scholarly journals Estimation of Exchange Rate Volatility via GARCH Model: Case Study Sudan (1978 – 2009)

2012 ◽  
Vol 4 (11) ◽  
Author(s):  
Khalafalla Ahmed Mohamed Arabi
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Model Case

scholarly journals Dynamic Relationship between RMB Exchange Rate and Interest Rate Based on VAR-DCC-GARCH Model

2020 ◽  
Vol 214 ◽  
pp. 03018
Author(s):  
Xuhang Zhao
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Nominal Exchange Rate ◽  
Practical Significance ◽  
Causality Test ◽  
Dynamic Relationship ◽  
Interest Rate Volatility

Based on the daily data of Shibor and nominal exchange rate from 2006 to 2019, this paper constructs VAR model and uses Granger causality test and impulse response model to analyze the dynamic relationship between exchange rate and interest rate. Based on the DCC-GARCH model, this paper analyzes the correlation between exchange rate volatility and interest rate volatility, and concludes that there is a weak negative correlation between exchange rate and interest rate. Both exchange rate and monetary policy will have an important impact on China’s economic environment, so it is of great practical significance to study the joint impact of exchange rate and monetary policy.

scholarly journals PENGARUH VOLATILITAS NILAI TUKAR TERHADAP KINERJA EKSPOR UTAMA PERTANIAN INDONESIA

2019 ◽  
Vol 13 (2) ◽  
pp. 163-186
Author(s):  
Eka Dewi Satriana ◽  
Harianto ◽  
Dominicus Savio Priyarsono
Keyword(s):  
Exchange Rate ◽  
Natural Rubber ◽  
Gravity Model ◽  
Palm Oil ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Trading Partner ◽  
Easy Access ◽  
Crude Palm Oil ◽  
Agricultural Exports

Abstrak Nilai tukar merupakan salah satu aspek yang memengaruhi daya saing ekspor. Pada tahun 2013 hingga tahun 2015, volatilitas nilai tukar mengalami kenaikan, khususnya pada triwulan akhir tahun 2015 yaitu sebesar 16,90%. Kondisi ekspor utama pertanian Indonesia pada tahun tersebut rata-rata mengalami penurunan. Penelitian ini bertujuan untuk menganalisis pengaruh volatilitas nilai tukar terhadap kinerja ekspor utama pertanian Indonesia ke negara mitra dagang utama dengan menggunakan gravity model. Ekspor utama pertanian yang dianalisis yaitu karet alam, kopi, udang, dan Crude Palm Oil (CPO). Model ARCH-GARCH digunakan untuk mengukur volatilitas nilai tukar. Hasil analisis menunjukkan bahwa volatilitas nilai tukar berpengaruh negatif terhadap ekspor karet alam, kopi, dan udang Indonesia. Artinya, semakin fluktuatif nilai tukar rupiah maka akan menurunkan ekspor karet alam, kopi, dan udang Indonesia ke negara mitra dagang utama. Pengaruh negatif tersebut juga menunjukkan adanya penghindaran risiko yang dilakukan oleh pelaku usaha. Beberapa rekomendasi hasil kajian yang dapat dilakukan Pemerintah Indonesia adalah menjaga stabilitas nilai tukar, kemudahan akses ke lembaga keuangan, penerapan lindung nilai (hedging), kontrak jangka panjang (longterm contracts), dan menjaga pertumbuhan produksi komoditas. Kata Kunci: Volatilitas Nilai Tukar, Ekspor Utama Pertanian, Model ARCH-GARCH   Abstract The exchange rate is one aspect that affects export competitiveness. From 2013 to 2015, exchange rate volatility increased, especially in the final quarter of 2015, which was 16.90%. Indonesia's main agricultural export conditions in the year on average experienced a decline. This paper analyzes the effect of exchange rate volatility on the performance of Indonesia's main agricultural exports to major trading partner countries using the gravity model. The main agricultural exports analyzed were natural rubber, coffee, shrimp, and Crude Palm Oil (CPO). The ARCH-GARCH model is used to measure exchange rate volatility. The analysis shows that exchange rate volatility harms on Indonesia's exports of natural rubber, coffee, and shrimp. This means, the more the rupiah exchange rate fluctuates will reduce Indonesia's natural rubber, coffee and shrimp exports to the main trading partner countries. The negative influence also indicates the existence of risk aversion by business actors. Some recommendations for the Government of Indonesia based on the study findings are maintaining exchange rate stability, easy access to financial institutions, implementing hedging, long-term contracts, and maintaining commodity production growth. Keywords: Exchange Rate Volatility, Main Agricultural Exports, ARCH-GARCH Model JEL Classification: F14, F31, F41, Q17

