The Dynamic Relationship between Exchange Rates and Macroeconomic Fundamentals: Evidence from Pacific Rim Countries

CFA Digest ◽  
2014 ◽  
Vol 44 (7) ◽  
Author(s):  
Neeti Goyal
Keyword(s):  
Exchange Rates ◽  
Pacific Rim ◽  
Dynamic Relationship ◽  
Macroeconomic Fundamentals

The Dynamic Relationship between Oil Prices and Exchange Rates

2017 ◽  
Vol 2 (2) ◽  
Author(s):  
Hamid Sakaki
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Oil Prices ◽  
Significant Negative Correlation ◽  
Crisis Period ◽  
Dynamic Correlation ◽  
Dynamic Relationship ◽  
Daily Data ◽  
Us Dollar ◽  
Dollar Depreciation

<p>Using daily data of oil prices and exchange rates of 14 countries for the period January 1999 to November 2014, this study examines the dynamic correlation between oil prices and exchange rates by DCC-GARCH model. The results show the significant negative correlation between oil prices and exchange rates over the period. These results imply that the increase of oil price is coinciding with US dollar depreciation and vice versa.  This correlation strengthens in negative direction during financial crisis period, while it shifts to an upward trend after financial crisis period.</p>

scholarly journals Effective Exchange Rates in Central and Eastern European Countries: Cyclicality and Relationship with Macroeconomic Fundamentals

2015 ◽  
Vol 15 (2) ◽  
pp. 157-177 ◽  
Author(s):  
Daniel Stavárek ◽  
Cynthia Miglietti
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Flexible Exchange Rate ◽  
European Countries ◽  
Eastern European ◽  
Macroeconomic Fundamentals ◽  
Effective Exchange ◽  
Exchange Rate Arrangements ◽  
Eastern European Countries

Abstract This paper examines the evolution of effective exchange rates in nine Central and Eastern European countries in terms of development trends, volatility and cyclicality. Consequently, it provides direct empirical evidence on the nature of the relationship between effective exchange rates and selected macroeconomic fundamentals, addressing a key precondition of numerous exchange rate determination models and theories that attempt to explain the role of exchange rates in the economy. The results suggest that flexible exchange rate arrangements are reflected in both nominal and real effective exchange rates having higher volatility and variability. Furthermore, the results provide mixed evidence in terms of intensity, direction and cyclicality, but show a weak correlation between exchange rates and fundamentals. Sufficiently high coefficients are found only for money supply. Consequently, using fundamentals for the determination of exchange rates and using the exchange rate to explain economic development may be of limited use for the countries analyzed.

Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Nepal

2016 ◽  
Vol 20 (3) ◽  
pp. 123-144
Author(s):  
Do-hyun Kim ◽  
Shyam Subedi ◽  
Sang-Kuck Chung
Keyword(s):  
Exchange Rates ◽  
Stock Prices ◽  
Dynamic Relationship
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