scholarly journals Inventories of Asian textile producers, US cotton exports, and the exchange rate

2014 ◽  
Vol 61 (4) ◽  
pp. 397-413
Author(s):  
Nazif Durmaz
Keyword(s):  
Exchange Rate ◽  
South Korea ◽  
Exchange Rates ◽  
Relative Prices ◽  
Negative Effect ◽  
The Exchange Rate ◽  
Inventory Dynamics ◽  
Market Changes

The present paper develops a model with US cotton exports depending on the stock-to-use ratio, trade weighted exchange rates, and the relative cotton prices. The role of inventories in cotton consumption is examined in five textile producing cotton importers, China, Indonesia, Thailand, South Korea, and Taiwan. Cotton inventory dynamics is diverse among Asian textile producers. Relative prices have negative effect in all markets as expected. Exchange rate elasticities show that effects should be examined for each separate market. Changes in rates of depreciation also have stronger effects than exchange rate. Results reveal that these countries are not all that homogenous.

scholarly journals The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

2019 ◽  
Vol 22 (3) ◽  
pp. 117-129
Author(s):  
Jana Šimáková ◽  
Nikola Rusková
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchanges ◽  
The Exchange Rate ◽  
Chemical Companies ◽  
The Empirical Analysis

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

scholarly journals The Effects of the Exchange Rate on Value-Added International Trade to Enhance Free Trade Sustainability in GVCs

2019 ◽  
Vol 11 (10) ◽  
pp. 2740 ◽  
Author(s):  
Myoung Shik Choi ◽  
Bongsuk Sung ◽  
Woo-Yong Song
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Free Trade ◽  
Bilateral Trade ◽  
Value Added ◽  
Policy Implications ◽  
Negative Effect ◽  
The Exchange Rate ◽  
Positive Effect

This study investigates the role of value-added bilateral trade focused on global value chains to achieve sustainable economic development. Our findings address trade policy implications that help to mitigate the global imbalances and exchange rate conflicts. These policies are expected to provide a competitive advantage that can be crucial to the sustainability of free trade. We apply traditional trade models to the value-added framework to examine the effects on value-added trade. Empirically, we investigate the bilateral value-added trade for recent years. Our major findings are that currency devaluation has a positive effect on value-added exports but has a negative effect on gross exports because of the effect on intermediate goods trading dominating the effect on international trade, i.e., the effect on foreign content of intermediate imports dominating the effect on the domestic content of exports. The same effect applies to imports. Also, we confirm that foreign income has a positive effect on exports and value-added exports, and domestic income has a positive effect on imports and value-added imports. However, their effects on trade balance are not consistent. Our major findings imply that the analysis of value-added trade can best contribute to the sustainability of global free trade by considering trade policies as a result of reflecting the easing of the global imbalance and the exchange rate war.

scholarly journals Do Expectations Play Any Role in Determining Pak Rupee Exchange Rates?

1997 ◽  
Vol 36 (3) ◽  
pp. 263-273
Author(s):  
Razzaque H. Bhatti
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Purchasing Power Parity ◽  
Foreign Currency ◽  
Nominal Exchange Rate ◽  
Power Parity ◽  
Relative Prices

This paper presents some evidence on the role of expectations in the determination of Pak rupee exchange rates vis-à-vis the dollar, pound, and yen over the period 1982:1– 1993:7. Results of cointegration and coefficient restriction tests in two out of three cases are supportive of the view of exchange rate determination in postulating that in efficient markets in which uncertainty and expectations about the future are dominant, the equilibrium nominal exchange rate is determined not only by current relative prices but also by the expected real exchange rate. These results are supportive of ex ante purchasing power parity, implying that the real exchange rate follows a random walk. These results also suggest that the anticipated inflation rate is higher in Pakistan than in other countries, which tends to encourage the domestic residents to convert their current balances into foreign currency, so that the terms of trade deteriorate and offset much of gains of the continuous devaluation of Pak rupee by undermining external competitiveness.

TRANSACTION COSTS, NONFUNDAMENTAL UNCERTAINTY, AND THE EXCHANGE RATE DISCONNECT

2013 ◽  
Vol 18 (8) ◽  
pp. 1751-1772 ◽  
Author(s):  
Nan Li
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Currency ◽  
Rational Expectation ◽  
Asset Markets ◽  
Relative Prices ◽  
Relative Consumption ◽  
Shock Absorbers ◽  
Stochastic Fluctuations ◽  
The Exchange Rate

Exchange rates display excessive volatility and are disconnected from macroeconomic fundamentals. This paper presents a two-country general equilibrium model in which nonfundamental uncertainty (“sunspots”) in part drives stochastic fluctuations in the exchange rate in a class of rational expectation equilibria. In the model, a combination of financial frictions—incomplete asset markets and a proportional transaction cost associated with trading foreign-currency-denominated bonds—breaks the tight link between exchange rates and fundamentals. Moreover, the model generates a negative Backus–Smith correlation between relative consumption and the real exchange rate, because relative prices, acting as a source of shocks as opposed to shock absorbers, directly affect relative output and generate a large wealth effect on relative consumption. Using a random walk as an example of sunspot shocks, the volatility of exchange rates relative to that of output and consumption is found to be large in the presence of nontradable goods and distribution services.

scholarly journals A Predictive Effect of Exchange Rates on Value-Added Free Trade

2020 ◽  
Vol 12 (21) ◽  
pp. 9146
Author(s):  
Myoung Shik Choi
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Trade Balance ◽  
Value Added ◽  
Trade Flows ◽  
Currency Depreciation ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Positive Effect

The study investigates a predictive exchange rate effect on value-added trade flows on global value chains. We theoretically review the role of exchange rates on international trade based on insular, open, and global value chained economies. This paper empirically confirms a retro forecasting rule of the exchange rate on exports and trade balance using the value-added data for the period from 1995 to 2015. The first result is that real effective exchange rates have predictive elasticity information for the value-added trade flows. The second is that exchange rates have two practical effects on trade flows. The value-added exchange rate hurts the value-added trade balance due to increased intermediate trades, but the exchange rate has a positive effect on the gross trade balance. We would expect that value-added exports with trade balance can be improved in all sample countries when the value-added exchange rate is increasing. The main contribution is further evidence on distinguishing the currency depreciation on the value-added trade from the depreciation on the gross trade to achieve higher growth.

scholarly journals Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate

2021 ◽  
Vol 8 (4) ◽  
pp. 31
Author(s):  
KHATTAB Ahmed ◽  
SALMI Yahya
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Selection Criterion ◽  
Econometric Models ◽  
Interbank Market ◽  
Foreign Exchange Reserves ◽  
Central Bank Intervention ◽  
The Exchange Rate

The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.

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