Predicting United Arab Emirates' real effective exchange rates using oil prices

Motivated by the theoretical link between real exchange rates and oil prices, we utilize a univariate moving average (MA) and an augmented MA (A-MA) model to generate multi-period forecasts of China’s real effective exchange rate for 2008–2018. The MA model utilizes past information in real exchange rates, and the A-MA model utilizes past information in both real exchange rates and oil prices. We show that the A-MA forecasts are unbiased and embody useful predictive information beyond that contained in the MA forecasts. In addition, the A-MA forecasts are directionally accurate under asymmetric loss. Such accurate forecasts are useful as inputs for policymakers to design an optimal real exchange rate policy to promote trade and attract foreign investment, and for foreign entities that regard China as an attractive environment for investing in various sectors.

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Gulf states will not abandon dollar peg in medium term

Emerald Expert Briefings ◽

10.1108/oxan-db209890 ◽

2016 ◽

Keyword(s):

Exchange Rates ◽

Oil Prices ◽

Medium Term ◽

Foreign Investors ◽

Content Type ◽

Gcc Countries ◽

Effective Exchange ◽

Gulf States ◽

Fiscal Pressure ◽

Currency Pegs

Subject Gulf currency pegs. Significance The collapse in oil prices has led to some speculation that fiscal pressure may lead some Gulf Cooperation Council (GCC) countries to abandon their longstanding currency pegs to the dollar. Some oil exporters in other regions have abandoned their own pegs over the last year. One signal of market concern is the discounts now being applied to Gulf currency forwards, indicating a risk of devaluation, albeit relatively low. Impacts Foreign investors in the Gulf can remain confident of exchange rates. The transition to the long-planned Gulf monetary union will be delayed further until the 2020s. Real-effective exchange rates will remain overvalued, indicating poor international competitiveness.

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A Note on the Empirical Relation between Oil Prices and the Value of the Dollar

Journal of Risk and Financial Management ◽

10.3390/jrfm13080164 ◽

2020 ◽

Vol 13 (8) ◽

pp. 164

Author(s):

Jaime Marquez ◽

Silvia Merler

Keyword(s):

Exchange Rates ◽

Empirical Relation ◽

Forecast Accuracy ◽

Oil Prices ◽

Statistical Testing ◽

Asset Markets ◽

Arbitrage Opportunities ◽

Effective Exchange ◽

Modeling Strategy ◽

Effective Exchange Rate

This paper offers an empirical characterization of the relation between the international price of oil and exchange rates that is both useful and reliable. Our characterization is useful because it rests on information of asset prices that are determined in functioning asset markets. Our characterization is reliable because its maintained assumptions are not rejected by the data. Four features differentiate our work from previous analyses. First, our reliance on bilateral rates opens previously ignored financial arbitrage opportunities between oil prices and exchange rates. Second, our emphasis on statistical testing makes our characterization empirically reliable. Specifically, we use a vector-error correction modeling strategy in which both oil prices and exchange rates are endogenous. This framework allows testing for the existence of an arbitrage relation, for the direction of causality, for parameter constancy, for white noise residuals, and for forecast accuracy. Third our reliance on data through 2020 makes our analysis timely. Fourth, to emphasize the advantages of our approach, we compare our results to those derived for formulations relying on effective exchange-rate indexes.

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An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

Journal of Economics and Development ◽

10.33301/2014.16.01.05 ◽

2014 ◽

pp. 74-89 ◽

Cited By ~ 1

Author(s):

Vinh Vo Xuan

Keyword(s):

Exchange Rates ◽

Crude Oil ◽

Foreign Exchange ◽

Stock Prices ◽

Global Financial Crisis ◽

Oil Prices ◽

Foreign Exchange Rates ◽

Factors Affecting ◽

Crude Oil Prices ◽

Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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