scholarly journals The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine

2017 ◽  
pp. 33-46 ◽  
Author(s):  
Viktor Shevchuk
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Rational Expectations ◽  
Aggregate Demand ◽  
Wholesale Price ◽  
Raw Material ◽  
Price Inflation ◽  
Exchange Rate Variability ◽  
The Exchange Rate ◽  
The Impact

This article studies the impact of the anticipated and unanticipated components of the nominal effective exchange rate on Ukraine’s main macroeconomic indicators. The study uses quarterly data from 1999 to 2016 and considers the relationship with the budget balance, incomes of trading partner countries, global interest rates, and global raw material prices. Using the time-varying coefficient model (the Kalman filter), the research shows that a depreciation of the hryvnia accelerates wholesale price inflation and negatively affects the performance of GDP and industrial output – these effects were clearly visible after the financial crisis of 2008-2009). However, the research found that only unanticipated changes in the exchange rate have an impact on agricultural production. The results are justified by means of a modified AD-AS model with rational expectations that accounts for the main mechanisms of the influence of the exchange rate on aggregate demand and supply amid a high level of dollarization in the economy.

The impact of news on the exchange rate of the lira and long-term interest rates

2002 ◽  
Vol 19 (4) ◽  
pp. 611-639 ◽  
Author(s):  
Fabio Fornari ◽  
Carlo Monticelli ◽  
Marcello Pericoli ◽  
Massimo Tivegna
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
The Exchange Rate ◽  
The Impact

scholarly journals DAMPAK FLUKTUASI NILAI TUKAR TERHADAP OUTPUT DAN HARGA: PERBANDINGAN DUA REZIM NILAI TUKAR

2007 ◽  
Vol 10 (1) ◽  
pp. 3-22
Author(s):  
Jardine A Husman
Keyword(s):  
Exchange Rate ◽  
Fiscal Policy ◽  
Exchange Rate Regime ◽  
Aggregate Demand ◽  
Import Price ◽  
Regime Switch ◽  
Aggregate Supply ◽  
Rate Fluctuation ◽  
The Exchange Rate ◽  
The Impact

This paper analyzes the impact of exchange rate fluctuation on the output and price in two different regimes. The model employed distinguishes four different sources of impacts on the output and price, namely the anticipated and the un-anticipated exchange rate movement, the aggregate demand and the aggregate supply shock.The result confirms the impact of the exchange rate regime switch on how the exchange rate influences the output. The net impact of Rupiah depreciation will expand the output, indicating the dominance of the aggregate the demand shock through the competitive advantage than the aggregate supply shock through import price effect.The regime switch also alters the effectiveness of the monetary and the fiscal policy on the output. The magnitude of monetary and fiscal policy is much larger than the exchange rate impact on output, both managed and free floating regime.Keywords: exchange rate, anticipated vs. unanticipated depreciation, supply vs. demand channels.JEL Classification: F41, F43, F31

scholarly journals Analysis of Exchange Rate Pass-Through in Indonesia With VECM Approach

2019 ◽  
Vol 2 (2) ◽  
pp. 424-435
Author(s):  
Nor Malisa ◽  
Karsinah Karsinah
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Price Index ◽  
Wholesale Price ◽  
Impulse Response Function ◽  
Import Price ◽  
Producer Price ◽  
Import Price Index ◽  
The Exchange Rate ◽  
Pass Through

The  purpose  of  this  research  is  to  determine  and  analyze  the degree of pass-through in Indonesia, which calculated from the cumulative response of the exchange rate to the CPI and the exchange rate on the exchange rate it self. Data used in this research is quarterly from 1997Q3 to 2017Q4. The variables used in this research are consumer price, rupiah to dollar exchange rate, producer price index, import price index, SBI interest rates, US wholesale price index. Data has sourced by Bank Of Indonesia and International Monetary Fund. The method used in this research is Vector Error Correction Model (VECM). The results showed that in the long-term exchange rate, producer price index, import price index, US wholesale price index had a positive effect on CPI while SBI interest rates had a negative effect to the consumer price. The impulse response function test states that in the first quarter only the variable itself was responded by the CPI, the second quarter import price index at the most by 1.2% was able to respond to the CPI. The results of the pass-through degree in Indonesia show that producer price is 0.009 and consumer price is -0.002. The result of variance decomposition shows that the import price index has the largest contribution in influencing the consumer price index. Have to reduce imports of raw materials for self-consumption, but have to import for re-export, so that domestic prices in Indonesia are stable. Tujuan penelitian ini untuk mengetahui dan menganalisis derajat pass-through di Indonesia yang dihitung dari kumulasi respon kurs terhadap IHK dan kurs terhadap kurs. Data yang digunakan dalam penelitian ini adalah data time series triwulan dari tahun 1997Q3 hingga 2017Q4.Variabel yang digunakan dalam penelitian ini antara lain indeks harga konsumen, nilai tukar rupiah per dolar, indeks harga produsen, indeks harga impor, suku bunga SBI, indeks harga perdagangan besar AS. Metode yang digunakan adalah Vector Error Correction model (VECM). Hasil penelitian menunjukkan bahwa pada jangka panjang variabel nilai tukar,indeks harga produsen, indeks harga impor, indeks harga perdagangan besar AS berpengaruh positif terhadap IHK sedangkan suku bunga SBI berpengaruh negatif terhadap IHK. Hasil uji impulse response function menyatakan bahwa pada kuartal pertama hanya variabel itu sendiri yang direspon oleh IHK, kuartal kedua indeks harga impor paling besar sebesar 1.2% mampu direspon IHK. Hasil derajat pass-through indeks harga produsen sebesar 0.009 dan indeks harga konsumen sebesar -0.002. Hasil variance decomposition menunjukkan bahwa indeks harga impor mempunyai kontribusi terbesar dalam mempengaruhi indeks harga konsumen. Perlu mengurangi impor bahan baku untuk konsumsi sendiri, namun mengimpor untuk diekspor kembali supaya tingkat harga domestik di Indonesia stabil.

