scholarly journals POLICY UNCERTAINTY AND FOREIGN EXCHANGE RATES: THE DCC-GARCH MODEL OF THE US / JAPANESE FOREIGN EXCHANGE RATE

2016 ◽  
Vol V (4) ◽  
Author(s):  
Kazutaka Kurasawa
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Garch Model ◽  
Foreign Exchange Rate ◽  
Foreign Exchange Rates ◽  
Policy Uncertainty ◽  
The Us

scholarly journals Factors that Determine and Influences Foreign Exchange Rates

2021 ◽  
Author(s):  
Rabeya Akter
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Natural Disasters ◽  
Foreign Exchange ◽  
Financial Stability ◽  
Supply And Demand ◽  
Substantial Effect ◽  
Foreign Exchange Rate ◽  
Market Forces ◽  
Foreign Exchange Rates

The Foreign Exchange rate is very much crucial for determining the economic health level of the country. The foreign exchange rate provides financial stability, enhances purchasing power and allows global trades. This rate usually fluctuates due to the market forces which control the supply and demand of the currency. Nominal and relative inflation and income level have a substantial effect on determining the exchange rates. Government measures, international situations, natural disasters or any unexpected situation like Covid-19, Rohingya crisis etc. can affect the exchange rates. Besides this, the interaction between the factors can create different reasoning to affect the market. This study tries to identify some factors with relevant examples.

Modelling foreign exchange rate exposure

2014 ◽  
Vol 30 (2) ◽  
pp. 96-120
Author(s):  
Islam Amer
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Insurance Companies ◽  
Future Research ◽  
Foreign Exchange Rates ◽  
Content Type ◽  
Operating Income ◽  
Exchange Rate Exposure

Purpose – The purpose of this paper is to fill a gap in the foreign exchange rate exposure management literature as the existing literature has focused only on developed economics, and also the current literature on foreign exchange rate exposure of cedant insurance companies is very limited. As Egyptian insurance companies deal directly with foreign exchange rates, they face exposure to exchange rates through their international reinsurance operations. Design/methodology/approach – Martin and Mauer (2003, 2005) three-stage model is used to estimate foreign exchange rate transaction exposure for the sample of 23 Egyptian insurance companies over the period 2002-2009. However, the author has two innovations to this method. The author's first innovation is that instead of looking at the unanticipated operating income for each cedant company (as in both previous papers), this paper looks at the unanticipated operating income on an aggregate level. The author's second innovation is that instead of the model used in previous papers the author uses a model from the actuarial field that was proposed by Blum et al. (2001) for modelling foreign exchange rates with their relevant constituents (inflation and interest rate). Findings – The central finding of the study is that the foreign exchange rate exposure across the Egyptian insurance industry is not significant (at the 10 per cent level) and investigates this result. Research limitations/implications – This study has made considerable contributions to the existing academic literature, but the findings also illustrate the limitations of the research undertaken. These limitations, however, provide important directions for future research. This thesis focused exclusively on the transaction exposure that Egyptian insurance companies experience to fluctuations in the US dollar exchange rate in relation to their international reinsurance operations. As a result, investigating both translation and economic exposure was beyond the scope and purpose of this study. Practical implications – The findings of this research provide meaningful implications for industry practitioners. As Egyptian insurance companies are not immune from exchange rate risks, efforts must be made by each insurer to approximate and quantify their individual foreign exchange rate transaction exposure. Additionally, as Egyptian insurance companies increasingly operate worldwide (through the international reinsurance industry), this research and its results are significant for practitioners not only in Egypt, but also further afield. Finally, it is believed that this research will highlight greater implications for international financial players active in Egyptian financial and non-financial sectors, including banks not exposed singularly to US dollars, but to multiple currencies. One recent Egyptian example is Egypt Air, which lost an estimated US$600 million in 2013 due to foreign exchange rate fluctuations. Originality/value – Since Egyptian insurance operates worldwide, the results of this paper are of significant not only for Egyptian insurance managers but also to practitioners beyond Egypt.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 31-44
Author(s):  
Nenubari Ikue John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

An Application of Genetic Programming to Forecasting Foreign Exchange Rates

2010 ◽  
pp. 26-48
Author(s):  
Muneer Buckley ◽  
Zbigniew Michalewicz ◽  
Ralf Zurbruegg
Keyword(s):  
Exchange Rate ◽  
Genetic Programming ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Economic Model ◽  
Dynamic Environments ◽  
Foreign Exchange Rates ◽  
Better Than ◽  
Made In