scholarly journals Exchange rate impacts on international trade

2021 ◽  
Vol 190 (5-6(2)) ◽  
pp. 12-22
Author(s):  
Jalil Mehtiyev ◽  
◽  
Robert Magda ◽  
László Vasa ◽  
◽  
...  
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
World Bank ◽  
Trade Balance ◽  
Exchange Rate Volatility ◽  
Regression Analyses ◽  
Policy Changes ◽  
Long Run

As international trade activities are increased, there are more regulative practices which might be barriers to trade. One of such hindrances is exchange rate volatility that affects trade activities both directly and indirectly. Exchange rate volatility of currencies can affect the trade engagements and as well as the trade balance of a country. One of the implications of the study is that the impacts of monetary policy changes on trade activities can be noticed significantly in the long-term. While impacts on export levels are usually immediate, import levels are changed in long-run. The research analyzes the correlation between inflation and devaluation and clearly states their impacts on trade balance. The case study about devaluation of the currency of Azerbaijan elaborates the impacts of currency volatility on exports which is illustrated and analyzed in this research. Moreover, inflation and devaluation correlations and their impacts on import level of a country are studied through correlation and multiple regression analyses based on the data exported from OECD and World Bank. The results conclude that exchange rate volatility significantly impacts the trade balance in terms of imports and exports. Given the results, exchange rate is a non-trade barrier and affects foreign trade.

scholarly journals IMPLEMENTATION OF OPTIMUM CURRENCY AREA CRITERIA AND ITS VOLATILITY: CASE STUDY ASEAN-5+3

2010 ◽  
Vol 13 (2) ◽  
pp. 187-214
Author(s):  
Dimas Bagus Wiranata Kusuma ◽  
Arief Dwi Putranto
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Economic Structure ◽  
Optimum Currency Area ◽  
Single Currency ◽  
Currency Area ◽  
Currency Exchange ◽  
Currency Exchange Rate ◽  
Optimum Currency

This paper is aiming to elaborate the case of how exchange rate volatility (ERV), which is supposedly considered to form optimum currency area (OCA), can be reduced in order justify the feasibility of the OCA idea within ASEAN5 plus three. Interestingly, the results provide some evidences that the ASEAN5+3 are considered not really ready to form OCA. It corroborates the existing opinion that the different in economic structure and its policies over foreign environment are becoming some barriers and challenging area to synchronize in the following time. The positive impacts AS to ERV which are incurred in ASEAN5+3 economies indicate the existence of inappropriate condition to form OCA since there are no similar shocks across a monetary union’s participating countries. Under such condition, it would foster the costs of forgoing the exchange rate as a shock absorbing mechanism. It deserves to argue that those observed countries still are resisting their existing regime since they are till believing that they begin to establish the system of monetary which are able to absorb any possible shocks in regards of their SIZE. In sum, the ASEAN5+3 countries are considered to fulfilling the requirement to form currency optimum area which are able to main their stable currency.JEL: D81, E52, F15, F36Key words: Optimum Currency Area, a Single Currency, Exchange Rate Volatility, Stability

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