scholarly journals Analysis of the development of the foreign exchange market in the Russian Federation

2021 ◽  
pp. 149-161
Author(s):  
Alexander S. Kokin Kokin ◽  
Vladimir A. Odinokov Odinokov ◽  
Valentina N. Shchepetova Shchepetova
Keyword(s):  
Foreign Exchange ◽  
Russian Federation ◽  
Foreign Exchange Market ◽  
Well Being ◽  
Market Development ◽  
Exchange Market ◽  
The Us ◽  
The Russian Federation ◽  
Us Dollar ◽  
Main Factors

The article focuses on the financial foreign exchange market, the development and condition of which determines the financial well-being of most commercial enterprises of the Russian Federation.  The purpose of the research is to give review of the Russian foreign exchange market’ development and situation. The main factors influencing the level of the exchange rate of foreign currencies expressed in national currency are considered. The domestic and international foreign exchange market of Russia for the period 2016-2020 is analyzed. The dynamics of conversion operations, the structure of participants in the domestic foreign exchange market by type of currency. The results of trading on the foreign exchange market, futures and options as a currency instrument, the share of options and futures on the futures market of the Russian Federation, as well as the dynamics of the US dollar against the ruble and exchange trading indicators for the period from 2016 to 2020. The conditions, results and prospects of the development of the financial foreign exchange market of the Russian Federation are discussed in this  article

Optimistic and pessimistic economic sentiments and US Dollar exchange rate

2021 ◽  
Author(s):  
Sonia Kumari ◽  
Suresh Kumar Oad Rajput ◽  
Rana Yassir Hussain ◽  
Jahanzeb Marwat ◽  
Haroon Hussain
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Ordinary Least Squares ◽  
Exchange Market ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate

This study investigates the affiliation of various proxies of economic sentiments and the US Dollar exchange rate, mainly focusing on the real effective exchange rate of USD pairing with three other major currencies (USDEUR, USDGBP, and USDCAD). The study has employed Google Trends data of economy optimistic and pessimistic sentiments index and survey-based economy sentiments data on monthly basis from January 2004 to December 2018. The study engaged Ordinary Least Squares (OLS) and Auto-Regressive Distributed Lag (ARDL) estimation techniques to evaluate the short-run and long-run effects of economy-related sentiments and macroeconomic variables on the exchange rate. The results from the study found that Economy Optimistic Sentiments Index (EOSI) and Economy Pessimistic Sentiments Index (EPSI) appreciate and depreciate the US Dollar exchange rate in the short-run, respectively. Our sentiment measures are robust to survey-based Michigan Consumer Sentiment Index (MSCI), Consumer Confidence Index (CCI), and various macroeconomic factors. The MSCI and CCI sentiments show a long-term impact on the foreign exchange market. This study implies that economic sentiments play a vital role in the foreign exchange market and it is essential to consider behavioral aspects when modeling the exchange rate movements.

scholarly journals Emerging Market Currency Excess Returns

2011 ◽  
Vol 3 (4) ◽  
pp. 85-111 ◽  
Author(s):  
Stephen Gilmore ◽  
Fumio Hayashi
Keyword(s):  
Transaction Costs ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Emerging Market ◽  
Exchange Market ◽  
Excess Returns ◽  
Forward Premium ◽  
The Us ◽  
Us Dollar ◽  
Portfolio Return

We consider the excess return from 20 internationally tradable emerging market (EM) currencies against the US dollar. It has two contributions. First, we document stylized facts about EM currencies. EM currencies have provided significant equity-like excess returns against major currencies, but with low volatility. Picking EM currencies with a relatively high forward premium raises the portfolio return substantially. Second, our calculation incorporates institutional features of the foreign exchange market, such as lags in settling spot contracts, FX swaps, and bid/offer spreads. Transaction costs arising from bid/offer spreads are less than one-fifth of what is typically presumed in the literature. (JEL C58, F31, G15)

scholarly journals Investigation of volatility and spillover in foreign ex-change return in Indian Chinese & Malaysian market

