Simulation of Four National CRDs' Operations

2022 ◽  
pp. 133-158
Keyword(s):  
Exchange Rate ◽  
Market Prices ◽  
Price Schedule

This chapter introduces simulations of how CRDs might have actually operated in the four different countries of Indonesia, Malaysia, Turkey, and Pakistan if they had been established in 2009. Two types of data are used, all from publicly accessible databases. The first is data on the annual quantity and cost of imports to each country for three or more years prior to the start of the simulation, from which each CRD's initial “Index” price for each commodity is calculated, as well as the size of the CRD's “Block” of reserves. The second type of data is quarterly market prices of each commodity, and the national exchange-rate where needed, through the period of the simulation, from which changes in the CRDs' reserves are calculated. For each country the level of reserves of the different commodities held by the CRD are clearly seen to automatically vary counter-cyclically as traders sell to or buy from the CRD at the prices in its price-schedule for each commodity.

Macroeconomic Determinants of Stock Market Prices in Nepal

2020 ◽  
Vol 2 (1) ◽  
pp. 56-65
Author(s):  
Bhim Prasad Panta
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Developing Economies ◽  
Annual Data ◽  
Economic Variables ◽  
Market Prices ◽  
Ardl Model ◽  
Long Run

Background: Stock market plays a crucial role in the financial system of a country. It can be viewed as a channel through which resources are properly channelized. It enables the governments and industry to raise long-term capital for financing new projects. The stock markets of developing economies are likely to be sensitive to various macro-economic factors such as GDP, imports, exports, exchange rates etc., when there is high demand on financial products, as a constituent of financial market, ultimately stock market needs to develop. Many factors can be a signal to stock market participants to expect a higher or lower return when investing in stock and one of these factors are macroeconomic variables and thus, macro-economic variables tend to effect on stock market development. Objective: This study examines the linkage between stock market prices (NEPSE index) and five macro-economic variables, namely; real GDP, broad money supply, interest rate, inflation, and exchange rate using ARDL model and to explain the behavior of the Nepal Stock Exchange Index. Methods: The ECM which is delivered from ARDL model through simple linear transformation to integrate short run adjustments with long run equilibrium without losing long run information. The analysis has been done by using 25 years' annual data from 1994 to 2019. Findings: The result suggests that the fluctuation of Nepse Index in long run is strongly associated with broad money supply, interest rate, inflation, and exchange rate. Conclusion: Though Nepalese stock market is in primitive stage, broad money supply, interest rate, inflation and exchange rate are major factors affecting stock market price of Nepal. So, policies and strategies should be made and directed taking these in to consideration. Implication: The findings of research can be helpful to understand the behavior of Nepalese stock market and develop policies for market stabilization.

Summary and Appraisal

1987 ◽  
Vol 122 ◽  
pp. 3-6
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Rapid Growth ◽  
Fourth Quarter ◽  
Market Prices ◽  
The Past ◽  
The Uk

After rapid growth in 1987 the pace of expansion in the UK economy is likely to slow down considerably during next year. Year on year we expect 4 per cent growth in 1987 to be followed by about 2½ per cent in 1988; through the year (fourth quarter on a year earlier) the deceleration is more marked, and 3½ per cent this year is followed by only 1½ per cent. We were already expecting a slowdown of this kind before the October fall in stock market prices, partly because of the appreciation in the sterling exchange rate earlier in the year and again in the past few months.

Oil Price Volatility, Exchange Rate Movements and Stock Market Reaction: The Nigerian Experience (1985-2017)

2018 ◽  
Vol 3 (1) ◽  
pp. 12-25
Author(s):  
Onyemachi Maxwell Ogbulu
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Price Volatility ◽  
Market Prices ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Exchange Rate Movements ◽  
Dollar Price ◽  
Pass Through

