scholarly journals Investigation of Turkey and Azerbaijan Economy Macroeconomic Variables

2020 ◽  
Author(s):  
Volkan Öngel ◽  
Hasan Sadık Tatlı ◽  
Gözde Bozkurt
Keyword(s):  
Exchange Rate ◽  
Gdp Growth ◽  
Employment Rate ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Annual Frequency ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
The One ◽  
Data Frequency

The study aims to determine the presence or absence of causality relationship between economic growth, employment, inflation, exchange rate, import, export in Turkey, and Azerbaijan. In the study, the two countries' annual frequency data from 1992-2018 were analyzed with the Granger causality test. According to the study, the employment rate of GDP growth appears to be the one-way Granger cause for Turkey. Also, it has been determined that the import and exchange rate is caused to the employment rate. It was observed that GDP growth and export were active on inflation and were Granger cause to inflation. It is determined that GDP growth in Azerbaijan is Granger cause to exchange rate and employment. It is also observed that the exchange rate affects inflation. According to the findings, GDP growth has an impact on the employment rate in both countries. While GDP growth is found to be active over inflation in Turkey, it is seen to be valid on the exchange rate in Azerbaijan. Research differs from similar studies in the literature in terms of variables used and countries. The findings of the research have some limitations. The data frequency used in the research starts in 1992, depending on Azerbaijan gaining its independence in 1991. The data used in the research are on an annual basis. Also, local/regional and global crisis effects have been ignored for both countries.

scholarly journals The Relationship of BIST Sector Indices with Exchange Rate Volatility

2021 ◽  
Vol 8 (1) ◽  
pp. 56-74
Author(s):  
Necmiye Serap Vurur
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Industrial Sector ◽  
Suitable Model ◽  
Return Volatility ◽  
Causality Test ◽  
Daily Data ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
The Relationship

Through globalization, the increased integration in financial markets has made the relationship between exchange rate and stocks important. The study aims to model the exchange rate volatility using daily data for the period 04.01.2010-15.10.2020 and investigate the causality relationship between sector returns and exchange rate return volatility. In order to model the volatility of the exchange rate return series, the GARCH model was used to reveal the possible asymmetry feature in the series. As a result of the model applications, GARCH (2,2) was determined as the most suitable model to measure volatility modelling. Then, the Granger causality test was used to see whether there is a relationship between BIST sector return indices and exchange rate return volatility. As a result of the study, one notes that there is a uni-directional causality from the exchange rate return volatility series to the service, technology, and industrial sector indices. There is a bi-directional causality relationship between the financial sector index and the exchange rate return volatility series. It is noteworthy that the causality relationship between the BIST100 index and the exchange rate is towards the volatility of the exchange rate return series from the BIST 100 index, unlike the sector indices. According to this result, it is seen that the changes in the dollar exchange rate affect the decisions of the investors who will invest in the relevant index. The results show that in the case of Turkey, mostly traditional theories are valid.

scholarly journals ANALISIS KAUSALITAS ANTARA IHSG, INDEKS DOW JONES INDUSTRIAL AVERAGE DAN NILAI TUKAR RUPIAH/US$

2019 ◽  
Vol 3 (2) ◽  
pp. 229
Author(s):  
Khairina Natsir ◽  
Yusbardini Yusbardini ◽  
Nurainun Bangun
Keyword(s):  
Exchange Rate ◽  
Granger Causality Test ◽  
Analysis Tool ◽  
Test Results ◽  
Causality Test ◽  
Monthly Data ◽  
Dow Jones Industrial Average ◽  
Causality Relationship ◽  
The Exchange Rate

Penelitian ini bertujuan untuk menginvestigasi hubungan kausalitas antara IHSG, nilai tukar rupiah/US$  dan Indeks Global yang diwakili oleh Indeks Dow Jones Industrial Average. Penelitian mengambil sampel nilai-nilai variabel yang diteliti dengan periode data bulanan dalam periode Juli 2005-Desember 2018. Alat analisis menggunakan uji Engle-Granger untuk menginvestigasi  hubungan kausalitas.  Hasil Uji kausalitas Granger memperlihatkan terdapat hubungan dua arah atau saling mempengaruhi antara IHSG dengan nilai rupiah/US$. Selain itu ditemukan pula bahwa pergerakan Indeks Dow Jones Industrial  secara signifikan mempengaruhi kepada pergerakan IHSG dan nilai tukar rupiah/US$, tetapi sebaliknya pergerakan yang terjadi pada IHSG dan nilai tukar tidak mampu mempengaruhi gerakan indeks Dow Jones Industrial. Hasil Uji kointegrasi Johansen memperlihatkan bahwa semua variabel penelitian mempunyai  hubungan keseimbangan jangka panjang yang signifikan. This study aims to investigate the causality relationship between the CSPI, the exchange rate of rupiah / US $ and the Global Index represented by the Dow Jones Industrial Average. The study sampled variable values studied with monthly data periods in the period July 2005-December 2018. The analysis tool uses the Engle-Granger test to investigate causality relationships. Granger causality test results show there is a two-way relationship or influence each other between the CSPI with the value of rupiah / US $. In addition it was also found that the movement of the Dow Jones Industrial Index significantly affected the movement of the JCI and the exchange rate of the rupiah / US $, but conversely the movements that occurred on the JCI and the exchange rate were unable to influence the movement of the Dow Jones Industrial index. Johansen's cointegration test results show that all research variables have a significant long-term balance relationship.

scholarly journals Kausalitas Ekspor Indonesia ke Tiongkok dengan Inflasi Indonesia, Suku Bunga Dasar Tiongkok, dan Nilai Tukar Indonesia

2018 ◽  
Vol 6 (4) ◽  
pp. 475-482
Author(s):  
Teddy Aldwin Leonard
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Inflation Rate ◽  
Granger Causality Test ◽  
Test Results ◽  
Causality Test ◽  
Causality Relationship ◽  
The Exchange Rate

Tujuan penelitian ini adalah mengetahui hubungan kausalitas antara total nilai ekspor Indonesia ke Tiongkok dengan tingkat suku bunga Tiongkok, tingkat inflasi Indonesia, dan nilai tukar Rupiah Indonesia terhadap Yuan China. Penelitian ini menggunakan uji kausalitas granger dengan variabel total nilai ekspor Indonesia ke Tiongkok, tingkat inflasi Indonesia, tingkat suku bunga dasar Tiongkok, dan nilai tukar Rupiah Indonesia terhadap Yuan China untuk melihat hubungan kausalitas antar variabel. Hasil uji kausalitas granger menunjukkan hasil bahwa total nilai ekspor Indonesia ke Tiongkok memiliki hubungan satu arah dengan variabel tingkat suku bunga Tiongkok dan variabel nilai tukar Rupiah Indonesia terhadap Yuan China, namun tidak terdapat hubungan kausalitas dengan variabel tingkat inflasi Indonesia. Hubungan satu arah antara total nilai ekspor Indonesia ke Tiongkok dengan tingkat suku bunga Tiongkok adalah total nilai ekspor Indonesia ke Tiongkok menyebabkan perubahan tingkat suku bunga Tiongkok, sedangkan hubungan satu arah antara total nilai ekspor Indonesia ke Tiongkok dengan nilai tukar Rupiah Indonesia terhadap Yuan China adalah nilai tukar Rupiah Indonesia terhadap Yuan China menyebabkan perubahan total nilai ekspor Indonesia ke Tiongkok. The purpose of this study is to know the causality relationship between the total value of Indonesia's exports to Tiongkok with Tiongkok's interest rate, the inflation rate of Indonesia, and the exchange rate of Indonesian Rupiah against the Yuan China. This study uses granger causality test with total variable of Indonesian export value to Tiongkok, Indonesia inflation rate, interest rate of Tiongkok, and Indonesian Rupiah exchange rate to Yuan China to see the relation of causality among variables. Granger causality test results show that the total value of Indonesia's export to Tiongkok has unidirectional relationship with variable of Tiongkok interest rate and variable of Indonesian Rupiah exchange rate to Yuan China, but there is no causality relationship with Indonesian inflation rate variable. The unidirectional relationship between the total value of Indonesia's exports to Tiongkok and the Tiongkok interest rate is the total value of Indonesia's exports to Tiongkok causing a change in the Tiongkok interest rate, while the unidirectional relationship between the total value of Indonesia's exports to Tiongkok and the Indonesian rupiah against the Yuan China is the value The Indonesian rupiah exchange rate against the Yuan China led to a change in the total value of Indonesia's exports to Tiongkok

scholarly journals Penerapan Vector Error Correction Model pada Variabel Makro Ekonomi di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 287
Author(s):  
Moh. Faizin
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Time Series Data ◽  
Good Condition ◽  
Series Data ◽  
Causality Test ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
Macro Variables

