scholarly journals The effect of the global financial crisis on the asymmetric relationship between exchange rate and stock prices

2019 ◽  
Vol 2 (3-4) ◽  
pp. 175-183 ◽  
Author(s):  
Niaz A. Bhutto ◽  
Bisharat H. Chang
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
The Global Financial Crisis

ASYMMETRIC IMPACT OF EXCHANGE RATE CHANGES ON THE TRADE BALANCE: DOES GLOBAL FINANCIAL CRISIS MATTER?

2018 ◽  
Vol 13 (04) ◽  
pp. 1850015 ◽  
Author(s):  
BISHARAT HUSSAIN CHANG ◽  
SURESH KUMAR OAD RAJPUT ◽  
NIAZ HUSSAIN GHUMRO
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Trade Balance ◽  
Global Financial Crisis ◽  
Sample Period ◽  
Asymmetric Effect ◽  
Distributed Lag ◽  
Long Run ◽  
Exchange Rate Changes ◽  
The Global Financial Crisis

Recent studies have been mainly focusing on whether exchange rate changes have a symmetric or asymmetric effect on the trade balance. We revisit this question in the context of US and further extend previous studies by determining whether the relationship between these underlying variables change as a result of the global financial crisis. We use both linear autoregressive distributed lag (ARDL) and non-linear ARDL models for the whole sample period as well as in the pre- and post-crisis periods. Findings suggest that exchange rate changes have an asymmetric effect on the trade balance; however, the asymmetric behavior of the underlying variables change as a result of the financial crisis. In the short run, exchange rate asymmetrically affects trade balance in the post-crisis period only. In the long run, there is an asymmetric effect for all sample periods, where only the devaluation of currency significantly affects the trade balance when the whole sample period is selected. On the other hand, in pre- and post-crisis periods, only appreciation of currency significantly affects the trade balance. This study indicates that determining the asymmetric relationship without considering the global financial crisis may lead to spurious results.

scholarly journals DAMPAK KRISIS KEUANGAN GLOBAL TERHADAP PEREKONOMIAN DAERAH

2010 ◽  
Vol 12 (3) ◽  
Author(s):  
Andry Prasmuko ◽  
Donni Fajar Anugrah
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Aggregate Demand ◽  
Major Effect ◽  
Macro Model ◽  
Simulation Results ◽  
The Global Financial Crisis ◽  
The Impact ◽  
Simultaneous Model

This paper discusses the impact of global financial crisis to the Indonesia's economy by using the simultaneous macro model approach.The analysis and simulation results of such model show that the impact of the global financial crisis is dominantly distributed through the trade line, which decreases the regional output.To the components of aggregate demand, the movement of exchange rate has major effect to the exports and imports, whereas to the consumption and investment, it gives relatively small effect.The impact of external shock, which causes the depreciation of Rupiah, is relatively small to the increase of inflation.JEL classification: C32, E44Keywords:Financial crisis, simultaneous model, Indonesia.

scholarly journals Short-Selling Bans and the Global Financial Crisis: Are They Interconnected?

2018 ◽  
Vol 64 (2) ◽  
pp. 159-177
Author(s):  
Martin T. Bohl ◽  
Badye Essid ◽  
Pierre L. Siklos
Keyword(s):  
Financial Crisis ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Short Selling ◽  
Equity Returns ◽  
Policy Makers ◽  
Advanced Economies ◽  
The Individual ◽  
The Global Financial Crisis ◽  
Jel Classifications

Abstract This paper begins with the observation that short-selling bans spread globally in 2008. We find some evidence that the bans were unsuccessful at least insofar as they did not take into account the global component a short-selling ban which reduced equity returns in about a third of the 17 countries sampled, most notably in some of the major advanced economies. In the individual countries we examine, the bans had relatively little impact. Our results are suggestive as evidence that the bans stemmed further deterioration in stock prices that policy makers sought to avoid, at least in a few economies. JEL classifications: G10, G12 Keywords: Short-selling bans, spillovers, stock markets, dynamic conditional correlations

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