Given the observed volatility in crude oil prices in the international oil market and the role which oil and gas play in the Nigerian economy, this paper is an attempt to investigate the impact of crude oil prices and foreign exchange rate movements on stock market prices in Nigeria. In addition, the paper examined whether there is any volatility pass-through between the dollar price of Nigerian crude oil, foreign exchange rate of the Naira and stock market prices respectively. Data employed for the study are monthly values of the Nigerian Stock Exchange (NSE) All-Share Index (ASI), Dollar price of Nigerian Crude Oil (DPO) and the Official Exchange Rate of the Naira to the US Dollar (FXR) from January, 1985 to August, 2017. The methodology adopted for the study include the ADF unit root tests, Johansen co-integration tests, the ECM technique, Granger causality tests, variance decomposition as well as the GARCH(1,1) to model the volatility relationships among the variables. Findings reveal that there is one long-run dynamic co-integrating relationship among the variables ASI, DPO and FXR while the ECM results indicate that Crude oil price (DPO) significantly impact on Stock market prices. The Granger causality test reports a bi-directional causality relationship between ASI and DPO and a unidirectional causality running from FXR to ASI. The ARCH-GARCH volatility analysis demonstrates vividly that stock market prices in the NSE exhibit ARCH effect with a significant and positive first order ARCH term. The GARCH term is also positive and significant indicating that previous month’s stock market price volatility significantly influences current stock market volatility in the NSE. In addition, findings show that the volatility of dollar price of Nigerian oil (DPO) in the world oil market is significantly transmitted to the volatility of stock market prices in Nigeria.  The pass-through effect of the volatility of exchange rate (FXR) to the volatility of stock market prices is also positive and significant. These findings offer significant informational signal to policy makers, portfolio managers/advisors and the investing public in achieving optimal asset and portfolio profile.

scholarly journals Price competition and nominal illusion: experimental evidence and a behavioural model

SERIEs ◽  
2021 ◽  
Author(s):  
Antonio J. Morales ◽  
Enrique Fatas
Keyword(s):  
Exchange Rate ◽  
Housing Market ◽  
Experimental Evidence ◽  
Price Competition ◽  
Empirical Studies ◽  
Nominal Exchange Rate ◽  
Local Market ◽  
Market Prices ◽  
Economic Agents ◽  
Money Illusion

AbstractThe standard approach to nominal illusion in Economics sees it as a transitory phenomenon, as economic agents eventually see through the nominal veil, making the right choices. Recent empirical studies suggest that money illusion may persist, distorting real prices in a variety of economic environments, including the housing market and the stock market. In this paper, we explore the emergence and persistence of nominal illusion in an experimental entry game where firms must choose which local market to enter, and then compete in prices. All local markets are equivalent in real terms and they only differ in the currency the price competition is run under. Our experimental results show a positive, persistent and monotone effect of the nominal exchange rate on market prices, statistically significant for large enough exchange rate. We provide an explanation in terms of players simplifying the choice set using discrete grids.

Economic Activities and Oil Price Shocks in Indian Outlook: Direction of Causality and Testing Cointegration

2021 ◽  
pp. 097215092199049
Author(s):  
Preeti Sharma ◽  
Avinash K. Shrivastava
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Economic Activity ◽  
Negative Relationship ◽  
Oil Prices ◽  
Industrial Output ◽  
Market Prices ◽  
Macroeconomic Variables ◽  
Short Run

The current study intends to find out the linkages between crude oil prices and economic activity in the context of Indian economy. The macroeconomic variables such as gross domestic product (GDP), unemployment, industrial output, inflation, exchange rate and stock market prices have been used as a proxy to economic activity. We have analysed the sample data of 30 years, that is, from year 1991 to 2020. To inspect the short-run relationship between oil prices and the above-mentioned macroeconomic variables, Granger causality test has been applied after removing the presence of unit root through differencing the series. To investigate the long-run relationship, vector error correction model (VECM) has been applied after testing cointegration through the Johansen method of cointegration. The findings of the study show that oil prices have short-run causality with all the variables, that is, GDP, unemployment, industrial output, inflation, exchange rate and stock market prices, while they have a long association with inflation, industrial production and unemployment. Further we find a negative relationship between oil prices and unemployment, industrial output, inflation and exchange rate and a positive relationship with GDP and stock prices.

scholarly journals Cointegration and Causality between Stock Prices and Exchange Rate: Empirical Evidence from India

