scholarly journals The Effects of the Interest Rate and Foreign Exchange Rates on Kyrgyzstan Export

2017 ◽  
Author(s):  
Fuat Sekmen ◽  
Galip Afsin Ravanoglu
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
National Currency ◽  
Foreign Exchange Rates ◽  
Causality Test ◽  
Balance Of Trade ◽  
The Interest Rate ◽  
The Relationship

In the Keynesian models, such as Mundell-Fleming model, it is accepted that there is a significant relationship between interest rates and the value of national currency. When interest rate increases, demand for assets in terms of national currency rises and the value of national currency ascends, but in this case because of diminishing exports, the balance of trade deteriorates. In this study, it is stressed that the value of national currency is determined by productivity and output increasing. This study analysis export, interest rate, exchange rate and inflation relationship for Kyrgyzstan economy for the period of 2002:1-2017:4 The VAR granger causality method is used to get the relationship among the variables used in this study. The result of VAR granger causality test shows that there is causality from exchange rate to inflation. Also, it has been found that there has been causality running from inflation to interest rate.

scholarly journals ANALISIS KEBIJAKAN MONETER DALAM MENGENDALIKAN INFLASI DI INDONESIA

2012 ◽  
Vol 1 (2) ◽  
pp. 103
Author(s):  
Suriani Suriani
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Unit Root Test ◽  
Good Choice ◽  
Causality Test ◽  
Long Run ◽  
Short Run

The objective of this research is to analize the effects of the variables interest rate, and exchange as one of monetary mecanisme for controlling inflation. The correlation among those variables is cointgration in the long run and short run equilibrium analyzed. In Indonesia, the monetary policy is run by monetary instruments (i.e. interest rates or monetary aggregates) to achieve price stability. This research used Unit Root Test , Cointegration Test, Granger causality and VECM (Vector Error Correction Model) Test. The results of estimation showed that have cointegration among interest rate, exchange rate and inflation in the long run. Granger causality test showed that between inflation and interest rate have no causality relationship, but for inflation and exchange rate have two directions relationship of causality. It’s means, monetary of mecanisme transmition through exchange rate channel can be good choice in making monetary policy to control inflation in Indonesia.

scholarly journals The Effect of Foreign Debt on The Exchange Rate and Its Impact on Monetary Policy in Indonesia

Media Trend ◽  
2019 ◽  
Vol 14 (1) ◽  
pp. 128-135
Author(s):  
Diah Wahyuningsih ◽  
Uun Primangesti Ningsih
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Impulse Response ◽  
Foreign Debt ◽  
Granger Causality Test ◽  
Causality Test ◽  
The Exchange Rate ◽  
The Interest Rate

The objectives of this study are to analyze the effect of foreign debt on the exchange rate that seen from the foreign debt and the exchange rate, and add the variable of inflationary monetary policy and the interest rate of BI Rate to test its impact on monetary policy in Indonesia. The approach in this study is quantitative approach. Data that used are Time Series data from Asian Development Bank and Indonesian World Bank in 1986-2013. Variables that used are exchange rate, foreign debt, inflation and the interest rate of BI Rate. Method that used in this study is Vector Auto Regression (VAR) analysis. The stages that used in this study testing are stationary test, optimal lag test, Granger causality test, impulse response test, and variance decomposite test in Eviews 6 program. The results of Granger causality test of all variables in this study are unlikely to have a relationship and there are only two variables that give an effect.Based on the results of Granger causality, it shows that there is bidirectional between foreign debt variable that has an effect on the exchange rate in Indonesia and the exchange rate has an effect on the foreign debt in Indonesia. While the foreign debt has an effect on the interest rate of BI Rate. For the results of impulse response test show that the exchange rate variable gives the biggest respond to the shock of foreign debt variable, compared to inflation and the interest rate of BI Rate variables. The results of Variance decomposite show that the contribution which given by foreign debt variable on the exchange rate is relatively bigger compared to the contribution that given by inflation and the interest rate of BI Rate variables.

