Retesting the Monetary Approach to Foreign Exchange Rates: The Case of the US Dollar

Foreign exchange rate is important as it determines a country's economic condition. It is used to carry out transfers of purchasing power between two or more countries. Volatility in exchange rates may result in difficulty in decision making especially, in financial sectors as high volatility could increase the risk in exchange rates. Thus, Markov switching model is employed in this study as it is believed to be efficient in handling not only volatilility but also nonlinearity characteristics in exchange rates. The aims of this study are to model the foreign exchange rates using two models; Markov Switching (M-S) models and Markov Switching Generalized Autoregressive Conditional Heteroscedasticity (M-S GARCH) and to compare these two models based on log-likelihood, AIC and BIC criteria. This study used the quarterly data of foreign exchange rates for Singapore Dollar (SGD), Korean Won (KRW), China Yuan Renminbi (CNY), Japanese Yen (JPY) and the US Dollar (USD) against Malaysia Ringgit (MYR) which were collected from Quarter 4, 2006 to Quarter 1, 2018. The findings indicate that Markov Switching is the best model since it has the highest log-likelihood value, and the lowest AIC and BIC values. The results show that JPY and SGD have highly persistent trends on regime 1 with probability values 0.96 and 0.84, respectively as compared to CNY, KRW and USD, while the latter have high persistent trends on regime 2 with probability values, 0.99, 0.95, 0.82, respectively.

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Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation

Lietuvos matematikos rinkinys ◽

10.15388/lmr.2010.65 ◽

2010 ◽

Vol 51 ◽

Author(s):

Milda Pranckevičiūtė

Keyword(s):

Exchange Rates ◽

Foreign Exchange ◽

Data Aggregation ◽

Long Memory ◽

High Frequency ◽

Foreign Exchange Rates ◽

Maximum Price ◽

The Us ◽

Japanese Yen ◽

Hurst Exponents

This paper presents the study on long memory in absolute daily returns of the US dollar versus euro, the British pound and the Japanese yen aggregated foreign exchange rates. Pointwise, maximum price, minimum price and average price aggregation rules for high frequency foreign exchange rates are introduced. The classical R/S statistic is used to analyze Hurst exponents dependence on the choice of data aggregation function.

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The Effect of Interest Rate and Inflation on Forex Rates

Business and Entrepreneurial Review ◽

10.25105/ber.v5i1.1190 ◽

2006 ◽

Vol 5 (1) ◽

pp. 57

Author(s):

Sofyanto Hadi

Keyword(s):

Interest Rate ◽

Exchange Rates ◽

Foreign Exchange ◽

Inflation Rate ◽

Foreign Exchange Rates ◽

Best Interest ◽

Us Dollar ◽

Very High

The purpose of this study is to do the simulation by using arbitrage facilities for such investment of foreign exchange. This study will find the best foreign exchange between US Dollar, SGD,<br />CAD and Yen, with the best interest rate and the best inflation rate for such transaction by using arbitrage transaction mechanism. In forex transaction, the risk of speculation is very high but this is becoming a reason why this kind of transaction was being attractive and obviously more economic players have an opportunity to get more profit due to differences occurred (spread) on exchange rates. The problem is how to manage such situation the most possible way, especially for managers. The role of estimation, for example by knowing the variables that determined foreign exchange rates, is getting more important in forex trading. Beside that, arbitrage can give additional profit from a forex investment and windfall profit from the spread of the foreign exchange.

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The Impact of Economic Factors on the Foreign Exchange Rates between USA and Four Big Emerging Countries: China, India, Brazil and Mexico

International Finance and Banking ◽

10.5296/ifb.v3i1.9108 ◽

2016 ◽

Vol 3 (1) ◽

pp. 11

Author(s):

Nguyen Quang My ◽

Mustafa Sayim

Keyword(s):

Exchange Rates ◽

Foreign Exchange ◽

Emerging Countries ◽

Stepwise Multiple Regression ◽

Economic Factors ◽

Foreign Exchange Rates ◽

Macroeconomic Policies ◽

Regression Methods ◽

Us Dollar ◽

The Impact

This study examines the impact of macro-economic factors on the foreign exchange rates between USA and four big emerging countries: India, Mexico, Brazil and China for the period of 2005 to 2014. This study uses Enter and Stepwise multiple regression methods to investigate the impact of market fundamental on the exchange rates. The empirical findings reveal that the macro-economic factors significantly predict and influence the exchange rates between USD/CNY (US dollar/Chinese yuan), USD/INR (US dollar/Indian rupee), USD/BRL (US dollar/ Brazilian real), and USD/MNX (US dollar/Mexican pesos). It is crucial to emphasize that the macroeconomic policies have to be implemented in order to stabilize and reduce the exchange rates volatilities.

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Foreign exchange rates in Colombia, 1870–1970

Coffee in Colombia, 1850–1970 ◽

10.1017/cbo9780511572869.016 ◽

1980 ◽

pp. 261-264

Keyword(s):

Exchange Rates ◽

Foreign Exchange ◽

Foreign Exchange Rates

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An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

Journal of Economics and Development ◽

10.33301/2014.16.01.05 ◽

2014 ◽

pp. 74-89 ◽

Cited By ~ 1

Author(s):

Vinh Vo Xuan

Keyword(s):

Exchange Rates ◽

Crude Oil ◽

Foreign Exchange ◽

Stock Prices ◽

Global Financial Crisis ◽

Oil Prices ◽

Foreign Exchange Rates ◽

Factors Affecting ◽

Crude Oil Prices ◽

Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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