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Journal articles on the topic 'Exchange Rate and Interest rate'

Author: Grafiati

Published: 18 May 2024

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1

Cherubini, Umberto, Massimo Ciampolini, Rony Hamaui, and Agnese Sironi. "Exchange rate and interest rate polarization." Review of World Economics 129, no. 4 (December 1993): 651–61. http://dx.doi.org/10.1007/bf02707875.

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2

Rauf, Rashid, and Abdul Rashid. "Interlinkages among Exchange Rate, Interest Rate, Consumer Price Index, and Output Volatilities." Forman Journal of Economic Studies 15 (December 30, 2019): 115–36. http://dx.doi.org/10.32368/fjes.20191505.

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3

Sulistyowati, Novita Denik, and Chandra Kartika. "EFFECT OF OVERSEAS DEBT AND INTEREST RATE RATE OF EXCHANGE RATE RATE (EXCHANGE RATE)." Develop 2, no. 2 (November 30, 2018): 36. http://dx.doi.org/10.25139/dev.v2i2.1073.

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Perdagangan internasional melibatkan suatu negara dengan negara lain dan menjadikan negara-negara di dunia menjadi lebih terikat.Oleh karena itu, interaksi dengan dunia luar negeri merupakan hal yang tidak bisa dihindari oleh negara manapun, termasuk Indonesia.Memperlancar transaksi perdagangan internasional, penggunaan uang dalamperekonomian terbuka tersebut ditetapkan dengan menggunakan mata uang yang telah disepakati.Tujuan dari penelitian ini untuk mengetahui Utang Luar Negeri dan Tingkat SukuBunga berpengaruh terhadap Nilai Tukar Rupiah periode 2017-2018.Jenis data dalam penelitian ini adalah data sekunder. Data yang digunakan berupa data runtut waktu (timeseries) dengan rentang waktu 30 tahun.Data diperoleh dari Bursa Efek Indonesia dan Badan Statistik Provinsi Jawa Timur. Teknik analisis data yang digunakan adalah analisis triangulasi regresi linear berganda.Berdasarkan hasil penelitian menunjukkan bahwa: (1) utang luar negeri berpengaruh positif terhadap kurs rupiah; (2) suku bunga tidak berpengaruh terhadap kurs rupiah.Hal ini dapat menyebabkan terjadinya risiko perubahan nilai tukar mata uang yang timbul karena adanya ketidakpastian nilai tukar itu sendiri.Adanya perubahan nilai tukar mata uang juga berdampak pada apresiasi dan depresiasi mata uang.Kata Kunci: kurs rupiah,utang luar negeri, suku bunga

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4

Benigno, Gianluca, and Pierpaolo Benigno. "Exchange rate determination under interest rate rules." Journal of International Money and Finance 27, no. 6 (October 2008): 971–93. http://dx.doi.org/10.1016/j.jimonfin.2008.04.009.

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5

ANDERSEN, TORBEN M., and JAN ROSE SØRENSEN. "INTEREST RATE SPREADS AND EXCHANGE RATE VARIABILITY." Manchester School 62, no. 2 (June 1994): 151–66. http://dx.doi.org/10.1111/j.1467-9957.1994.tb01373.x.

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6

Mauleón, Ignacio. "Interest rate expectations and the exchange rate." International Advances in Economic Research 4, no. 2 (May 1998): 179–91. http://dx.doi.org/10.1007/bf02295489.

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7

Fu, Tze‐Wei, and Monli Lin. "Interest rate, unemployment rate and China's exchange rate regime." International Journal of Emerging Markets 7, no. 2 (April 6, 2012): 177–90. http://dx.doi.org/10.1108/17468801211209947.

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8

Okechukwu, Izunobi Anthony, Nzotta Samuel Mbadike, Ugwuanyim Geoffrey, and Benedict Anayochukwu Ozurumba. "Effects of Exchange Rate, Interest Rate, and Inflation on Stock Market Returns Volatility in Nigeria." INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE AND BUSINESS ADMINISTRATION 5, no. 6 (2019): 38–47. http://dx.doi.org/10.18775/ijmsba.1849-5664-5419.2014.56.1005.

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This study employed GARCH (1.1) techniques to evaluate the existence of high stock market returns volatility, and the impact of the exchange rate, interest rate and inflation on stock market returns in Nigeria, using monthly series data from 1995 – 2014. Excessive volatility hinders the stock market from playing its role of Mobilizing, financial resources from surplus units to deficit units and may cause a financial crisis. The research finding shows that interest rate has a negative relationship with stock market returns, while the inflation rate and exchange rate have a positive relationship with stock market returns. The conclusion therefore is, there is high and persistent volatility in the Nigerian stock market returns. Exchange rate, interest rate, and inflation significantly impact stock market return volatility in Nigeria. The study recommends that regulatory authorities should take proactive steps to minimize stock market return in order to restore confidence in the market.

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9

Yung, Julieta. "Can interest rate factors explain exchange rate fluctuations?" Journal of Empirical Finance 61 (March 2021): 34–56. http://dx.doi.org/10.1016/j.jempfin.2021.01.005.

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10

Choie, Kenneth S. “Nicholas.” "Currency Exchange Rate Forecast and Interest Rate Differential." Journal of Portfolio Management 19, no. 2 (January 31, 1993): 58–64. http://dx.doi.org/10.3905/jpm.1993.409435.

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11

Benigno, Gianluca, Pierpaolo Benigno, and Fabio Ghironi. "Interest rate rules for fixed exchange rate regimes." Journal of Economic Dynamics and Control 31, no. 7 (July 2007): 2196–211. http://dx.doi.org/10.1016/j.jedc.2006.05.012.

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12

Andersen, Torben M., and Jan Rose Sørensen. "Uncertain Exchange Rate Policies and Interest Rate Determination." Credit and Capital Markets – Kredit und Kapital 24, no. 4 (April 1, 1991): 468–83. http://dx.doi.org/10.3790/ccm.24.4.468.

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13

Ivanović, Zoran, and Elvis Mujačević. "FINANCIAL DERIVATIVES - INTEREST RATE SWAP." Tourism and hospitality management 10, no. 3-4 (October 2004): 161–68. http://dx.doi.org/10.20867/thm.10.3-4.12.

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Swap as a portfolio of forward contract is a financial derivative traded on the over-the-counter market. In its basic form, swap is based on the exchange of future cash flows between two market participants in accordance with the agreed terms. The cash flows that are exchanged are the interest payments and in some circumstances even the notional amount, and transactions are carried out in a period of two to thirty years. Swaps first appeared in 80's, and have evolved from back-to-back loans.

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14

Shastri, Shruti, and Swati Shastri. "Exchange rate interest rate linkages in India: an empirical investigation." Journal of Financial Economic Policy 8, no. 4 (November 7, 2016): 443–57. http://dx.doi.org/10.1108/jfep-06-2015-0038.

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Purpose The purpose of the paper is to examine the linkages between exchange rate and interest rate in India using quarterly data from Q1 of 1996 to Q4 of 2014. Design/methodology/approach Stationarity properties of data are checked using the Augmented Dickey–Fuller (ADF), Dickey–Fuller test with GLS de-trending (DF-GLS) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) tests and Perron’s unit root test with structural breaks. