scholarly journals Transmission Effects between Uncertainty and Stocks: From S&P to BIST100

2020 ◽  
Author(s):  
Mine Gerni ◽  
Hatıra Sadeghzadeh Emsen ◽  
Ziya Çağlar Yurttançıkmaz ◽  
Ömer Selçuk Emsen
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Point Of View ◽  
Political Uncertainty ◽  
Us Economy ◽  
Istanbul Stock Exchange ◽  
The Us ◽  
Macroeconomic Indicators ◽  
The Exchange Rate

The economic political uncertainty (EPU) index developed by Berg et al. (2013) and the global economic political uncertainty (GEPU) index developed by Davids et al. (2016) revealed the existence of their strong relations with macroeconomic indicators in the US economy in general. Parallel to this power exhibited by the index, the interest towards it has started to be evaluated in terms of other countries. In this context, while the existence of studies investigating the relations between the index and the Istanbul Stock Exchange index is noteworthy, it has been determined that some of these researches have relations, and some of them not. The existence of spillovers from strong exchanges to stock markets of developing countries is defined as spillover effects in the literature. From this point of view, it is worth examining the existence of the relationship in question with indirect effects rather than investigating direct relationships between the GEPU and BIST100. Therefore, this study aims to investigate the existence of spillover effects from GEPU to S&P, from S&P to the exchange rate and from the exchange rate to the BIST100 index, respectively. According to the results of VAR analysis using four variables, it has been found that there are spillover effects from GEPU to S&P, from S & P to exchange rate and from exchange rate to BIST100. Consequently, it is observed that the changes in GEPU index that reflect the developments in the US economy affect Turkey’s stock market indirectly through spillover linkages.

scholarly journals Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria

2017 ◽  
Vol 9 (11) ◽  
pp. 35
Author(s):  
Jibrin Daggash ◽  
Terfa W. Abraham
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Stock Market ◽  
Stock Exchange ◽  
Equity Prices ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Uk

This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, confirming the stock flow hypothesis for Nigeria and refuting same for South Africa. Although the VAR granger causality identifies short run fluctuation of the naira as a significant factor affecting the performance of the Nigerian stock exchange in the short run, the Johannesburg stock exchange was found to be mostly affected by short run changes in the Rand and the UK FTSE 100. The paper concludes that policies aimed at stabilizing exchange rate and encouraing more non-oil stocks to be quoted in the Nigerian stock exchange will important. For the Johanesburg stock exchange, raising the listing requirement for firms quoted in the UK FTSE 100 and also seeking listing or already listed in the JSE will be a plausible idea. For both countries, however, curtailing swings in their exchange rate returns would help attract new investments and sustain existing ones hence, helping to spur growth.

How Does COVID-19 Affect the Volatility Spillover Between the Exchange Rate and the Export-oriented Businesses in Iran?

2022 ◽  
pp. 097215092110606
Author(s):  
Zahra Honarmandi ◽  
Samira Zarei
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Garch Models ◽  
Volatility Spillover ◽  
Exogenous Shocks ◽  
Risk Period ◽  
Before And After ◽  
The Exchange Rate ◽  
Fractal Market Hypothesis

This study concentrates on examining the volatility spillover effects between the exchange rate (IRR to USD) and the leading export-oriented industries (i.e., petrochemical, basic metals and minerals) in Tehran Stock Exchange before and after the COVID-19 pandemic. Using DCC- and asymmetric DCC-GARCH approaches, the data sample (from 15 December 2018 to 24 April 2021) has been partitioned into two sub-samples: before and after the official announcement of COVID-19 outbreak. The results demonstrate that from the pre- to post-COVID-19 periods, first, the average returns of all industries have sharply fallen; second, the volatility of all variables has been significantly augmented in different horizons; third, for all industries, not only has the fractal market hypothesis approved in both separated periods, but also analysing the values of the fractional difference parameter, together with the outcomes of GARCH models, supports in the higher-risk post-COVID-19 period, wherein the effects of exogenous shocks last longer than their impacts in the alternative lower-risk period. Furthermore, our investigations demonstrate that the asymmetric spillover (based on the ADCC-GARCH models) in both pre- and post-COVID-19 periods are confirmed in all three industries, except for minerals after the novel coronavirus.Ultimately, the results not only corroborate the increase in the volatility spillover effects right after the COVID-19 but also substantiate that the exchange rate contributes most of the spillover effects into the petrochemical and minerals industries, which have been almost twice as much as those of the basic metals.