The Analysis of the Effectiveness of the Shibor as a Market Benchmark Interest Rate

2013 ◽  
Vol 850-851 ◽  
pp. 1016-1019
Author(s):  
Zhi Hua Xu
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Response Function ◽  
Impulse Response Function ◽  
Granger Causality Test ◽  
Var Model ◽  
Causality Test ◽  
Variance Decompositions

In this paper, we established Granger causality test, VAR model, impulse response function and variance decompositions to observe Shibor whether possess of four properties as the benchmark interest rate of the marketability, stability, correlation ,fundamentality. Conclusion Shibor as money market benchmark interest rates on various aspects of the performance is better, however, compared with Chibor foundational aspects needs to be improved, and easily influenced by Exchange rate suggests that stability is insufficient.

scholarly journals An Empirical Relationship between Foreign Exchange Rate, Inflation and Interest Rate in Nigeria

2018 ◽  
pp. 1-9
Author(s):  
David Adugh Kuhe
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Foreign Exchange ◽  
Empirical Relationship ◽  
Granger Causality Test ◽  
Foreign Exchange Rate ◽  
Causality Test ◽  
Short Run

This paper investigates the empirical relationship between naira/US dollar exchange rate, inflation and interest rate in Nigeria. The study uses annual time series data from 1970-2017. Augmented Dickey-Fuller unit root test, Johansen cointegration, fully modified least squares; Error correction model and Granger causality test based on Toda-Yamamoto procedure were employed in this study as methods of analysis. The results reveal that all variables are integrated of order one and hence cointegrated. The study finds inflation as having negative and significant impact on exchange rate while interest rate was found to have positive and significant impact on the foreign exchange rate in Nigeria in the long-run. The economic impacts of inflation and interest rate on the exchange rate in the short-run are found to be low, temporal and not long lasting. The ECM model has identified a moderate speed of adjustment by 50.39% for correcting disequilibrium annually for achieving long-term equilibrium steady-state position. The Granger causality test result shows statistical evidence of unidirectional causality between exchange rate and inflation and between exchange rate and interest rate in the short-run. There is also a unidirectional causality that runs from interest rates to inflation meaning that inflation is Granger caused by interest rates in Nigeria. The study recommends that lowering the lending interest rate and targeting inflation to single digit is a better exchange policy strategy for Nigeria. 

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

scholarly journals Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange

2020 ◽  
Vol 3 (3) ◽  
pp. 247-262
Author(s):  
Nina Valentika ◽  
Vivi Iswanti Nursyirwan ◽  
Ilmadi Ilmadi
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Short Term ◽  
Variable Model ◽  
Causality Test ◽  
Significance Level ◽  
Long Run

This research was a modification of research by Catalbas (2016) and Pratikto (2012). The model that can separate long-term and short-term components are the Vector Error Correction Model (VECM). This study aimed to model export, import, inflation, interest rates, and the rupiah exchange rate using VECM and to test the causality between variables using the Granger Causality test. The inter-variable model obtained in this study was VECM with lag 2 using a deterministic trend with the assumption of none intercept no trend and two cointegrations. In export and import, there was an adjustment mechanism from the short-term to the long-term. This research model was appropriate to forecast the export and import where VECM with export and import as the target variables, the cointegration equation (long-run model) for  cointegration equation (long-run model) for Based on the Granger Causality test, it was found that there was a one-way relationship between exchange rates and inflation, export and interest rates, export and import, inflation and export, and import and the interest rate at the significance level of 5%.

