The Stochastic Character of Japanese Exchange Rates

2004 ◽  
Vol 5 (1) ◽  
pp. 77-90
Author(s):  
Nikiforos Laopodis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Volatility ◽  
Transmission Mechanism ◽  
Good News ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
The Us ◽  
Us Dollar ◽  
Multivariate Exponential

The paper explores the stochastic character of six yen exchange rates with respect to the Canadian dollar, French franc, Italian lira, German mark, British pound and the US dollar for the 1973-2002 periods. The methodological design is the multivariate Exponential GARCH model, which is capable of capturing asymmetries in the exchange rate volatility transmission mechanism. The results point to significant reciprocal and positive volatility spillovers after the Plaza Accord of 1985. Furthermore, the finding of absence of asymmetry in the same period implies that bad and/or good news in a particular market positively and equally affects volatility in the next market.

scholarly journals Exchange Rate Volatility: Asymmetric Effects

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Lucy Dobano
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Risk Premium ◽  
Exchange Rate Volatility ◽  
Common Factors ◽  
Parametric Models ◽  
Time Varying ◽  
Asymmetric Effects ◽  
The Us ◽  
Us Dollar

This paper studies the evolution of the daily exchange rates volatilities of five european currencies against the US dollar. The aim of this paper is to perform whether there are common factors in the evolution of these exchange rates flexibles during stability and unstability periods. Several alternative models have been proposed in the literature o to the model time varying volatilities. In this paper, we fit two parametric models, GARCH and GJR-GARCH for the years 1992 to 1993 and 1995 to 1997. We will show how these models within-sample estimates of volatility can be captured asymetric effects of news, specially in periods with high speculation. Summarizing, we can conclude that these results have the atractive over the exchange rate flexible markets, particularly in the risk premium exchange rate manage.

Real Exchange Rate Behavior under Peg: Evidence from the Chinese RMB and Malaysian MYR

2009 ◽  
Vol 12 (01) ◽  
pp. 141-158 ◽  
Author(s):  
Yongjian E ◽  
Anthony Yanxiang Gu ◽  
Chau-Chen Yang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
The Us ◽  
Rate Behavior ◽  
Japanese Yen ◽  
Chinese Yuan ◽  
Real Exchange Rate Volatility

The exchange-rate behavior of the Chinese yuan (RMB) and the Malaysian ringgit (MYR) indicates that the real exchange rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non-anchor currencies (Japanese yen and British pound) are lower under the pegged regime. The dynamic behavior of the pegged currencies' real exchange rates is consistent with the anchor currency as the speed of convergence of the Big Mac real exchange rates of the RMB, MYR, and the dollar against the floating currencies are almost identical during the pegged period. This may be due to similar inflation rate movements in the related economies. These results do not support the opinion that China has manipulated the value of its currency.

Global Realignment of Exchange Rates: East Asia's Dilemma

2005 ◽  
Vol 193 ◽  
pp. 33-36 ◽  
Author(s):  
Ali Al-Eyd ◽  
Ray Barrell ◽  
Amanda Choy
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Regime ◽  
Chinese Economy ◽  
Trade Surplus ◽  
International Debate ◽  
The Past ◽  
The Us ◽  
Us Dollar ◽  
Economic Imbalances

Over the past year East Asia has featured prominently in the international debate over the widening global economic imbalances. In particular, China has attracted much attention for the nature of its currency regime and its large trade surplus. Until recently, China pursued a strict policy of tightly fixing the value of the renminbi against the US dollar and, as a result, Chinese exports have remained highly competitive while the US current account position has deteriorated markedly. A substantial widening of China's trade surplus in the first half of this year has sparked a great deal of criticism from the US regarding China's exchange rate regime. Protectionist threats from the US and growing domestic imbalances in the Chinese economy have succeeded in prompting the Chinese authorities to reform their exchange rate regime. On 21 July, Chinese authorities announced the abandonment of the longstanding US dollar peg in favour of a managed system where the renminbi is fixed against a basket of currencies. The specifics of this new exchange rate regime provide ample scope for further renminbi appreciation; however, this will be an orderly and drawn-out process dictated by both economic and market conditions.

scholarly journals FENOMENA KURS RUPIAH SEBELUM DAN SELAMA COVID-19

NIAGAWAN ◽  
2020 ◽  
Vol 9 (3) ◽  
pp. 197
Author(s):  
Pebri Hastuti ◽  
La Ane ◽  
Melati Yahya
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Quantitative Methods ◽  
The United States ◽  
Wilcoxon Test ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Government ◽  
The Impact

The COVID-19 pandemic was first announced by the government on March 2, 2020. COVID-19 has caused many impacts on various economic sectors in Indonesia. Not only in Indonesia but the impact of Covid-19 has disrupted world economic chains. In fact, it has the potential to cause an economic crisis in a number of countries if it is not dealt with quickly and appropriately. Especially in the exchange rate of the rupiah against the United States of America (US) which is increasingly weakening. This study aims to determine differences in the rupiah exchange rate before and during the co-19. The author uses library research instruments, documentation studies, internet browsing, where the data taken is secondary data from relevant agencies obtained from Bank Indonesia publications through Jakarta Interbank Spot Dollar Rate (Jisdor) data, data obtained from Jisdor is the rupiah exchange rate against the US dollar. This study uses quantitative methods with data analysis tools used are different test methods namely Wilcoxon Test with the help of the computer program SPSS Version 21. Where the data is taken from 7 November 2019 to 28 February 2020 before Covid-19 and during Covid-19 on March 2 until June 30, 2020. The method aims to find out significant differences between the rupiah exchange rates before and during the pandemic. The results of data processing showed that there were significant differences between the rupiah exchange rates before and during the pandemic. So it can be concluded that the spread of Covid-19 in the community will further weaken the exchange rate of the rupiah against the US Dollar.

