scholarly journals A Study on the Pass-Through Rate of the Exchange Rate on the Liquid Natural Gas (LNG) Import Price in China

2020 ◽  
Vol 8 (4) ◽  
pp. 70
Author(s):  
Chaofeng Tang ◽  
Kentaka Aruga
Keyword(s):  
Exchange Rate ◽  
Natural Gas ◽  
Exchange Rates ◽  
Import Price ◽  
Monetary Reform ◽  
Lag Effect ◽  
The Exchange Rate ◽  
Pass Through ◽  
Liquid Natural Gas ◽  
The Impact

The Chinese liquid natural gas (LNG) import price has been unstable because the stability of LNG import prices is related to changes in the exchange rates. This paper analyzes the pass-through rate of the Chinese Yuan (CNY) and Japanese Yen (JPY) on the Chinese LNG import price. The Time-Varying Parameter vector autoregressive (TVP-VAR) model is adopted to verify the pass-through rate of the exchange rates on the LNG import price using the Markov chain Monte Carlo (MCMC) method. Since September 2005, the JPY pass-through rate on the Chinese LNG import price has been decreasing while that of the CNY has been increasing. Notably, the pass-through rate of CNY began to exceed that of JPY after 2008. Moreover, since 2005, the lag effect of the CNY on the Chinese LNG import price became longer compared to JPY. If any new currency reform of the CNY is implemented in the future, then the impact of JPY on the Chinese LNG import price could be reduced and the lag effect of the CNY on the Chinese LNG import price could become longer. Therefore, the fluctuation of the CNY is becoming an important factor in understanding the movements of the Chinese LNG import price. This implies the significance of considering the effect of the exchange rate on an energy market when the market is influenced by a monetary reform of the importing country.

The influence of inflation targeting on the pass-through effect of the exchange rate

2018 ◽  
pp. 70-84
Author(s):  
Ph. S. Kartaev ◽  
Yu. I. Yakimova
Keyword(s):  
Developing Countries ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Policy Regime ◽  
Short And Long Term ◽  
The Exchange Rate ◽  
Pass Through ◽  
The Impact

The paper studies the impact of the transition to the inflation targeting regime on the magnitude of the pass-through effect of the exchange rate to prices. We analyze cross-country panel data on developed and developing countries. It is shown that the transition to this regime of monetary policy contributes to a significant reduction in both the short- and long-term pass-through effects. This decline is stronger in developing countries. We identify the main channels that ensure the influence of the monetary policy regime on the pass-through effect, and examine their performance. In addition, we analyze the data of time series for Russia. It was concluded that even there the transition to inflation targeting led to a decrease in the dependence of the level of inflation on fluctuations in the ruble exchange rate.

scholarly journals The Impact of Russia’s Oil-Dominated Energy Economic Changes on the Exchange Rate of Russian Ruble – Chinese Renminbi

2017 ◽  
Vol 13 (22) ◽  
pp. 173
Author(s):  
Maoguo Wu ◽  
Yue Yu
Keyword(s):  
Economic Development ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Explanatory Power ◽  
Close Relation ◽  
Policy Implications ◽  
The Exchange Rate ◽  
Exchange Rate Changes ◽  
Pillar Industry ◽  
The Impact

Russia’s economic development has a close relation with China, due to geographical and historical reasons. This paper investigates whether the ruble – renminbi exchange rate changes accordingly when the pillar industry of Russia is drastically changing, and how the exchange rate changes and how it affects Russia’s economic development. In this paper, data of 7 variables spanning 122 months are selected based on related literature and availability of data. Regression analysis and empirical tests are carried out consequently. The results show that the energy price index represented by oil prices is negatively correlated with the exchange rate, and the explanatory power is as high as 41.1%. Following basic arbitrage methods and strategies, this paper verifies the feasibility of using arbitrage by comparing actual exchange rates with forecasted exchange rates. According to empirical results, problems witnessed in the process of ruble internationalization provides policy implications for China. China’s economy is utilized as an example to discuss the shortcomings of Russia’s economy. Related solutions are proposed.

scholarly journals Exchange rate pass-through to inflation in Egypt: a structural VAR approach

2018 ◽  
Vol 3 (2) ◽  
pp. 2-19 ◽  
Author(s):  
Omneia Helmy ◽  
Mona Fayed ◽  
Kholoud Hussien
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Structural Var ◽  
Empirical Literature ◽  
Content Type ◽  
The Exchange Rate ◽  
Exchange Rate Shocks ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The Impact