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

scholarly journals The Effectiveness of the Monetary Transmission Mechanism in Ukraine since the Transition to Inflation Targeting

2019 ◽  
pp. 19-37
Author(s):  
Oleksandr Zholud ◽  
Volodymyr Lepushynskyi ◽  
Sergiy Nikolaychuk
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Central Bank ◽  
Interest Rates ◽  
Inflation Targeting ◽  
Monetary Transmission ◽  
Interest Rate Policy ◽  
Leading Role ◽  
The Exchange Rate ◽  
The Interest Rate

This paper analyzes the effectiveness of monetary transmission channels in Ukraine since the National Bank of Ukraine (NBU) transitioned to inflation targeting and after the central bank established its new approach to monetary policy implementation. The authors conclude that the central bank has sufficient control over short-term interest rates in the interbank market and that it uses them to influence other financial market indicators. At the same time, further transmission via the interest rate channel is constrained by weak lending and the banking system’s slow post-crisis recovery. The exchange rate channel remains the most powerful avenue of monetary transmission. After the NBU switched to a floating exchange rate and an active interest rate policy, its key rate became a means of influencing exchange rates. The exchange rate channel’s leading role is expected to gradually decrease but remains important, as is typical for small open economies.

scholarly journals Using Expected Geometric Values to Calculate the Cost of Interest in Hyper-inflationary Environments: the Case of Venezuela

2019 ◽  
Vol 2 (2) ◽  
pp. 10-21
Author(s):  
J. Tim Query ◽  
Evaristo Diz Cruz
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Expected Value ◽  
Defined Benefit ◽  
High Inflation ◽  
Defined Benefit Plans ◽  
The Interest Rate ◽  
The Cost ◽  
The Impact ◽  
The Relationship

It is of vital importance to explore the relationship between pensions and inflationary levels because this forms a link between social policy and economic development in the context of Venezuela’s challenging economy and its impact on the development of pension systems. With such rampant inflation, companies must adjust the rates of salary increases to avoid a significant decrease in the purchasing power of income from defined benefit plans. Our research seeks to find the possibility of using an average geometric rate of future interest rates expressed as an expected value to discount obligations. Consequently, the cost of interest associated with the actuarial liability of the Benefit plans increases substantially in the next fiscal period to the actuarial valuation, sometimes compromising its sustainability over time. In order to minimize this problem, two scenarios for calculating the interest rate are proposed to smooth out this volatile effect; both are based on a geometric average with the expectation of working life or with the duration of the obligations. We are careful to use a reasonable interest rate that is not so high as to compromise the cash flow, resulting in skewed annual results of the companies. Our research seeks to find the possibility of using an average geometric rate of future interest rates expressed as an expected value to discount obligations. We formulate and actuarially evaluate two different scenarios, based on job expectations and Macaulay's duration, of the obligations that allow the sustainability of the plan in an environment of extremely high inflation. To illustrate the impact of the basic annual expenditure of the period, the results of an actuarial valuation of an actual Venezuelan company were utilized. Despite some companies adjusting their book reserves increasingly through a geometric progression, the amounts associated with the costs of interest would be huge in any such adjustment pattern. Therefore, we suggest adoption of one of the alternatives described in the research.

Brazil’s Macroeconomic Policy Institutions, Quasi-Stagnation, and the Interest Rate–Exchange Rate Trap

2018 ◽  
Author(s):  
Luiz Carlos Bresser-Perreira
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Manufacturing Industry ◽  
Macroeconomic Policy ◽  
Dutch Disease ◽  
The Interest Rate ◽  
High Level ◽  
Investment Capacity ◽  
Productivity And Competitiveness

This chapter examines the evolution of macroeconomic policy and institutions over the long term and the ways in which they have influenced the growth path of the Brazilian economy. It establishes that a critical influence on the disappointing growth performance realized was a failure to neutralize the effects of exchange rate induced Dutch Disease. In addition to this, Brazil’s economic dynamism has been inhibited by the pursuit of a growth with current account deficits (“foreign savings”) policy; an exchange rate anchor policy to control inflation; and a high level of interest rates. Collectively, these factors have reduced the productivity and competitiveness of Brazil’s manufacturing industry. In addition, the interest-rate level has remained very high since the Real Plan and, from the late 1970s the investment capacity of the Brazilian state drastically decreased.

Sign in / Sign up

Export Citation Format

Share Document