scholarly journals The Effect of Inflation, Interest Rates and World Oil Prices on Gold Prices in Indonesia with the US Dollar Exchange Rate as an Intermediary Variable

2021 ◽  
Vol 2 (1) ◽  
Author(s):  
Ummi Kalsum ◽  
Randy Hidayat ◽  
Sheila Oktaviani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Oil Prices ◽  
Series Data ◽  
Path Coefficient ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate

This study aims to determine the effect of inflation, interest rates, and world oil prices on fluctuations in gold prices in Indonesia with the US Dollar exchange rate as an intermediary variable. This research is a type of explanatory research with a quantitative approach. The data used are monthly time series data for 2014 - 2019 with a sample of 72 samples. Hypothesis testing in this study uses path analysis, is a development technique of multiple linear regression. This technique is used to test the amount of contribution shown by the path coefficient on each path diagram of the causal relationship between cariables X1, X2, and X3 on and its impact on Z. The results of this study indicate that the effect of inflation, interest rates and worl oil prices on exchange rates individually has very little effect. The effect of inflation, interest rates, world oil prices and the exchange rate on gold prices individually shows a negative value for inflation and interest rates means that the effect is small, while for the world oil price and the dollar exchange rates shows a positive value which means that it has a large effect on the price of gold. The effect of inflation, interest rates and world oil prices on gold prices through the exchange rate, all variable show a negative value, this indicates that the effect is very small.

IMPROVED WEIGHT FUZZY TIME SERIES AS USED IN THE EXCHANGE RATES FORECASTING OF US DOLLAR TO RINGGIT MALAYSIA

2013 ◽  
Vol 12 (01) ◽  
pp. 1350005 ◽  
Author(s):  
RISWAN EFENDI ◽  
ZUHAIMY ISMAIL ◽  
MUSTAFA MAT DERIS
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Fuzzy Time Series ◽  
Business Environments ◽  
Forecasting Method ◽  
The Us ◽  
Us Dollar ◽  
Daily Forecast ◽  
Fuzzy Logical

Foreign exchange rate (forex) forecasting has been the subject of several rigorous investigations due to its importance in evaluating the benefits and risks of the international business environments. Many methods have been researched with the ultimate goal being to increase the reliability and efficiency of the forecasting method. However as the data are inherently dynamic and complex, the development of accurate forecasting method remains a challenging task if not a formidable one. This paper proposes a new weight of the fuzzy time series model for a daily forecast of the exchange rate market. Through this method, the weights are assigned to the fuzzy relationships based on a probability approach. This can be implemented to carry out the frequently recurring fuzzy logical relationship (FLR) in the fuzzy logical group (FLG). The US dollar to the Malaysian Ringgit (MYR) exchange rates are used as an example and the efficiency of the proposed method is compared with the methods proposed by Yu and Cheng et al. The result shows that the proposed method has enhanced the accuracy and efficiency of the daily exchange rate forecasting opportunities.

scholarly journals Dominant Currencies and External Adjustment

2020 ◽  
Vol 20 (05) ◽  
Author(s):  
Gustavo Adler ◽  
Camila Casas ◽  
Luis Cubeddu ◽  
Gita Gopinath ◽  
Nan Li ◽  
...  
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Policy Debate ◽  
Exchange Rate Flexibility ◽  
Macroeconomic Shocks ◽  
External Adjustment ◽  
The Us ◽  
Us Dollar ◽  
Discussion Note

The extensive use of the US dollar when firms set prices for international trade (dubbed dominant currency pricing) and in their funding (dominant currency financing) has come to the forefront of policy debate, raising questions about how exchange rates work and the benefits of exchange rate flexibility. This Staff Discussion Note documents these features of international trade and finance and explores their implications for how exchange rates can help external rebalancing and buffer macroeconomic shocks.

scholarly journals Modelling Nigeria Naria Exchange Rate against Some Selected Country’s Currencies Volatility: Application of GARCH Model

2019 ◽  
pp. 1-13
Author(s):  
Ajayi Abdulhakeem ◽  
Samuel Olorunfemi Adams ◽  
Rafiu Olayinka Akano
Keyword(s):  
United Kingdom ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Leverage Effect ◽  
Type Model ◽  
Log Likelihood ◽  
Us Dollar ◽  
Chinese Yuan

This paper examines the exchange rate volatility with GARCH-type model of the daily exchange rate return series from January 2012 – August 2016 for Naira/Chinese Yuan, Naira/India Rupees, Naira/Spain Euro, Naira/UK Pounds and Naira/US Dollar returns. The studies compare estimates of variants of GARCH (1, 1), EGARCH (1, 1), TGARCH (1,1) and GJR-GARCH (1,1) models. The result from all models indict presence of volatility in the five currencies and equally indicate that most of the asymmetric models rejected the existence of a leverage effect except for models with volatility break. For GARCH (1, 1), GJR-GARCH (1, 1,) EGARCH (1,1) and TGARCH (1, 1), it was observed that India have the best exchange rate with the highest log-likelihood (Log L) and the lowest AIC and BIC followed by USA, China, Spain and United Kingdom respectively. The four models was later compared for the exchange rates of the five countries under consideration i.e. China, India, Spain, UK and USA  to select the best fitted model for each country and it was discovered that GJR-GARCH (1,1) is the best fitted model for all the countries followed by GARCH (1,1), TGARCH (1,1) and EGARCH (1,1) in that order.

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