Assessing the effects of exchange rate depreciation on the US economy

2018 ◽  
Vol 45 (6) ◽  
pp. 1242-1271
Author(s):  
Wei Sun ◽  
Gil Kim
Keyword(s):  
Exchange Rate ◽  
Simple Model ◽  
Broad Spectrum ◽  
Policy Implications ◽  
Producer Price ◽  
Content Type ◽  
Us Economy ◽  
The Us ◽  
The Exchange Rate ◽  
Exchange Rate Depreciation

Purpose The purpose of this paper is to examine the effects of exchange rate shock on the broad spectrum of the US economy using a factor-augmented VAR model (FAVAR). Design/methodology/approach The authors developed a two-factor FAVAR model and estimated it with the single-step Bayesian likelihood approach using the Gibbs sampling technique. The two factors represented, respectively, the economic activity and price pressures. The exchange rate shock was identified with the Choleski decomposition method for VARs. The authors used the data of 117 time series for the period from 1973:02 to 2007:12. Impulse responses and variance decompositions were computed as the main results. Findings The authors found that exchange rate shock has pervasive effects on the US economy as the following: depreciation does not appear to help reduce the US trade deficit as both import and export rise with the depreciation shock; in the short run, depreciation appears expansionary as industrial production, manufacturing and employment all increase within a year; in the medium run, depreciation appears inflationary, as consumer price, producer price, import price and export price all increase; and in the medium run, depreciation appears contractionary as personal consumption, consumer confidence, stock price and housing start tend to fall. Research limitations/implications Some caveats remain: first, our simple model symmetrically estimates depreciation shock and appreciation shock and, hence, cannot draw inferences for how exchange rate appreciation and depreciation may affect the US economy asymmetrically. Second, the simple model used did not distinguish the different possible sources of exchange rate depreciation shock, the knowledge of which may lead to richer policy implications and is the direction of research for the future. Originality/value This research contributes to the literature of whether exchange rate is expansionary or contractionary to the US economy using the FAVAR model. This is the first comprehensive study in the literature studying the pervasive effects of the exchange rate on the broad spectrum of the US economy in one integrated model.

Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

2017 ◽  
Vol 24 (1) ◽  
pp. 54-70
Author(s):  
Hasanah Setyowati ◽  
Riyanti Ningsih
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Analysis Model ◽  
Macroeconomic Factors ◽  
Return On Equity ◽  
Equity Ratio ◽  
Regression Techniques ◽  
The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

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 Exchange Rate Pass-Through to Domestic Prices: Evidence from OECD Countries

2017 ◽  
Author(s):  
Harun Bal ◽  
Mehmet Demiral ◽  
Filiz Yetiz
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Price Index ◽  
Oecd Countries ◽  
Domestic Prices ◽  
Macroeconomic Indicators ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through

There is an immense literature on the effects of exchange rate changes on macroeconomic indicators, specifically on the trade balance, growth, inflation, and overall productivity in open economies. One of the main attempts in the related literature is about ascertaining whether the exchange rate fluctuations alter domestic prices. This possible mechanism is called as the pass-through effect which is getting more important since the argument that exchange rate adjustment is a part of the solution for global rebalancing is empirically well-supported. Starting from this claim, this study purposes to explore whether there is an exchange rate pass-through effect in 19 high-income OECD countries over the period 1990-2015. To this end, using a panel data set of consumer price index, producer price index proxied by wholesale price index, the nominal effective exchange rates, and industrial production presented by the value-added share of industry sectors in gross domestic product, structural vector autoregressive (VAR) and autoregressive distributed lag (ARDL) models are estimated in an unbalanced panel data analysis procedure. Results reveal that exchange rate pass-through effects on the domestic prices are significant but not that strong in both the short-run and the long-run. Expectedly, the pass-through effects tend to diminish over time. The study concludes that policy-makers need to consider policy actions accompanying the exchange rate changes to ensure domestic price stability which consequently interacts with many macroeconomic indicators.