2017 ◽  
Vol 5 (2) ◽  
pp. 150
Author(s):  
Amritkant Mishra
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Spillover Effect ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Chinese Market ◽  
Daily Data ◽  
The Us ◽  
Us Dollar

In this paper it is tried to make the comparison the foreign exchange return volatility in the three emerging economies of Asia. It is also endeavored to investigate the return co-movement and the volatility spillover between the foreign exchange markets of India, China and Malaysia with reference of US dollar, Indian Rupees, Chinese Yuan and Malaysian Ringgit in each other foreign exchange market to. The daily data have collected from Federal Reserve data base from April 2012 to March 2017. For analysis MGARCH model, the GARCH DCC as well as VAR model applied. The empirical result of volatility spillover effect shows that in Indian and Malaysian foreign exchange market the US dollar seems as shock transmitter. It also shows that the influence of US dollar in Chinese foreign exchange market is very low as compare to the Indian and Malaysian exchange rate market. In Chinese market Malaysian ringgit is dominant currency and it transmits the shocks to the US dollar. The conditional volatility result shows that among all the foreign exchange market, Indian market has high volatility return of foreign currency as compare to other market.

Development options for the world monetary system

2021 ◽  
pp. 163-169
Author(s):  
Т.С. Аббасова ◽  
Т.Э. Аббасов
Keyword(s):  
Exchange Rate ◽  
Russian Federation ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Resource Rent ◽  
Monetary System ◽  
The Russian Federation ◽  
Factors Of Influence ◽  
Parity Exchange ◽  
Natural Resource Rent

Выявлены факторы влияния валютной политики на валютный рынок и реальный сектор экономики Российской Федерации. Составлена модель для анализа факторов, влияющих на уровень заниженности или завышенности валютного курса Российской Федерации по отношению к паритетному валютному курсу. Показано, что уровень заниженности валютного курса отрицательно коррелирует с сальдо платежного баланса и ростом ВВП, при этом положительно коррелирует с уровнем инфляции, уровнем природной ренты в экономике и уровнем коррупции в стране. Предложены организационные мероприятия для повышения эффективности валютного контроля в России. The factors of influence of monetary policy on the foreign exchange market and the real sector of the economy of the Russian Federation are revealed. A model has been compiled to analyze the factors that influence the level of undervaluation or overvaluation of the Russian Federation exchange rate in relation to the parity exchange rate. It is shown that the level of undervaluation of the exchange rate negatively correlates with the balance of payments and GDP growth, while positively correlating with the level of inflation, the level of natural resource rent in the economy and the level of corruption in the country. Organizational measures are proposed to improve the efficiency of currency control in Russia.

scholarly journals Interdependence among ASEAN 5 in Foreign Exchange Market

2017 ◽  
Vol 17 (1) ◽  
pp. 53
Author(s):  
Yunita Astanti Unlinnuha
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Positive Response ◽  
Granger Causality Test ◽  
Exchange Market ◽  
Causality Test ◽  
Us Dollar ◽  
Vector Auto Regression ◽  
The Relationship ◽  
Auto Regression

This paper examines the relationship between ASEAN-5 foreign exchange market and US Dollar in last 5 years. The data used is the currency of ASEAN-5 countries that are Indonesia, Malaysia, Vietnam, and Thailand. The data was analyzed using VAR (Vector Auto Regression). Among ASEAN 5, there are interdepence relationship in foreign exchange market. The strongest interdepence relationship are showed between Indonesia, Singapore and Malaysia, while Phillipines and Thailand have less influence toward others. Foreign exchange market among ASEAN 5 shows positive response which has been proven by Granger Causality test.

scholarly journals THE RISK PREMIUM IN THE FOREIGN EXCHANGE MARKET. THE APPLICATION OF ARCH-IN-MEAN MODEL

2020 ◽  
Vol 21 (2) ◽  
pp. 71-79
Author(s):  
Katarzyna Czech
Keyword(s):  
Foreign Exchange ◽  
Risk Premium ◽  
Foreign Exchange Market ◽  
Conditional Variance ◽  
Exchange Market ◽  
Market Uncertainty ◽  
Forward Premium Anomaly ◽  
The Us ◽  
High Volatility ◽  
Japanese Yen