Purpose The theoretical and empirical literature stipulated that exchange rate shocks do influence the domestic price of imports. Hence, this paper aims to investigate the underlying relationship between the exchange rate and prices known as the exchange rate pass-through. Design/methodology/approach The paper uses a structural vector auto-regression (SVAR) model, drawing on Bernanke (1986) and Sims (1986), to empirically examine and analyze the pass-through of exchange rate fluctuations to domestic prices in Egypt. Findings The empirical results of the monthly data between 2003 and 2015 revealed that the exchange rate pass-through in Egypt is fairly substantial but incomplete and slow in the three price indices [IMP, producer price index and consumer price index (CPI)]. However, the impact is more prominent for consumer prices than for any other price index. This finding could be attributed to the fact that the CPI in Egypt is composed of a relatively large number of subsidized commodities and goods with administered prices as well as the authorities’ behavior in manipulating prices (i.e. export ban). This is expected to weaken the transmission of exchange rate shocks. Practical implications The result has interesting implications for Egypt’s ability to attain an effective inflation targeting regime. Originality/value The study contributes to the literature by assessing the effect of changes in the exchange rate (the Egyptian £ vis-à-vis the US$) on prices using an updated time series from 2003 to 2015. It addresses the limitations of the study of Nafie et al. (2004), which found no strong relationship between the exchange rate and inflation rate in the Egyptian context. One of these limitations was using the CPI, as the only price index.

Understanding the exchange rate pass-through to consumer prices in Vietnam: the SVAR approach

2019 ◽  
Vol 15 (5) ◽  
pp. 971-989 ◽  
Author(s):  
Anh The Vo ◽  
Chi Minh Ho ◽  
Duc Hong Vo
Keyword(s):  
Exchange Rate ◽  
Economic Integration ◽  
Global Financial Crisis ◽  
Global Market ◽  
Content Type ◽  
Consumer Prices ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The Impact

Purpose The purpose of this paper is to examine the degree of the exchange rate pass-through (ERPT) to the consumer price index (CPI) at both aggregated and disaggregated levels in Vietnam. Updated data of the nominal effective exchange rate (NEER) and bilateral exchange rate (BiER) have been utilized in this study for the comparison purposes. Design/methodology/approach Advanced time-series approaches such as a structural vector autoregressive framework, structural impulse response functions (SIRFs), and structural forecast-error variance decomposition (SFEVD) are utilized in this paper. Findings Empirical findings from this paper present an incomplete degree of the ERPT to the aggregated CPI. The ERPT based on the BiER is observed to have substantially larger magnitude than the NEER-based pass-through. For the disaggregated level, the degree of the ERPT varies considerably across sub-components of the CPI, with a higher magnitude of the ERPT elasticity being found from the BiER estimations. The index of housing and construction materials has the largest ERPT based on the BiER, followed by the food and foodstuffs (1.00 and 0.56, respectively). The macroeconomic and financial environments as well as an economic integration into the global market may be the main causes of a higher ERPT in Vietnam in comparison with other ASEAN countries. Research limitations/implications The significant and incomplete pass-through of the exchange rate in Vietnam can affect firms’ and households’ budget planning, savings and profits. This finding generally implies that the cost of devaluation of the domestic currency affects the society as the whole in terms of welfare. The State Bank of Vietnam should carefully consider the overall effect of welfares when formulating and implementing strategies of currency devaluation. In addition, the Vietnamese economy becomes more sensitive to external vulnerabilities via changes of the exchange rate during an increasingly economic integration into the global market. In order to maintain inflation stability, it is vitally important to reduce the impact of exchange rate movements on the domestic prices, both aggregated and disaggregated levels, by pursuing either monetary policy credibility or inflation targeting. Originality/value Previous studies on the ERPT literature in the Asia region or for emerging countries focus mainly on the aggregated data of the CPI. Previous studies were conducted before the global financial crisis in 2008/2009. The current paper is the first of its kind to examine the pass-through from exchange rates to consumer prices in Vietnam using both aggregated and disaggregated data.

