Cointegration Relationship between Gold Prices and Exchange Rates – An Evidence of India

2014 ◽  
Vol 1 (2) ◽  
pp. 47
Author(s):  
Amalendu Bhunia ◽  
Joydeep Deyasi
Keyword(s):  
Exchange Rates ◽  
Cointegration Relationship

The Relation between National Stock Prices and Effective Exchange Rates: Does It Affect Exchange Rate Exposure?

2015 ◽  
Vol 15 (2) ◽  
pp. 241-256 ◽  
Author(s):  
Marko Korhonen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Prices ◽  
Risk Sharing ◽  
International Risk Sharing ◽  
Exchange Rate Exposure ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Cointegration Relationship

There is twofold contribution in this paper. First, by using monthly data for 16 industrialized countries for the period 1973–2011 we find evidence of time-varying cointegration relationship between effective exchange rates and national stock market indices. Second, we present that the cointegration relationship affects exchange rate exposure. We propose that the exchange rate exposure effect changes when the connection between the exchange rate and stock market emerges. This is a new result and reflects importance of these markets’ joint role in international risk sharing.

An Econometric Estimation of the Demand for Tourism: The Case of Russia

2006 ◽  
Vol 12 (1) ◽  
pp. 5-20 ◽  
Author(s):  
Bernardina Algieri
Keyword(s):  
Exchange Rates ◽  
Real Exchange Rates ◽  
Cointegration Analysis ◽  
Air Transport ◽  
Empirical Literature ◽  
Tourism Demand ◽  
Cost Of Living ◽  
Tourist Destinations ◽  
Long Run ◽  
Cointegration Relationship

This paper examines the determinants of tourism revenues in Russia and gauges their impact on tourism demand over the period 1993:12 to 2002:10. The demand for tourism and the choice of tourist destinations are subject to significant swings for many reasons, including variations in income, exchange rates and prices, as well as unpredicted events such as relevant political changes. Therefore, reliable estimates of the elasticities of tourism demand become important for the formulation of efficient tourism policies. In this context a cointegration analysis of the demand for tourism in Russia within a VAR framework was carried out. The results suggest a robust and significant long-run cointegration relationship between Russian tourism receipts, world GDP, real exchange rates and air transport prices. In particular, the estimated income, cost of living and airfares elasticities are statistically significant and have the expected signs, and their values are in accordance with the empirical literature.

scholarly journals The Relationship between Oil, Exchange Rates, and Commodity Prices

2009 ◽  
Vol 41 (2) ◽  
pp. 501-510 ◽  
Author(s):  
Ardian Harri ◽  
Lanier Nalley ◽  
Darren Hudson
Keyword(s):  
Exchange Rates ◽  
Commodity Prices ◽  
Commodity Markets ◽  
Agricultural Commodities ◽  
Goods And Services ◽  
Commodity Production ◽  
Price Relationship ◽  
The Relationship ◽  
Cointegration Relationship ◽  
Over Time

Exchange rates have long been thought to have an important impact on the export and import of goods and services, and, thus, exchange rates are expected to influence the price of those products that are traded. At the same time, energy impacts commodity production in some very important ways. The use of chemical and petroleum derived inputs has increased in agriculture over time; the prices of these critical inputs, then, would be expected to alter supply, and, therefore, the prices of commodities using these inputs. Also, agricultural commodities have been increasingly used to produce energy, thereby leading to an expectation of a linkage between energy and commodity markets. In this paper, we examine the price relationship through time of the primary agricultural commodities, exchange rates, and oil prices. Using overlapping time periods, we examine the cointegration relationship between prices to determine changes in the strength of the linkage between markets through time. In general, we find that commodity prices are linked to oil for corn, cotton, and soybeans, but not for wheat, and that exchange rates do play a role in the linkage of prices over time.

Fear of Free Floating or Forced Exchange Rate Fixing

2004 ◽  
pp. 112-122
Author(s):  
O. Osipova
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Exchange Rates ◽  
Inflation Targeting ◽  
Exchange Rate Policy ◽  
Float Exchange Rate ◽  
Floating Exchange Rate ◽  
Rate Policy ◽  
Exchange Rate Arrangements ◽  
Pass Through

After the financial crisis at the end of the 1990 s many countries rejected fixed exchange rate policy. However actually they failed to proceed to announced "independent float" exchange rate arrangement. This might be due to the "fear of floating" or an irreversible result of inflation targeting central bank policy. In the article advantages and drawbacks of fixed and floating exchange rate arrangements are systematized. Features of new returning to exchange rates stabilization and possible risks of such policy for Russia are considered. Special attention is paid to the issue of choice of a "target" currency composite which can minimize external inflation pass-through.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
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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