scholarly journals Nonlinearity and fractional integration in the US dollar/euro exchange rate

2012 ◽  
Vol 59 (3) ◽  
pp. 325-334 ◽  
Author(s):  
Burcu Kiran
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Stationary Process ◽  
Fractional Integration ◽  
Nonlinear Behavior ◽  
Threshold Autoregressive ◽  
Threshold Autoregressive Model ◽  
Weak Evidence ◽  
The Us ◽  
Us Dollar

This paper examines the nonlinear behavior and the fractional integration property of the US dollar/euro exchange rate over the period from January 1999 to August 2010 by extending the procedure of Peter M. Robinson (1994) to the case of nonlinearity. First, using the approach developed by Mehmet Caner and Bruce E. Hansen (2001), we investigate the possible presence of nonlinearity in the series through the estimation of a two-regime threshold autoregressive model. After finding nonlinearity, we also allow for disturbances to be fractionally integrated based on the different versions of Robinson (1994) tests. The findings show that the US dollar/euro exchange rate follows a stationary process with a weak evidence for long memory.

scholarly journals Evaluation of Long Memory on the Malaysia Exchange Rate Market

2018 ◽  
pp. 653-656
Author(s):  
Atikullah Ibrahim ◽  
Siti Aida Sheikh Hussin ◽  
Zalina Zahid ◽  
SitiShalizaMohd Khairi
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Arima Model ◽  
Likelihood Estimation ◽  
Model Forecast ◽  
Monthly Data ◽  
The Us ◽  
Us Dollar ◽  
Arfima Model

This research evaluates the presence of long memory or long-term dependence on the Malaysian exchange rate. Daily, weekly and monthly data are evaluated against the US dollar (USD) covering from January 2005 to March 2018. Evaluation of long memory is based on the Geweke and Porter-Hudak estimation and the Maximum Likelihood Estimation. The result suggests the presence of long memory on all the daily, weekly and monthly data. Results show that shock on the Malaysian exchange rate persist longer than expected. The forecast capability also concludes that addition of the long memory presence from ARIMA model to ARFIMA model could improve the model forecast.

scholarly journals Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

2012 ◽  
Vol 16 (1/2) ◽  
pp. 105-136
Author(s):  
Guglielmo Maria Caporale ◽  
◽  
Luis Gil-Alana ◽  
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar

Problem of Yuan Undervaluation in US-China Trade Relations

2012 ◽  
pp. 20-28
Author(s):  
A. Polivach
Keyword(s):  
Exchange Rate ◽  
National Currency ◽  
Chinese Government ◽  
Scientific Validity ◽  
Trade Relations ◽  
China Trade ◽  
The Us ◽  
World Economic ◽  
Us Dollar ◽  
World Economic Crisis

Before the world economic crisis the Chinese government restricted the sphere of the Yuan’s circulation exceptionally by the domestic market. Basically, until that time the Yuan was not freely convertible while the Chinese foreign trade transactions were operated with the help of the US dollar. This is a sufficient reason to state that the issue of Yuan’s underestimated exchange rate has no fundamental relevance. However, the crisis forced China to substantially extend the utilization of its national currency in the international settlements. This is especially true in case of mutual settlements with the neighbor countries. So far, presumably, the issue of Yuan’s underestimated exchange rate will, at last, receive a scientific validity only when the Chinese national currency will become fully convertible and the scales of its utilization will become comparable with those of the traditional hard currencies.

scholarly journals Macro Economic Challenges and Third Party Funds of Islamic Commercial Banks in Indonesia

2019 ◽  
Vol 3 (1) ◽  
Author(s):  
Anik Anik ◽  
Iin Emy Prastiwi
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
Data Gathering ◽  
Third Party ◽  
Series Data ◽  
Monthly Data ◽  
The Us ◽  
Us Dollar ◽  
Gathering Data

This article aims to determine the effect of inflation, the BI Rate, the exchange rate of the rupiah to the US dollar, and the amount of money supply for Third Party Funds (TPF) in Indonesians’ Islamic Banks during 2013-2016. This research method uses multiple regression analysis with time series data; gathering data from 48 samples of which are monthly data on the variables.  The result of this research find that the inflation and exchange rate variables have no significant effect on TPF, while the BI Rate variable and the money supply have a significant effect on TPF. In doing so, Islamic banking can pay serious attention to the BI rate and the money supply and in this study the BI rate on the direction of TPF. Keywords: inflation, BI rate, exchange rate, Third Party Funds

scholarly journals Cointegration of Stock Market and Exchange Rate in Indonesia

2019 ◽  
Vol 2 (2) ◽  
pp. 125 ◽  
Author(s):  
Pribawa E Pantas ◽  
Muhamad Nafik Hadi Ryandono ◽  
Misbahul Munir ◽  
Rofiul Wahyudi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Capital Market ◽  
Global Financial Crisis ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Johansen Cointegration Test ◽  
The Global Financial Crisis

This study aims to determine the long-term relationship between stock market and exchange rate in Indonesia. The research method used is Johansen cointegration test. The results of this study found no cointegration between the variables tested. Thus the exchange rate, JII, and IHSG have no relationship in the long term. The fluctuation of the rupiah exchange rate in recent years did not generally affect the performance of stock indices especially after the global financial crisis of 2008. This shows the capital market in Indonesia has a good performance so that it is not so sensitive to the sentiment of the decline in the rupiah against the US dollar. This finding is in line with the findings of Syahrer (2010) which states the exchange rate has no effect on the stock market.

scholarly journals Analisis Pengaruh Profitabilitas, Kebijakan Dividen, Inflasi dan Nilai Tukar terhadap Nilai Perusahaan

2020 ◽  
Vol 1 (1) ◽  
pp. 160-170
Author(s):  
Annisa Pujiati ◽  
Fatmi Hadiani
Keyword(s):  
Exchange Rate ◽  
Firm Value ◽  
Sampling Method ◽  
Dividend Policy ◽  
Secondary Data ◽  
Construction Sector ◽  
The Us ◽  
Sample Data ◽  
Negative Effect ◽  
Us Dollar

The purpose of this research is to determine the effect of profitability, dividend policy, inflation, and exchange rates on firm value. The population of this study is the property, real estate, and building construction sector companies listed on ISSI for the 2014-2018 period. In determining the sample data, this study used a purposive sampling method and obtained a sample of 9 companies. Research data is taken from secondary data, namely performance summary reports and reports on inflation and the US dollar exchange rate. The analytical method used to solve the problem in this research is path analysis using the WarpPLS 7.0 application. From this research, it is found that the lower profitability (ROE) and dividend policy (DPR) has a positive  and significant effect on firm value (PBV), inflation has a negative and insignificant effect on firm value (PBV) and the exchange rate (US$) has a negative effect. and significant to firm value (PBV).

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