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 Methods of assessing the impact of dollarization on economic development

VUZF Review ◽  
2021 ◽  
Vol 6 (1) ◽  
pp. 12-25
Author(s):  
Оlena Chukurna
Keyword(s):  
Economic Development ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Arima Model ◽  
Machine Building ◽  
Building Industry ◽  
Factors Affecting ◽  
Domestic Prices ◽  
The Exchange Rate ◽  
The Impact

The article considers the transformation of the money function as a consequence of the impact of dollarization on the economic development of countries in the global context. The economic substantiation of the process of dollarization of the economy, which is connected with the function of money, is proved. The influence of dollarization on the macro – and macro levels of the economy is substantiated. Approaches to methods of estimating dollarization on the economic development of the country in the context of globalization are proposed. The article defines the degree of dependence of the machine-building industry of Ukraine on the processes of dollarization of the world economy through the use of the effect of transferring the dynamics of changes in exchange rates to the price dynamics in the machine-building industry. Using the ARIMA model, the effect of transferring the exchange rate to prices for mechanical engineering products is proved. The expediency of using the ARIMA forecasting model to predict the further spread of the effect of the change in exchange rates on prices. An approach is proposed to determine the sensitivity of domestic prices for the products of engineering enterprises to changes in the exchange rate through modified elasticity coefficients. It was determined factors affecting the size of the effect of transfer of the exchange rate on domestic prices for the products of machine-building enterprises.

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 Web Intelligent for Forecasting Exchange Rate Currency using Clever Extraction Agent Combine with Financial Data Mining

2021 ◽  
Vol 15 ◽  
pp. 1-7
Author(s):  
Khammapun Khantanapoka
Keyword(s):  
Data Mining ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Data ◽  
Exchange Rate Forecasting ◽  
Currency Exchange ◽  
The Exchange Rate ◽  
The Individual ◽  
The Impact ◽  
Pattern Index

From the current economic climate results in fluctuations of currency exchange rates in all countries. Since the most countries use USD as the reference exchange rate. The exchange rate will change from day to day so variety of factors which affect the exchange rate forecasting in the exchange rates in advance are critical to evaluate for the impact of the economic system of each country. It is important for investment decisions, exports, and profitability in the money market. It was reported on website (www) in the daily exchange rate changes. We use clever search agent (CSA) gather information from financial website generate to financial data mining. Kohonen Neural Networks is the method to determine similarity of internet documents using pattern index of financial document. And Ontology Structure of Sentence is the method to determine keyword using pattern index of financial content. Both are important components of Financial Data Mining. It is analyzed for exchange rate forecasting about USD/ Pounds. Our experimental forecast exchange rates for currency's USD / Great Britain Pounds by compare three algorithms as fallows GA, Meiosis Genetic Algorithms (MGA). This research propose new algorithm is called Dash Predator Swarm Optimization (DP2SO) which are accurate in prediction than other methods in generation of Genetic algorithm (GA) 35.83-41.52% which it depend on the accuracy of the information in each factor which are important finance dataset. It will present the future trends of exchange rate to the individual website.

scholarly journals External Debt and its Impact on Exchange Rates in the Philippines

2022 ◽  
Vol 4 (1) ◽  
pp. 93-103
Author(s):  
Mikayla Mendoza ◽  
Andrew Gonzalez
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
External Debt ◽  
Negative Relationship ◽  
The Philippines ◽  
Debt Management ◽  
Foreign Reserves ◽  
The Exchange Rate ◽  
The Government ◽  
The Impact

The exchange rate is a crucial macroeconomic factor within emerging and transition economies. External debt is a driving force for the growth of an economy. This study then aims to determine the impact of external debt on the exchange rate of the Philippines by examining the impact of external debt accumulation on the Philippines' exchange rates. The researcher applies a correlational time series analysis in order to capture the impact of external debt, debt services on external debt, and foreign reserves on the exchange rate of the Philippines within the period from 1980 to 2019. The relationships between variables based on the developed theoretical framework are analyzed through multiple regression analysis. Empirical results show that external debt and debt services positively impact the exchange rate, while foreign reserves exhibit a negative relationship. The corresponding coefficients indicate that a change in any of the independent variables will cause significant but marginal fluctuations in the exchange rate in the case of the Philippines. The author concludes that external debt encourages the growth of exchange rates in the long run in the case of the Philippines due to its positive relationship. This implies that the Philippine government should aim to focus on more efficient external debt management strategies to enhance the value of the exchange rate of the Philippine Peso relative to other countries. Accordingly, the researcher recommends that the government take the necessary means to reduce the country's external debt to better the economy.

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