Does the impact of the COVID-19 pandemic influence the FX? A note.

2021 ◽  
Vol 15 (2) ◽  
Author(s):  
Evangelos Vasileiou
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Economic Recession ◽  
Interest Rate Risk ◽  
Economic Consequences ◽  
Domestic Currency ◽  
Effective Response ◽  
Policy Makers ◽  
The Cost ◽  
The Impact

This note shows that the effective response of a country in its battle against COVID-19 influences the exchange rate of its currency. Particularly, we examine the GBPUSD, AUDUSD and AUDGBP pairs of currency during the COVID-19 outbreak and the results show that the domestic currency of the country which documents more COVID-19 cases in each pair is depreciated against the foreign one. Therefore, a country which cannot effectively mitigate the impact of COVID-19 and whose currency is depreciated may present further economic consequences in the future. Such consequences extend beyond economic recession and may include sovereign and interest rate risk. These findings may be useful for policy makers in order to estimate the cost of the pandemic.

scholarly journals ANALISIS FINANCIAL DISTRESS BAGI PERUSAHAAN MANUFAKTUR YANG LISTED DI BURSA EFEK INDONESIA SEBAGAI DAMPAK KRISIS EKONOMI ASIA

2009 ◽  
Vol 6 (1) ◽  
Author(s):  
Widi Hidayat
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Financial Distress ◽  
Inflation Rate ◽  
Shareholder Wealth ◽  
Free Cash Flow ◽  
Manufacturing Companies ◽  
Financial Decision ◽  
The Cost ◽  
The Impact

The impact of economic crisis in Asia is financial distress for manufacturing companies listed in Bursa Efek Indonesia. The indicator of external factors is inflation rate, interest rate and exchange rate rises and causation the investment, financial and dividend decision be careful.          The indicator of Internal Financial Decision is Profitability, fixed asset utilization, capital intensiveness, inventory intensiveness and receivable intensiveness declined and leverage still high. Deficit free cash flow and shareholder wealth is dividend yield and capital gain yield declined.          Manufacturing companies must be reinventing the strategy of financial decision because investment risk is higher. Government especially Bank Indonesia and BAPEPAM to make regulation macro economic variable, because the effect of higher inflation rate, interest rate, and exchange rate could be declined purchasing power of society and rises the cost of good manufacturing and added unemployment. Keywords :   inflation rate, interest rate, exchange rate, internal financial decision, financial distress.

scholarly journals Assessing influence of factors on interest risk of commercial bank

2021 ◽  
Vol 2021 (1) ◽  
pp. 115-124
Author(s):  
Olga Mikhailovna Markova
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Commercial Bank ◽  
Industrial Development ◽  
The United States ◽  
Interest Rate Risk ◽  
Interest Income ◽  
Rate Risk ◽  
The Impact

In modern conditions of the rapid industrial development the banks have to forecast their risks and profitability precisely, to apply information technologies to assess their activities. To evaluate the bank's income, it is necessary to carry out an internal analysis of its assets and liabilities and determine the factors effecting the bank's profitability by managing interest rate risk. The hypothesis of the study is the analysis of the impact on the net interest income and interest rate risk of a commercial bank of factors such as the exchange rate and the key rate of the Bank of Russia (for example, Sberbank, PJSC). There has been studied the impact of the factors (exchange rate and key interest rate of Central Bank of Russia) on the bank's net interest income by using correlation and regression analysis and building a regression model. Many tools are found to be used by the experienced analysts. One of the main tools is GAP analysis of interest rate risk. There have been illustrated the graphs of changes in interest rates of savings and loan associations during the crisis in the United States in the 1950-1960, of realization of interest rate risk with an increase in interest rates, the distribution of assets and liabilities according to the maturity of the balance sheet structure, the impact of changes in the interest rate GAP on net interest income, etc. A matrix of correlations of all variables in the sample (rates of growing values) was constructed. Conclusions are drawn on the need to use hedging instruments (interest rate swaps, interest rate options), as well as of attracting the most reliable data on the state of interest rate risk in the commercial banks.

scholarly journals Revisiting the impact of intrinsic financial risks on the firm value of banks in ASEAN-5 countries: a panel data approach

2020 ◽  
Vol 15 (2) ◽  
pp. 200-213
Author(s):  
Oluwaseyi Olalere ◽  
Md. Aminul Islam ◽  
Mohd Zukime Mat Junoh ◽  
Wan Sallha Yusoff ◽  
Mohammed Masum Iqbal
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Firm Value ◽  
Inflation Rate ◽  
Positive Impact ◽  
Interest Rate Risk ◽  
Financial Risks ◽  
Policy Makers ◽  
Rate Risk ◽  
The Impact

