scholarly journals The Economics of Foreign Exchange in Emerging Markets

2018 ◽  
Author(s):  
Okyay Ucan ◽  
Nizamettin Basaran
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange

Impact analysis of US quantitative easing policy on emerging markets

2018 ◽  
Vol 13 (1) ◽  
pp. 185-202 ◽  
Author(s):  
Joung-Yol Lin ◽  
Munkh-Ulzii John Batmunkh ◽  
Massoud Moslehpour ◽  
Chuang-Yuang Lin ◽  
Ka-Man Lei
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Fixed Effects ◽  
Quantitative Easing ◽  
Foreign Exchange Reserves ◽  
Data Set ◽  
Stock Market Returns ◽  
Content Type ◽  
Foreign Capital Inflows ◽  
Watson Statistic

Purpose Since the 2008 financial crisis, the USA has three times implemented quantitative easing (QE) policy. The results of the policy, however, were far below all expectations. Furthermore, it flooded emerging markets (EMs) with low-priced dollars. The purpose of this paper is to investigate the overall and individual impacts of the policy on EMs. Design/methodology/approach This study uses panel data regression model together with the fixed effects model. Also, a unit root test is conducted to check stationary properties of the data, as well as Durbin-Watson statistic to check serial correlation issues in the models. In estimating empirical models, this paper employs macroeconomic data set of stock market returns, exchange rates, lending interest rates, consumer price index, monetary aggregates and foreign exchange reserves from seven diversified emerging economies. The EMs in this study include China, Indonesia, Singapore, Hong Kong, Taiwan, Russia and Brazil. The time period undertaken in this study is from 2008 to 2012. In order to measure impacts of the different stages of the policy, the authors use dummy variables to represent each stage of the policy. Findings The results of the study show that the QE policy has significant impacts on foreign exchange reserves, foreign exchange markets and stock markets of the sample economies. Domestic credit markets, however, appear to be least influenced field by the policy. Finally, the results show that only the first stage of the policy exhibits strong significant impacts, however, leverage of the policy decreases over time. Research limitations/implications Further studies may use different samples, also variables that measure foreign capital inflows such as changes in financial accounts, foreign direct investment and foreign portfolio investment. Originality/value The present study has the following contributions on assessing the impacts of QE policy. First, the overall and individual impacts of the policy are analyzed. Second, in order to establish more valid results, the sample of this study is designed to include several EMs from three continents and diverse regions.

scholarly journals Explaining Financial Crises in Emerging Markets: A logit model on the Turkish data (1984-2001)

2005 ◽  
Vol 10 (1) ◽  
pp. 33-47
Author(s):  
Mete Feridun
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Logit Model ◽  
Financial Crises ◽  
Terms Of Trade ◽  
Gdp Per Capita ◽  
Foreign Exchange Reserves ◽  
Fiscal Balance ◽  
Per Capita

This article aims at explaining the financial crises Turkey experienced in the last decade through a random effects logit model which incorporates 26 macroeconomic, political, and financial sector variables. Evidence emerges that the only significant variables are current account/GDP, fiscal balance/GDP, GDP per capita, national savings growth, foreign exchange reserves, terms of trade, stock prices, and import growth. Results indicate that all variables have expected signs with the exception of import growth.

Price Discovery and Spillover Effect between Currency Futures Market and Spot Market-Comparing Developing Country with Developed Country

2014 ◽  
Vol 22 (2) ◽  
pp. 193-221
Author(s):  
Xing Qun Xue ◽  
Sae Woon Park ◽  
Hee Ho Kim
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Emerging Market ◽  
Spillover Effect ◽  
Spot Market ◽  
Future Market ◽  
Volatility Spillover ◽  
Developed Country ◽  
Foreign Exchange Intervention ◽  
Volatility Spillover Effect

This study examines the volatility spillover effect and forward pricing effect between futures and spot markets, using the daily data of January 1988~April 2013 and Bounds test, ARDL model, DCC-GARCH model and the new method of spillover index calculation. In particular, the comparison between the developed and emerging markets will shed a light on a difference between the efficiencies of the two groups of markets. Our results show that the volatility spillover effect in the developed market was less in magnitude, compared to that effect in the emerging market. The causal influence from the future market to the spot market was greater in the developed market than in the emerging markets. This indicates that the foreign exchange markets (future and spot both) were much more efficient in the developed markets than in the emerging markets. This also implies very fruitful guides for the foreign exchange intervention policy, including signaling effect, portfolio effects, and direct and indirect intervention effects.

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