigerian currency, which had hitherto attracted little attention in literature, the paper adopts the real effective exchange rate measure within a five-variable VAR model, analysed using both linear and non-linear approaches. We find evidence of a non-linear impact of oil prices on real effective exchange rate. Specifically, decreases in oil price are found to have an appreciating impact on real effective exchange rate, implying a loss of competitiveness of the Naira, while increases in oil price are found to be irrelevant for movements in the real effective exchange rate. Our study also suggests a link between Naira depreciation and the real effective exchange rate appreciation through a pass-through effect on rising domestic prices.

scholarly journals An Analysis of the Impact of Real Effective Exchange Rate on Economic Growth of Nepal

Pravaha ◽  
2018 ◽  
Vol 24 (1) ◽  
pp. 206-216
Author(s):  
Sujan Koirala
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Money Supply ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
The Real ◽  
Real Gdp ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

This article is designed to assess the impact of real effective exchange rate (REER) on economic growth of Nepal. The study uses annual time series data for the period of 1975 to 2015. Engle- Granger residual based test and error correction model have been used to detect the impact of REER on real GDP of Nepal. The explanatory variables used in the study are real effective exchange rate, broad money supply, trade openness and gross fixed capital formation. The results of the study reveal that real effective exchange rate has positive impact on the real GDP of Nepal. Based on the findings, the study concludes that the transmission mechanism of REER through aggregate demand hold in case of Nepal and this result is compatible with the traditional approach to exchange rate. Finally, it is recommended that broad money supply continues to be relevant monetary policy for Nepal. Moreover, Nepal must use the real exchange rate as one of the macroeconomic policies. Pravaha Vol. 24, No. 1, 2018, page: 206-216 

scholarly journals Oil prices and the US effective exchange rate: A hidden cointegration analysis

2016 ◽  
Vol 5 (4) ◽  
pp. 134 ◽  
Author(s):  
Panagiotis Rafailidis ◽  
Constantinos Katrakilidis
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
Long Run ◽  
The Us ◽  
Effective Exchange ◽  
Us Dollar ◽  
Effective Exchange Rate ◽  
The Relationship

AbstractWe investigate the long-run relationship between the US Dollar effective exchange and the oil prices (wti) over the period from January 1986 to August 2014. We allow for the relationship to be nonlinear by employing the hidden cointegration technique of Granger and Yoon (2002) and Schorderet (2004). The Quandt – Andrews approach allows accounting for structural breaks. The results reveal a long-run relationship between the two markets.

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