2017 ◽  
Vol 8 (1) ◽  
pp. 39 ◽  
Author(s):  
D. Bhuvaneshwari ◽  
K. Ramya
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Pearson Correlation ◽  
Causality Test ◽  
Market Prices ◽  
Dynamic Relationship ◽  
Long Run ◽  
Pearson Correlation Test ◽  
Short Run

Predicting the exchange rate fluctuations and volatility is possibly one of the very toughest exercises in economics as it affects the market movement. The dynamic relationship between stock prices and exchange rate have drawn the attention of many economists for both theoretical and empirical reasons and plays an important role in influencing the development of a country’s economy (Nieh & Lee, 2001). Therefore, the present study is focusing on stock market prices and exchange rate, which in theory, is expected that one affects the other. The US Dollar (USD)-Indian Rupee (INR) exchange rates and stock market prices of India from January 2006 to December 2015 are considered as sample data for this study. In this research, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests are applied to test stationarity of data and the data was found stationary at first difference. Karl Pearson correlation test was used to find the correlating relationship between the variables and it is found that both the variables are significantly correlated. Johansen’s cointegration test is applied to determine the long-run equilibrium relationship between the study variables and identified that the variables are not cointegrated. Granger causality test is employed to determine the causality and short-run relationship between the variables and the result revealed bidirectional causality between variables.

scholarly journals Commodity Market Prices and Its Impact on Exchange Rate of Pakistan

2021 ◽  
Vol 3 (1) ◽  
pp. 31-39
Author(s):  
ASAD SARFARAZ KHAN ◽  
DR. SHAKIL IQBAL AWAN ◽  
DR. SYED ABDUL MOIZ
Keyword(s):  
Exchange Rate ◽  
Current Account Deficit ◽  
Commodity Market ◽  
Market Prices ◽  
Monthly Data ◽  
Short Run ◽  
The Exchange Rate ◽  
The Relationship ◽  
A Current

Pakistan’s economy and exchange rate has experienced many ups and downs in the last ten years. The exchange rate has depreciated from Rs.59/$ to Rs.104/$. This is causing a massive dent to Pakistan economy. According to the State Bank of Pakistan, Pakistan is consistently facing a current account deficit for the last several years and a depreciated currency is one of the main reasons for the deficit. This study analyzes the relationship between the commodity market prices and exchange rates in Pakistan both in long and in short run. This research utilized the monthly data for the past ten years from Jan-2006 to Dec-2015. The results are quite surprising because in Pakistan, none of the prices of the commodities (i-e oil and gold) have short term relationship with the exchange rate of Pakistan. This study also does not find any long-term relationship among the variables.

scholarly journals Tracing Causality and Co-movement between Pakistani and the Leading Foreign Stock Markets: A Graph Theoretic Approach

2020 ◽  
Vol 9 (4) ◽  
pp. 441-455
Author(s):  
RIZWAN FAZAL ◽  
ATIQ UR REHMAN ◽  
AFTAB ALAM
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Theoretic Approach ◽  
Cross Sectional ◽  
Market Prices ◽  
Graph Theoretic ◽  
Graph Theoretic Approach ◽  
Pc Algorithm

This paper developed and modify Peter and Clark (PC) causality algorithm to revisit the causal linkages between Pakistan and the leading foreign stock markets. Initially, the PC algorithm was conceived to determine causality in cross sectional data. Later on, (Swanson & Granger, 1997) for the first time used VAR residuals in PC algorithm to determine the causal ordering in time series. However, the weak point attached to VAR residuals are that it carries only contemporaneous causal information and remove all the past information. This study modify the PC algorithm based on recursive residuals proposed by (Rehman & Malik, 2014) and explore the causality among exchange rate, interest rate and stock market prices. The overall empirical results of modified PC algorithm indicate that causality is running from exchange rate, interest rate and stock market of India and Bangladesh to Pakistani stock market. The results observed from GARCH-GJR model show spill over effect from the leading foreign stock markets toward Pakistan stock market excluding Sir Lanka. The results of the study will guide the investors to be vigilant in decision making in diversified portfolio investment and hedging. Keywords: Financial Markets, PC algorithms, Causality, Graph theoretic Approach, GARCH, GJR.

Sign in / Sign up

Export Citation Format

Share Document