scholarly journals The relationship between the forward and realised spot exchange rate in South Africa

2012 ◽  
Vol 5 (1) ◽  
pp. 175-192
Author(s):  
Chris Van Heerden ◽  
André Heymans
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Economic Time Series ◽  
Economic Fundamentals ◽  
Spot Exchange Rate ◽  
Economic Time ◽  
The Exchange Rate ◽  
Econometric Approach ◽  
The Relationship

It is well known that the forward exchange rate and the realised future spot exchange rate differ. This phenomenon is better known as the exchange rate puzzle. Two approaches were followed to ascertain whether this difference is due to the weak explanatory ability of current economic fundamentals or whether the use of an ineffective econometric approach to model exchange rate theories is to blame. The first approach makes use of stationary economic time series data to model the ZAR/USD realised future spot exchange rate, while the second uses non-stationary level economic data to model the ZAR/USD realised future spot exchange rate. While the first approach reported weak results, the second approach illustrated that economic fundamentals are able to explain the ZAR/USD realised future spot exchange rate. These results also confirm that the exchange rate puzzle is a pseudoproblem.

scholarly journals ANALISIS KAUSALITAS OUTPUT, KURS, SUKU BUNGA DAN INFLASI DENGAN INVESTASI ASING DI INDONESIA

2015 ◽  
Vol 4 (2) ◽  
pp. 143
Author(s):  
Maltio Maltio ◽  
Melti Roza Adry ◽  
Yeniwati Yeniwati
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Interest Rate ◽  
Causal Relationship ◽  
Foreign Investment ◽  
Direct Investment ◽  
Time Series Data ◽  
Series Data ◽  
The Exchange Rate ◽  
The Relationship

This study investigates the relationship among output, exchange rate, interest rate (BI rate) and inflation with foreign investment (FDI), in Indonesia. The relationship among that variables is very important, because Indonesia getting start to optimize the growth economic arising out of crisis.This study used a VAR model to see causality output, exchange rate, interest rate (BI rate) and inflation with foreign investment (FDI). The data used is the time series data from 2003: 1-2014: 3 collected through documentation of relevant government agencies. In more detail, the technique used is the Vector Autoregression (VAR) to analyze the causal relationship.The results obtained indicate that foreign direct investment (FDI) has a causal relationship with the output. But there was no causal relationship between foreign direct investment (FDI) with the exchange rate, interest rate (BI rate) and inflation only unidirectional relationship in which foreign investment (FDI) effect on the exchange rate and foreign investment affect the BI rate.Keyword : foreign investment, exchange rates, interest rate ad inflation

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

2019 ◽  
Vol 23 (4) ◽  
pp. 442-453 ◽  
Author(s):  
Saidia Jeelani ◽  
Joity Tomar ◽  
Tapas Das ◽  
Seshanwita Das
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Time Series Data ◽  
Structural Break ◽  
Series Data ◽  
Ripple Effect ◽  
Macroeconomic Factors ◽  
Parameter Instability ◽  
Macroeconomic Variables ◽  
The Relationship

The article aims to study the relationship between those macroeconomic factors that the affect (INR/USD) exchange rate (ER). Time series data of 40 years on ER, GDP, inflation, interest rate (IR), FDI, money supply, trade balance (TB) and terms of trade (ToT) have been collected from the RBI website. The considered model has suggested that only inflation, TB and ToT have influenced the ER significantly during the study period. Other macroeconomic variables such as GDP, FDI and IR have not significantly influenced the ER during the study period. The model is robust and does not suffer from residual heteroscedasticity, autocorrelation and non-normality. Sometimes the relationship between ER and macroeconomic variables gets affected by major economic events. For example, the Southeast Asian crisis caused by currency depreciation in 1997 and sub-prime loan crisis of 2008 severely strained the national economies. Any global economic turmoil will affect different economic variables through ripple effect and this, in turn, will affect the ER of different economies differently. The article has also diagnosed whether there is any structural break or not in the model by applying Chow’s Breakpoint Test and have obtained multiple breaks between 2003 and 2009. The existence of structural breaks during 2003–2009 is explained by the fact that volume of crude oil imported by India is high and oil price rise led to a deficit in the TB alarmingly, which caused a structural break or parameter instability.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

scholarly journals THE IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA: A DYNAMIC ECONOMETRIC APPROACH

2021 ◽  
pp. 16-40
Author(s):  
Comfort Akinwolere Bukola ◽  
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Balance Of Trade ◽  
Econometric Approach ◽  
The Impact

This study examined the impact of exchange rate volatility on economic growth in Nigeria. The study covers the period of 1986 to 2019. Using time series data, the methodology adopted is the Vector Error Correction Mechanism to explore the impact of exchange rate volatility on the selected macroeconomic variables. The result indicated that exchange rate volatility has a significant impact on economic growth, specifically it has a positive impact on inflation, unemployment and balance of trade. On the other hand it has a negative impact on economic growth and investment. The recommendations made include; that relevant authorities should try to avoid systematic currency devaluations in order to maintain exchange rate volatility at a rate that allows adjustment of the balance of payments.

An Analysis of the Dynamic Relationships between Inflation Volatility, Exchange Rate and Output Gap Volatility in Turkey

2021 ◽  
Vol 11 (4) ◽  
pp. 4772-4787
Author(s):  
Sevilay Küçüksakarya ◽  
Mustafa Özer
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Output Gap ◽  
Bounds Testing ◽  
Inflation Volatility ◽  
Long Run ◽  
Study Results ◽  
Causality Tests ◽  
The Exchange Rate

This study investigates the short and long-run relationships between Inflation volatility, exchange rate, and output gap volatility using the ARDL bounds testing approach in Turkey. Also, we repeat the estimates by using the output gap as well. Moreover, we examine the causal relationship among these variables by using Toda-Yamamoto and frequency domain causality tests. For this purpose, the study uses quarterly time series data between 2005 Q1 and 2020 Q4. Both short and long-run results of the ARDL estimates indicate that there are statistically significant relationships between exchange rate and inflation volatility, between output gap volatility and inflation volatility, and between the output gap and inflation volatility. As expected long-run effect of the exchange rate on inflation, volatility is negative, and the effects of both output volatility and output gap on inflation volatility are positive. Also, causality tests results indicate that changes in the exchange rate, output gap volatility, and output gap will have permanent and temporary causal effects on inflation volatility. Therefore, the study results provide new evidence about the exchange rate, output gap volatility, and output gap. The policymakers should carefully consider these results to implement appropriate policies to reduce inflation volatility.

Pengaruh Nilai Tukar (Kurs) dan Inflasi terhadap Tingkat  Non Performing  Financing (NPF) Pada Bank Syariah

2019 ◽  
Vol 2 (2) ◽  
pp. 214-224
Author(s):  
Muhammad Arfan Harahap ◽  
Anjur Perkasa Alam ◽  
Muspita Pradila
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Sampling Technique ◽  
Series Data ◽  
Islamic Banks ◽  
Exogenous Variables ◽  
Independent Variables ◽  
Analysis Technique ◽  
The Exchange Rate ◽  
Conventional Banks

The level of Non-Performing Financing at Islamic Banks is higher than conventional banks, while in terms of total assets, Islamic Banks are smaller. This study aims to analyze the effect of exogenous variables consisting of the level of inflation and the exchange rate of the rupiah against non Performing Financing in Islamic banks. This study uses time series data from 2016-2018. The population in this study consisted of Islamic Commercial Banks. The sampling technique used in this research is purposive sampling technique. The data analysis technique used is Multiple Linear Regression. The results showed that the inflation variable had a positive and significant effect on Non Performing Financing. While the Exchange Rate has no effect on Non Performing Finance. Meanwhile, simultaneously the two independent variables affect the independent variables.

A Relevance Study of Economic Time Series Data

LISS 2020 ◽  
2021 ◽  
pp. 405-417
Author(s):  
Lei Han ◽  
Wei Cui ◽  
Wei Zhang
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Series Data ◽  
Economic Time Series ◽  
Economic Time

scholarly journals Analysis of Effect Macro Variable on International Trade of Indonesia

2016 ◽  
Vol 6 (2) ◽  
pp. 228
Author(s):  
Evania Rahma Octavia ◽  
Dwi Wulandari
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Series Data ◽  
The Exchange Rate ◽  
Macro Variables

This study aims to determine the effect of macro variables which include Indonesia's real gross domestic income, money supply, consumer price index and interest rates on international trade mediated by the exchange rate of rupiah against the dollar. This type of research is descriptive research with quantitative approach. Determination of the sample based on quarterly time series data 2010-2014. This study uses path analysis. The results showed domestic gross product, the money supply, and interest rates together  have a significant effect on the exchange rate but the consumer price index do not have significant effect on the exchange rate. The results also show that the exchange rate has no significant effect on imports and exports. 

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