scholarly journals Foreign Exchange Rate Regimes and Foreign Exchange Markets in Transitive Economies

2011 ◽  
Vol 20 (4) ◽  
pp. 309-328 ◽  
Author(s):  
Jaroslava Durčáková
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Regimes ◽  
Foreign Exchange Rate ◽  
Foreign Exchange Markets ◽  
Exchange Markets

The long-run effects of geopolitical risk on foreign exchange markets: evidence from some ASEAN countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hon Chung Hui
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Risk Index ◽  
Foreign Exchange Markets ◽  
Content Type ◽  
Long Run ◽  
Exchange Markets ◽  
Exchange Rate Models ◽  
Asean Countries

PurposeThe purpose of this paper is to analyse the long-run relationship between geopolitical risk and exchange rates in four ASEAN countries.Design/methodology/approachWe augment theoretical nominal exchange rate models available in the literature with the geopolitical risk index developed by Caldara and Iacoviello (2019), and then estimate these models using the ARDL approach to Cointegration.FindingsOur analysis uncovers evidence of Cointegration in the exchange rate models when the MYR-USD, IDR-USD, THB-USD and PHP-USD exchange rates are used as dependent variable. Next, geopolitical risk is a significant long-run driver for these exchange rates. Third, in all countries higher geopolitical risk leads to a depreciation of domestic currency.Research limitations/implicationsThere are implications for entrepreneurs, central banks, portfolio managers and arbitrageurs who actively trade in financial markets. Financial market players can benefit from a better understanding of how geopolitical events affect the portfolio of financial assets across various countries, while entrepreneurs can work out hedging strategies.Originality/valueThis is a contribution to the study of interlinkages between political risk and foreign exchange markets. It is the first study to adopt the geopolitical risk index of Caldara and Iacoviello (2019) to the study the foreign exchange markets of ASEAN countries.

The Rise of the Dollar and Fall of the Euro as International Currencies

2019 ◽  
Vol 109 ◽  
pp. 521-526 ◽  
Author(s):  
Matteo Maggiori ◽  
Brent Neiman ◽  
Jesse Schreger
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Regimes ◽  
Bank Loans ◽  
Foreign Exchange Reserves ◽  
Government Bonds ◽  
International Currency ◽  
International Currencies ◽  
Import And Export ◽  
Exchange Markets

International currencies play important roles as foreign exchange reserves but are also most frequently used to denominate corporate and government bonds, bank loans, and import and export invoices. These currencies offer unrivaled liquidity, constituting large shares of the volume on global foreign exchange markets, and are commonly chosen as the anchors targeted by countries with pegged or managed exchange rate regimes. We provide evidence suggesting a recent rise in the use of the dollar, and fall of the use of the euro, with similar patterns manifesting across all these aspects of international currency use.

scholarly journals FOREIGN EXCHANGE MARKETS: AN ERROR CORRECTION MODEL ANALYSIS

2009 ◽  
Vol 6 (2) ◽  
Author(s):  
IBM Wiyasha
Keyword(s):  
Exchange Rate ◽  
Structural Stability ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Correction Model ◽  
Equilibrium Relationship ◽  
Exchange Markets ◽  
Exchange Rate Markets

This study aims at investigating the behavior of foreign exchange rate markets in Indonesia using 1350 daily observations. Another objective of this study is to examine the structural stability due to Bali bombing chapter I and II. The markets being investigated are USD, AUD, SGD, and YEN; all relative to rupiah. The ECM is applied to investigate the behavior of the markets aforementioned. The findings of this study are that the markets are co integrated and there is a long term equilibrium relationship among them. Using the Chow test, this study finds that there is no structural stability in the markets after Bali bombing chapter I and II.

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