In this time, the countries can be said to be in a good condition of the national economy if there are some indicators in positive economic macro, it is including the decline of inflation, the amount of money circulating is also decline, and the exchange rate strengthening against foreign currencies and reduced interest rates. The purpose of this study is to analyze the causality and cointegration relationships of economic macro variables, by using time series data for 2010-2019 and using the VECM model. The results of the study found that there is no causality relationship between inflation and the BI rate. Likewise, the variable money supply does not affect the BI rate. The exchange rate also does not affect each other on the BI rate variable. Causality test results also indicate that the money supply does not have a causality relationship to inflation, while the exchange rate variables influence each other on inflation. To exchange rates, it does not give affect in the variable amount of money in circulation each other. By explanation of the estimation results of the VECM model, it shows the long-term and short-term relationships of each variable generally.

scholarly journals Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2006 ◽  
Vol 96 (3) ◽  
pp. 552-576 ◽  
Author(s):  
Philippe Bacchetta ◽  
Eric van Wincoop
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
Exchange Rate Volatility ◽  
Order Flow ◽  
Macroeconomic Variables ◽  
Symmetric Information ◽  
Macroeconomic Fundamentals ◽  
The Exchange Rate ◽  
Exchange Rate Changes

Empirical evidence shows that most exchange rate volatility at short to medium horizons is related to order flow and not to macroeconomic variables. We introduce symmetric information dispersion about future macroeconomic fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence, the model implies that (a) observed fundamentals account for little of exchange rate volatility in the short to medium run, (b) over long horizons, the exchange rate is closely related to observed fundamentals, (c) exchange rate changes are a weak predictor of future fundamentals, and (d) the exchange rate is closely related to order flow.

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan

2017 ◽  
Vol 18 (4) ◽  
pp. 368-380
Author(s):  
Abdul Rashid ◽  
Farooq Ahmad ◽  
Ammara Yasmin
Keyword(s):  
Exchange Rate ◽  
Credit Default Swap ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Credit Default ◽  
Macroeconomic Indicators ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate

Purpose This paper aims to empirically examine the long- and short-run relationship between macroeconomic indicators (exchange rates, interest rates, exports, imports, foreign reserves and the rate of inflation) and sovereign credit default swap (SCDS) spreads for Pakistan. Design/methodology/approach The authors apply the autoregressive distributed lag (ARDL) model to explore the level relationship between the macroeconomic variables and SCDS spreads. The error correction model is estimated to examine the short-run effects of the underlying macroeconomic variables on SCDS spreads. Finally, the long-run estimates are obtained in the ARDL framework. The study uses monthly data covering the period January 2001-February 2015. Findings The results indicate that there is a significant long-run relationship between the macroeconomic indicators and SCDS spreads. The estimated long-run coefficients reveal that both the interest rate and foreign exchange reserves are significantly and negatively, whereas imports and the rate of inflation are positively related to SCDS spreads. Yet, the results suggest that the exchange rate and exports do not have any significant long-run impact on SCDS spreads. The findings regarding the short-run relationship indicate that the exchange rate, imports and the rate of inflation are positively, whereas the interest rate and exports are negatively related to SCDS spreads. Practical implications The results suggest that State Bank of Pakistan should design monetary and foreign exchange rate polices to minimize unwanted variations in the exchange rate to reduce SCDS spreads. The results also suggest that it is incumbent to Pakistan Government to improve the balance of payments to reduce SCDS spreads. The findings also suggest that the inflation targeting policy can also help in reducing SCDS spreads. Originality/value This is the first study to examine the empirical determinants of SCDS spreads for Pakistan. Second, it estimates the short- and long-run effects in the ARDL framework. Third, it considers both internal and external empirical determinants of SCDS spreads.

scholarly journals Macroeconomic Variables and Foreign Direct Investment Inflows in Turkey

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Saliha Meftah ◽  
Abdelkader Nassour
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Short Term ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Causality Relationship

Foreign direct investment (FDI) is an essential factor in the development of a country. This study aims to examine what factors influence foreign direct investment. By using the vector error correction model, the research shows that there is a long-term causality relationship between exchange rates and inflation with FDI. However, in the short term, there are no variables that affect FDI. Besides, the Granger causality test shows causality in the direction of GDP and FDI, while other variables do not have causality. This research has implications for policymakers to pay attention to macroeconomic variables in increasing the flow of foreign direct investment.