There is a great need for accurate predictions of foreign exchange rates. Many industries participate in foreign exchange scenarios with little idea where the exchange rate is moving, and what the optimum decision to make at any given time is. Although current economic models do exist for this purpose, improvements could be made in both their flexibility and adaptability. This provides much room for models that do not suffer from such constraints. This chapter proposes the use of a genetic program (GP) to predict future foreign exchange rates. The GP is an extension of the DyFor GP tailored for forecasting in dynamic environments. The GP is tested on the Australian / US (AUD/USD) exchange rate and compared against a basic economic model. The results show that the system has potential in forecasting long term values, and may do so better than established models. Further improvements are also suggested.

scholarly journals The Dynamics of Philippine Foreign Exchange Rates (2013-2017): A Test for Chaos

2019 ◽  
Vol 8 (11) ◽  
pp. 486-489
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Lyapunov Exponent ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Chaotic Behavior ◽  
The Philippines ◽  
Series Data ◽  
Largest Lyapunov Exponent ◽  
Foreign Exchange Rates

In most studies on dynamics of time series financial data, the absence of chaotic behavior is generally observed. However, this theory is not yet established in the dynamics of foreign exchange rates. Conflicting claims of presence and absence of chaos in foreign exchange rates open door for further investigation considering various deterministic factors. This work examines the dynamics of exchange rate of the Philippine Peso against selected foreign currencies. Time series data were collected for eight (8) of Philippine’s top trading partners as categorized according to economic condition. The data obtained with permission from the Central Bank of the Philippines covered the years 2013 to 2017. Data sets were plotted revealing non-linear movement of Philippine exchange rates against time. The foreign exchange rate time series obtained per currency were examined for chaotic behavior by computing the Largest Lyapunov Exponents (LLE). A positive Lyapunov exponent is an indication of sensitivity dependence, i.e, a chaotic dynamics; whereas, a negative Lyapunov exponent indicates otherwise. Computed LLE’s varied per currency but all were found to be negative. Therefore, using the Largest Lyapunov Exponent Test (LLE), analysis of the time series of Philippine foreign exchange rates shows little evidence of chaotic patterns.

The Effect of the Arab Spring Revolution on the Yemeni Economy

2019 ◽  
pp. 134-144
Author(s):  
Maroa Nasser Al Katheri
Keyword(s):  
Quality Of Life ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
The Public ◽  
The Us ◽  
Us Dollar ◽  
The Arab Spring ◽  
Poverty Levels

The economic and humanitarian conditions of the Yemeni population have been deteriorating. The variable that affects the Yemeni economy is the foreign exchange rate of the Yemeni currency. In 2014, one US Dollar equaled to 240 Yemeni Ryal. In 2018, one US Dollar equals 700 Yemeni Ryal. The massive leap of the value of the Yemeni Ryal against the US Dollar, paired with the stabilization of the public sector occupation salaries, deeply affected the quality of life of the Yemeni citizen. Furthermore, the leap of the Yemeni Ryal value leads to the increase of the merchandise prices as well as the price of public services. The decrease of the value of the Yemeni Ryal against the US Dollar is one variable that is assisting the levels of poverty in Yemen. However, this chapter believes that economic mismanagement and the foreign exchange rate are essential variables that explain the increase of poverty levels in Yemen.

scholarly journals Influence of Exchange Rate on the Economic Growth in the Turkish Economy

2020 ◽  
Vol 11 (1) ◽  
pp. 21-34
Author(s):  
Özcan Karahan
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Inflation Targeting ◽  
Foreign Exchange Rate ◽  
Policy Implications ◽  
Causality Test ◽  
Input Structure ◽  
Johansen Cointegration Test

The traditional view asserts that there is a positive relationship between the foreign exchange rate and economic growth. So much so that an increase in foreign exchange rates enhances the net export volume and thus positively affects economic growth due to the increasing total demand. However, structural economists argue that there is an inverse relationship between the exchange rate and economic growth. Especially in developing countries, the input structure of production depends on imported capital and intermediate goods, so an increase in exchange rates makes import production inputs more expensive and thus negatively affects economic growth. Turkey, leaving foreign exchange rate free float since 2002, has implemented the Inflation Targeting (IT) regime as the monetary policy. Therefore, Turkey has a real experience to analyse the role of exchange rate changes on economic growth. Accordingly, in our study, using the quarterly data between 2002-Q1 and 2019-Q1, the relationship between exchange rate and economic growth was examined by employing Johansen cointegration test, Granger causality test and Innovation Accounting Techniques. Empirical findings suggest that there is a negative causal relationship between exchange rates and economic growth, as claimed by structuralist economists. In terms of policy implications, it can be argued that, even under the inflation targeting regime in Turkey, both price and exchange rate stability should be provided together.

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