scholarly journals THE EFFECT OF MACROECONOMIC VARIABLES IN PREDICTING INDONESIAN SHARIA STOCK INDEX

2019 ◽  
Vol 5 (2) ◽  
pp. 223
Author(s):  
Angga Khoerul Umam ◽  
Ririn Tri Ratnasari ◽  
Sri Herianingrum
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Industrial Production ◽  
Stock Index ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Industrial Production Index ◽  
The Exchange Rate ◽  
The Impact

ABSTRACTThis study examines the impact of macroeconomic variables, namely the exchange rate, interest rates, industrial production index, SBIS and inflation on the Indonesian Islamic stock index. This study uses monthly data from May 2011 to December 2018. This research is a quantitative study that applies the Johansen Cointegration Test and Vector Error Correction Model to see the long-term impact and shock response on certain variables. The findings indicate the existence of short-term and long-term causality between macroeconomic variables and the Indonesian Islamic stock index. Especially in the long run, industrial production index and inflation have a significant effect on ISSI, while the exchange rate, interest rates and SBIS have no significant effect on ISSI. IRF results show that the response of each variable and stable at different times. The ISSI response experienced a positive shock that occurred in the industrial production index and inflation. On the other hand, the exchange rate, the Bungan rate and SBIS were responded negatively by ISSI.

scholarly journals Safe Asset Scarcity and Aggregate Demand

2016 ◽  
Vol 106 (5) ◽  
pp. 513-518 ◽  
Author(s):  
Ricardo J. Caballero ◽  
Emmanuel Farhi ◽  
Pierre-Olivier Gourinchas
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Open Economy ◽  
Capital Flows ◽  
Crucial Role ◽  
Aggregate Demand ◽  
The Other ◽  
The Exchange Rate

We explore the consequences of safe asset scarcity on aggregate demand in a stylized IS-LM/Mundell Fleming style environment. Acute safe asset scarcity forces the economy into a “safety trap” recession. In the open economy, safe asset scarcity spreads from one country to the other via capital flows, equalizing interest rates. Acute global safe asset scarcity forces the economy into a global safety trap. The exchange rate becomes indeterminate but plays a crucial role in both the distribution and the magnitude of output adjustment across countries. Policies that increase the net supply of safe assets somewhere are output enhancing everywhere.

scholarly journals PENGARUH VOLATILITAS NILAI TUKAR TERHADAP PERTUMBUHAN EKONOMI INDONESIA

2008 ◽  
Vol 10 (3) ◽  
Author(s):  
Sri Liani Suselo ◽  
Hilde Dameria Sihaloho ◽  
Tarsidin Tarsidin
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Negative Impact ◽  
Aggregate Demand ◽  
Exchange Rate Volatility ◽  
Nominal Exchange Rate ◽  
The Other ◽  
The Exchange Rate ◽  
The Impact ◽  
Real Exchange Rate Volatility

This paper investigates the impact of the exchange rate volatility on the economic growth in Indonesia. The model applied considers both the aggregate demand and the aggregate supply interaction and the impact of the exchange rate volatility channeled through the investment and trade.The result shows the negative impact of the exchange rate volatility either in nominal or in real, on the economic growth. Both nominal and real exchange rate volatility dampens the investment. However, the nominal exchange rate volatility lowers import while the real one lowers export and at the other side boosts import.Keywords: Economic growth, exchange rate.JEL Classification: F31, O11, O40

Sign in / Sign up

Export Citation Format

Share Document