Forward premium anomaly is one of the most popular puzzles in the theory of international finance. The phenomenon is explained by, among others, the existence of non-zero risk premium in the foreign exchange market. The paper applies ARCH-in-mean models to assess whether there exists a time-varying risk premium in the USD/PLN and AUD/JPY foreign exchange markets. The results indicate the existence of a non-zero risk premium in the analyzed markets. As far as the USD/PLN is concerned, the risk premium takes negative values when the risk measured by conditional variance rises. The results suggest that when there is a surge in risk, the US dollar’s appreciation and Polish zloty depreciation increases. The results confirm the US dollar as a safe-haven currency that tends to appreciate during high-volatility and crisis periods. Moreover, the study shows that the risk premium in the AUD/JPY market takes positive values when the risk measured by conditional variance rises. It implies that when there is a mount in risk, the appreciation of Japanese yen increases. Furthermore, research results reveal the positive and significant relationship between stock market uncertainty and exchange rates conditional volatility.

An Estimation of Target Effective Exchange Rates: The Case of the U.S.

1992 ◽  
Vol 36 (1) ◽  
pp. 22-28 ◽  
Author(s):  
Nicholas Apergis
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Central Bank Intervention ◽  
Policy Makers ◽  
Us Economy ◽  
Considerable Research ◽  
The Us ◽  
Effective Exchange

This paper derives optimal effective exchange rates, via loss-function minimization, for the US economy. The results attract considerable research interest; although it is generally believed that policy makers intervene only in infrequent emergency occasions in the foreign exchange market, this paper shows that the contrary is true; the US foreign exchange market is characterized by frequent central bank intervention.

scholarly journals Investigating adaptive behavior in the foreign exchange market: ZAR versus USD and CNY

2021 ◽  
Vol 18 (2) ◽  
pp. 391-401
Author(s):  
Adefemi A. Obalade
Keyword(s):  
South African ◽  
Foreign Exchange ◽  
Adaptive Behavior ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
The South ◽  
Market Conditions ◽  
The Us ◽  
Trading Partners ◽  
Bds Test

This study examines the adaptive behavior of South Africa’s rand (ZAR) exchange rate against its major trading partners, the US Dollar (USD) and the Chinese Yuan (CNY) over the period 1999-2020. The study uses a rolling parametric linear variance ratio (VR) test, nonparametric linear runs test, and non-linear Brock, Dechert and Scheinkman (BDS) test to determine time-varying predictability and regression analyses to assess the effect of market conditions. The results show that the foreign exchange market was found to be inefficient based on the VR tests, but efficient with very few windows of inefficiency based on the runs test and BDS test. In addition, apart from the GDP, none of the market conditions studied is associated with non-parametric linear and nonlinear predictabilities. The study draws two main conclusions. Firstly, the South African foreign exchange market is adaptively efficient. Secondly, foreign exchange market efficiency is primarily driven by the level of economic growth. Practically, it will be difficult for investors to exploit the few windows of predictability in the South African foreign exchange market by focusing mainly on the market conditions studied.

scholarly journals Selected aspects of modelling of foreign exchange rates with neural networks

2005 ◽  
Vol 53 (3) ◽  
pp. 109-116
Author(s):  
Václav Mastný
Keyword(s):  
Neural Networks ◽  
Foreign Exchange ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Foreign Exchange Rates ◽  
Exchange Market ◽  
Training Set ◽  
Us Dollar ◽  
Japanese Yen ◽  
Hidden Neurons

This paper deals with forecasting of the high-frequency foreign exchange market with neural networks. The objective is to investigate some aspects of modelling with neural networks (impact of topology, size of training set and time horizon of the forecast on the performance of the network). The data used for the purpose of this paper contain 15-minute time series of US dollar against other major currencies, Japanese Yen, British Pound and Euro. The results show, that performance of the network in terms of correct directorial change is negatively influenced by increasing number of hidden neurons and decreasing size of training set. The performance of the network is influenced by sampling frequency.

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