The paper aims to explore the impact of financial risks on the firm value of banks in ASEAN-5 countries. The study used the panel data regression model to analyze the available data for 63 commercial banks in ASEAN-5 countries from 2009 to 2017, totaling 567 observations. GMM dynamic estimation was also used for robustness and comparison purposes. The financial risk was measured using the non-performing loans ratio (NPL), the loan to deposit ratio (LD), the liquid asset ratio (LATA), the cost to income ratio (CIR), and the net interest margin (NIM), while firm value was measured using the enterprise value. The study used controlled variables proxied by size, GDP growth and the inflation rate, while the correlation between credit risk and interest rate risk (CR•IR) was also determined. Given the results of the study, credit risk proxy by non-performing loans ratio has a significant positive effect on the firm value, the liquidity risk (LD) has a significant positive impact on the firm value of ASEAN banks, while LATA has a significant negative effect on the firm value. Operational risk (CIR) and interest rate risk (NIM) have a significant negative impact on the firm value of ASEAN-5 banks. Bank size and inflation rate significantly and negatively affect the firm value, while GDP growth is found to have a significant positive impact on the firm value of ASEAN-5 banks. An insignificant interaction is found between credit risk and interest rate risk (CR•IR). The GMM estimation also supported these findings. The results obtained will be an important signal for policy makers, which is useful for the effective mobilization and allocation of credits to productive areas and helps manage inherent risks. The study provides implications for all countries regarding the financial risks associated with the value of the firm. Therefore, this study offers new insights into this relationship by providing useful information to the academics, policy makers, governments, and other stakeholders and serves as a benchmark for further study in this area.

Pound Wise and Penny Foolish? Weight Loss and The Dynamics of Health Care Spending

2011 ◽  
Vol 14 (2) ◽  
Author(s):  
Thomas G Koch
Keyword(s):  
Weight Loss ◽  
Cost Savings ◽  
Cost Effective ◽  
Economic Consequences ◽  
Health Care Spending ◽  
Order Of Magnitude ◽  
Dynamic Measures ◽  
The Cost ◽  
The Impact ◽  
The Relationship

Current estimates of obesity costs ignore the impact of future weight loss and gain, and may either over or underestimate economic consequences of weight loss. In light of this, I construct static and dynamic measures of medical costs associated with body mass index (BMI), to be balanced against the cost of one-time interventions. This study finds that ignoring the implications of weight loss and gain over time overstates the medical-cost savings of such interventions by an order of magnitude. When the relationship between spending and age is allowed to vary, weight-loss attempts appear to be cost-effective starting and ending with middle age. Some interventions recently proven to decrease weight may also be cost-effective.

Economic Consequences of the AOCI Filter Removal for Advanced Approaches Banks

2019 ◽  
Vol 94 (6) ◽  
pp. 309-335 ◽  
Author(s):  
Sehwa Kim ◽  
Seil Kim ◽  
Stephen G. Ryan
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Economic Consequences ◽  
Data Availability ◽  
Regulatory Capital ◽  
Management Options ◽  
Interest Rate Spread ◽  
Loan Supply ◽  
Other Comprehensive Income ◽  
Interest Rate Risk Management

ABSTRACT We examine economic consequences of U.S. bank regulators' phased removal of the prudential filter for accumulated other comprehensive income for advanced approaches banks beginning on January 1, 2014. The primary effect of the AOCI filter is to exclude unrealized gains and losses on available-for-sale securities from banks' regulatory capital. We predict and find that, to mitigate regulatory capital volatility resulting from the filter removal, advanced approaches banks increased the proportion of investment securities classified as held-to-maturity, thereby limiting their financing and interest rate risk management options, and they decreased securities risk, thereby reducing their interest rate spread. We further predict and find that these banks borrow more under securities repurchase agreements potentially collateralized by held-to-maturity securities and reduce loan supply owing to their reduced financing options, and that they increase loan risk to mitigate the decrease in their interest rate spread. JEL Classifications: G21; G28; M41; M48. Data Availability: Data are available from the public sources cited in the text.

scholarly journals Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits

Risks ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 60
Author(s):  
Cláudia Simões ◽  
Luís Oliveira ◽  
Jorge M. Bravo
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Risk Measure ◽  
Management Strategies ◽  
Interest Rate Risk ◽  
Insurance Companies ◽  
Retirement Income ◽  
Investment Strategies ◽  
Immunization Strategies ◽  
The Impact

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies for funding targeted multiple liabilities that are fixed in timing but random in size (inflation-linked), i.e., that change stochastically according to consumer price or wage level indexes. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk measure. We investigate to what extent the inflation-hedging properties of ILBs in asset liability management strategies targeted to immunize multiple liabilities of random size are superior to that of nominal bonds. We use two alternative datasets comprising daily closing prices for U.S. Treasuries and U.S. inflation-linked bonds from 2000 to 2018. The immunization performance is tested over 3-year and 5-year investment horizons, uses real and not simulated bond data and takes into consideration the impact of transaction costs in the performance of immunization strategies and in the selection of optimal investment strategies. The results show that the multiple liability immunization strategy using inflation-linked bonds outperforms the equivalent strategy using nominal bonds and is robust even in a nearly zero interest rate scenario. These results have important implications in the design and structuring of ALM liability-driven investment strategies, particularly for retirement income providers such as pension schemes or life insurance companies.

scholarly journals DAMPAK PERUBAHAN HARGA BAHAN BAKAR MINYAK (BBM) TERHADAP NILAI TUKAR PETANI (NTP) DI PROVINSI SULAWESI UTARA

2017 ◽  
Vol 13 (2A) ◽  
pp. 91
Author(s):  
Muhammad R. Ipango ◽  
Eyverson ., Ruauw ◽  
Nootje M. Benu
Keyword(s):  
Exchange Rate ◽  
Agricultural Production ◽  
Secondary Data ◽  
Transportation Cost ◽  
Fuel Oil ◽  
Fuel Price ◽  
Descriptive Research ◽  
North Sulawesi ◽  
The Cost ◽  
The Impact

This study aims to determine the impact of changes in increasing fuel price on Farmers Exchange Rate (NTP) in North Sulawesi Province. This study uses secondary data, mainly from the Central Bureau of Statistics (BPS) of North Sulawesi. Data collection was conducted for four months, from December 2016 until April 2017. The data used in this research is data from 2013 until 2016. The research method used in this research is descriptive research. The results showed that with the increase of Fuel Oil price is one of the factors that influence the Farmer's Farmer's Exchange Rate (NTP) as a whole by increasing the cost of household consumption, agricultural production cost, transportation cost, and transportation cost

scholarly journals Trends and determinants of raising ECBs in Indian Context

2021 ◽  
Vol 9 (7) ◽  
pp. 01-08
Author(s):  
Ramakant Shukla
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Least Squares Method ◽  
Control Measures ◽  
Capital Control ◽  
Global Liquidity ◽  
Robust Least Squares ◽  
The Exchange Rate ◽  
The Cost ◽  
Interest Rate Differentials

This study examines the effect of capital control measures initiated during the last two decades in terms of all-in-cost ceilings and enhanced limits on ECB in India over the sample period 2004Q1 to 2020Q2. Using global liquidity, the exchange rate between INR/USD, imports and interest rate differentials as control variables and changes in capital control measures from 2008 to 2011 in the all-in-cost ceiling, and changes in the enhanced limits on ECBs from USD 500 million to USD 750 million under the automatic route in 2012, regression analysis of three ECB series show interesting results. Using Robust Least Squares method, we document that (1) the successive increment in all-in-cost ceilings on ECB from 2008 to 2011 is inducing ECBs to flow, indicating that Indian firms benefit more than they pay due to increase the cost for ECBs having maturities 3<5 years. However, such capital control measures are not effective on ECBs having maturities >5 years.  (2) The effect of the enhanced limits on ECBs from USD 500 million to USD 750 million under the automatic route in 2012 has a pronounced impact on ECB, averaging 1602.1 USD million per quarter. We observed that CCAs in India are initiated in response to the volatility of the exchange rate and global liquidity, imports, and interest rate differentials are significant variables in India's required capital control actions.

scholarly journals The Impact of Macroeconomic Variables on Sectoral Indices in Indonesia

ETIKONOMI ◽  
2017 ◽  
Vol 16 (1) ◽  
pp. 71-80 ◽  
Author(s):  
Bambang Sutrisno
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Emerging Market ◽  
Estimation Method ◽  
Least Square ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Interest Rate ◽  
The Impact

This study aims to examine the effect of macroeconomic variables on sectoral indices in the Indonesian Stock Exchange. The difference in sensitiveness among sectors is an interesting issue to investigate this relationship in an emerging market, such as Indonesia. This study employs ordinary least square (OLS) as an estimation method with monthly time-series data from January 2005 to December 2014. The results document that the interest rate, inflation rate, and exchange rate simultaneously have a significant effect on sectoral indices in Indonesia. The interest rate partially shows a significant negative influence on all sectors except basic industry and chemical, finance, infrastructure, utilities, and transportation, and miscellaneous industry sectors. The inflation rate partially has no significant effect on all sectors. The exchange rate partially has a significant negative impact on all industries.DOI: 10.15408/etk.v16i1.4323

scholarly journals Monetary Transmission through Interest Rate Channel in Vietnam Before and After the Crisis

2014 ◽  
Vol 222 ◽  
pp. 51-75
Author(s):  
Hương Trầm Thị Xuân ◽  
Vinh Võ Xuân ◽  
CẢNH NGUYỄN PHÚC
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Monetary Transmission ◽  
Var Model ◽  
Macroeconomic Theory ◽  
Cost Channel ◽  
Before And After ◽  
The Cost ◽  
The Impact ◽  
Interest Rate Channel

The paper employs the VAR model to examine the impact of monetary policy on the economy through interest rate channel (IRC) and levels of transmission before and after the 2008 crisis. The results indicate that in the period before the financial crisis, IRC exists in accordance with macroeconomic theory; however, the crisis period, in which increases in SBV monetary policy rates lead to increased inflation, has proved the existence of the cost channel of monetary transmission in Vietnam.

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