scholarly journals Relationship Economic Growth with Foreign Direct Investment

2020 ◽  
Vol 3 (3) ◽  
pp. 49-68
Author(s):  
Prince Charles Heston Runtunuwu
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Foreign Investment ◽  
Direct Investment ◽  
Positive Impact ◽  
Secondary Data ◽  
Causality Test ◽  
Long Run ◽  
Causality Relationship ◽  
The One

This study aims to determine the one-way causality relationship between foreign investment and economic growth, a one-way causality relationship between economic growth and foreign investment, and a two-way causality relationship between foreign investment and economic growth in Indonesia. This was conducted in Indonesia, the data are secondary data taken using the method time series from 1971 to 2018 from the official websites, the Investment Coordinating Board, and literature sources, Foreign Investment and Gross Domestic Product. (1) in the long run the Economic Growth variable has a significant effect on Foreign Direct Investment, and vice versa; and (2) the Foreign Direct Investment variable has a significant effect on Economic Growth; (3) in the short term, the Economic Growth variable has an influence on Foreign Direct Investment, and vice versa; and the Foreign Direct Investment variable has an influence on Economic Growth. It is possible to have a better long-term relationship, bringing positive impact on economic growth in Indonesia when investment in Indonesia increases. Conversely, when economic growth decreases, it means that foreign investment is also low. Granger Causality test, shows a two-way causality relationship between Economic Growth and Foreign Direct Investment and vice versa. It is necessary to maintain growth to attract foreign direct investment, as well as foreign investment. Investment climate needs to be improved enabling to invest in Indonesia.

scholarly journals ANALISIS PENGARUH FAKTOR VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2013

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Herni Ali
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Regression Models ◽  
Secondary Data ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Relationship ◽  
Positive Effect

The aim of this study is examining the relationship between cointergration and causality levels of Exchange Rate, GDP, BI interest rates and inflation on Islamic Capital Markets. The data used in this study is a quantitative secondary data in the form of time series of the period January 2010 to December 2013. The test were conducted with the approach of multiple regression models with variable index research JII (Y), the exchange rate (X1), GDP (X2) , BI rate (X3) and inflation (X4) as for hypothesis testing performed using SPSS statistical software. From the results obtained by testing the hypothesis that: a positive effect on the exchange rate, positive effect on GDP, interest harga sewa rates BI negative effect and inflation positive effect on JII. Simultanious testing into four macroeconomic variables affect the JII.DOI: 10.15408/sjie.v3i2.2061   

scholarly journals Exchange Rate Volatility and Its Implications on Macroeconomic Variables in East African Countries

2020 ◽  
Vol 7 (3) ◽  
pp. 145
Author(s):  
Nicas Yabu ◽  
Deogratius Kimolo
Keyword(s):  
Exchange Rate ◽  
Positive Impact ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Mitigation Measures ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Lending Rates ◽  
The Exchange Rate

The study examines the extent of exchange rate volatility and its impact on key macroeconomic variables such as exports, FDI inflows, interest rate and inflation in Tanzania, Kenya and Uganda. The GARCH model is used to compute the extent of exchange rate volatility while the Panel Autoregressive Distributed Lag (ARDL) technique or pooled mean group (PMG) estimator was used to estimate the effects of exchange rate volatility on selected macroeconomic variables. The results indicate that volatility in the exchange rate is a real issue in all the sampled countries and is fundamentally driven by exports and FDI dynamics for the period under consideration. The results indicate a positive impact of the exchange rate volatility to export performance and lending rates in the long run. Exchange rate volatility appears to be detrimental to both export performance and leads to a reduction in lending rates in the short run. Also, the response of FDI to exchange rate volatility seems to be negative in the long run while in the short run the response from the volatility of real exchange rate seems is insignificant. Though not significant, the volatility of the exchange rate appears to have a positive impact on inflation. The study recommends that policymakers need institute mitigation measures which could smooth out excessive exchange rate volatility to minimize its likely impact on the economy. The study also indicated a need for the EAC countries to consider adopting inflation targeting monetary policy framework in order to contain inflation at the appropriate level.

Sign in / Sign up

Export Citation Format

Share Document