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.

Optimistic and pessimistic economic sentiments and US Dollar exchange rate

2021 ◽  
Author(s):  
Sonia Kumari ◽  
Suresh Kumar Oad Rajput ◽  
Rana Yassir Hussain ◽  
Jahanzeb Marwat ◽  
Haroon Hussain
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Ordinary Least Squares ◽  
Exchange Market ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate

This study investigates the affiliation of various proxies of economic sentiments and the US Dollar exchange rate, mainly focusing on the real effective exchange rate of USD pairing with three other major currencies (USDEUR, USDGBP, and USDCAD). The study has employed Google Trends data of economy optimistic and pessimistic sentiments index and survey-based economy sentiments data on monthly basis from January 2004 to December 2018. The study engaged Ordinary Least Squares (OLS) and Auto-Regressive Distributed Lag (ARDL) estimation techniques to evaluate the short-run and long-run effects of economy-related sentiments and macroeconomic variables on the exchange rate. The results from the study found that Economy Optimistic Sentiments Index (EOSI) and Economy Pessimistic Sentiments Index (EPSI) appreciate and depreciate the US Dollar exchange rate in the short-run, respectively. Our sentiment measures are robust to survey-based Michigan Consumer Sentiment Index (MSCI), Consumer Confidence Index (CCI), and various macroeconomic factors. The MSCI and CCI sentiments show a long-term impact on the foreign exchange market. This study implies that economic sentiments play a vital role in the foreign exchange market and it is essential to consider behavioral aspects when modeling the exchange rate movements.

Modelling sectoral spillovers in the USA (1992–2015)

2020 ◽  
Vol 47 (3) ◽  
pp. 561-595
Author(s):  
Konstantinos N. Konstantakis ◽  
Panayotis G. Michaelides ◽  
Theofanis Papageorgiou ◽  
Theodoros Daglis
Keyword(s):  
Information Technology ◽  
General Equilibrium ◽  
Methodological Approach ◽  
Robustness Analysis ◽  
Autoregressive Process ◽  
Spillover Effects ◽  
Content Type ◽  
Us Economy ◽  
The Us ◽  
The Impact

PurposeThis research paper uses a novel methodological approach to investigate the spillover effects among the key sectors of the US economy.Design/methodology/approachThe paper links the US sectors via a node theoretic scheme based on a general equilibrium framework, whereas it estimates the general equilibrium equation as a Global Vector Autoregressive process, taking into consideration the potential existence of dominant units.FindingsBased on our findings, the dominant sector in the US economy, for the period 1992–2015, is the sector of information technology, finance and communications, a fact that gives credence to the view that the US economy is a service-driven economy. In addition, the US economy seems to benefit by the increased labour mobility across knowledge-intensive sectors, thus avoiding the ‘employment trap’ which in turn enabled the US economy to overcome the financial crisis of 2007.Originality/valueFirstly, the paper models by means of a network approach which is based on a general equilibrium framework, the linkages between the US sectors while treating the sector of information, technology, communications and finance as dominant, as dictated by its degree of centrality in the network structure. Secondly, the paper offers a robustness analysis regarding both the existence and the identification of dominant sectors (nodes) in the US economy. Thirdly, the paper studies a wide period, namely 1992–2015, fully capturing the recent global recession, while acknowledging the impact of the global crisis through the introduction of the relevant exogenous dummy variables; Lastly and most importantly, it is the first study to apply the GVAR approach in a network general equilibrium framework at the sectoral level.

Sign in / Sign up

Export Citation Format

Share Document