Causal Relationship Between Exchange Rate and Exports of SAARC Nations

2018 ◽  
Vol 10 (1) ◽  
pp. 82
Author(s):  
K. Abinaya ◽  
U. Jerinabi
Keyword(s):  
Exchange Rate ◽  
Causal Relationship

Macroeconomic Variables and Sukuk Outstanding in Indonesia

2021 ◽  
Vol 4 (6) ◽  
pp. 561-570
Author(s):  
Nur Habibah Asri ◽  
Dwi Wulandari
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Causal Relationship ◽  
19Th Century ◽  
Significant Relationship ◽  
Vector Autoregression ◽  
Macroeconomic Variables ◽  
Quantitative Descriptive ◽  
The 19Th Century ◽  
Descriptive Method

Sukuk or Sharia bonds are one of the investment instruments in Indonesia. Since the 19th century, Sukuk has become popular with investors. Several previous studies found contradictory results that macroeconomic variables have a relationship and influence on Sukuk by observing the year before the pandemic. This study uses a quantitative descriptive method with a Vector Autoregression (VAR) approach. Through the optimum lag value, namely, lag 3, statistically it was found that there was a significant relationship between the variables of GDP, interest rates, and the exchange rate on Sukuk. In addition, several analysis results found a causal relationship between these variables.

scholarly journals Relationship between International Reserves and FX Rate Movements

2020 ◽  
Vol 12 (17) ◽  
pp. 6961
Author(s):  
Yeonjeong Lee ◽  
Seong-Min Yoon
Keyword(s):  
Hong Kong ◽  
Exchange Rate ◽  
Causal Relationship ◽  
Foreign Exchange ◽  
Tail Dependence ◽  
International Reserves ◽  
Causality Test ◽  
Monetary Authorities ◽  
Exchange Rate Movements ◽  
Significant Regression

This paper investigates the relationship between international reserves changes and foreign exchange rate movements for five Far Eastern countries (China, Japan, Taiwan, Hong Kong, and Korea) from January 1997 to May 2020. We use the quantile Granger causality test and the quantile autoregressive model to capture the monetary authorities’ motivations for intervention. The primary results of this study are as follows. First, in China and Hong Kong, we capture the mercantilists’ motive of accumulating their international reserves for the purpose of responding to the appreciation of currencies. Relatively speaking, the monetary authorities’ motivation for precautionary stabilizing their currencies is high in Korea and Japan. Second, we identify the asymmetric causal relationship between the variables. Considering the causal relationship with significant regression coefficients, these characteristics are found to be more evident in all countries. Last, we confirm the properties of the quantile- and tail-dependent relationship between the variables. In particular, Korea has a relatively stronger tail-dependence than other countries. That is, the causal relationship between the Korean foreign exchange reserves and the exchange rate is stronger at the rapid fluctuations of the variables, and this relationship is weakened at the moderate fluctuations of them.

THE TIME-VARYING CAUSAL RELATIONSHIP BETWEEN INTERNATIONAL CAPITAL FLOWS AND THE REAL EFFECTIVE EXCHANGE RATE: NEW EVIDENCE FOR CHINA

2019 ◽  
pp. 1950009
Author(s):  
YANPING ZHAO ◽  
XIAOYAN LI ◽  
JAKOB dE HAAN
Keyword(s):  
Exchange Rate ◽  
Causal Relationship ◽  
Capital Flows ◽  
International Capital Flows ◽  
Real Effective Exchange Rate ◽  
Time Varying ◽  
International Capital ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate

We test the bilateral causal relationship between four types of international capital flows and the real effective exchange rate (REER) in China over the period 1998:Q1 to 2016:Q2 and examine whether the link is time varying. Parameter stability tests suggest that the relationship between capital flows and the RMB REER is time varying both in the short and the long run. Bootstrap rolling-window causality tests suggest bidirectional Granger causal relationships between the current account, portfolio investments and FDI, and the REER in several sub-periods, and a Granger-causal relationship from foreign exchange reserves to the REER in some sub-periods.

scholarly journals A VECM Analysis of the Relations the CPI, PPI, GDP Per Capita, Exchange Rate in the Republic of Azerbaijan

2020 ◽  
pp. 22-46
Author(s):  
Revana I. Davudova
Keyword(s):  
Exchange Rate ◽  
Causal Relationship ◽  
Oil Prices ◽  
Economic Research ◽  
Gdp Per Capita ◽  
National Academy Of Sciences ◽  
Short Term ◽  
Per Capita ◽  
The Republic

Aims:  The study focuses on an empirical analysis of a macroeconomic indicators system,  that reflect the level and pace of a country's socio-economic development, such as CPI, PPI, GDP per capita, exchange rate, taking into account the consequences of the COVID19 pandemic and oil prices  on the example Republic of Azerbaijan. Study Design:  The study consists of four sections. It includes Introduction, Literature Review, Methodology, Results and Discussion and Conclusion. Place and Duration of Study: The study was conducted for 4 months of 2020 in the department of "Mathematical support of economic research" of the Institute of Economics of Azerbaijan National Academy of Sciences. Methodology: Within the dynamic VEC model, taking into account the COVID19 pandemic and oil prices, the long-run and short-run effects of macro indicators system on each other were studied by means of causality, impulse responses and variance decomposition on the monthly statistics covering the period 2015M01-2020M07 for the Republic of Azerbaijan. Results: Calculations based on the established stable VEC (5) model revealed that there is a long-term causal relationship from the triad (CPI, PPI, Ex_Rate) to all endogenous variables. There are a short-term bi-directional causal relationship between CPI and GDP_Per_Capita and between PPI and Ex_Rate. From PPI and Ex_Rate to GDP_Per_Capita; from Ex_Rate to CPI, there are a unidirectional short-term causal relationship. Conclusion: Summarizing the results, we can write the following long-term expressions: the change   a) in the GDP_per_Cap is influenced by the PPI and CPI variables negatively, and Ex_Rate – positively; b) in the CPI is influenced by the GDP_per_Cap and PPI variables negatively, and Ex_Rate – positively; c) in the PPI is influenced by the Ex_Rate and CPI variables negatively, and GDP_per_Cap – positively, so that the negative influence of the CPI is greater; d) in the Ex_Rate is influenced by the PPI and CPI variables negatively, and GDP_per_Cap – positively. Has been also identified that the indicator PPI has a more negative effect on changes in GDP_per_Cap, CPI and Ex_Rate.

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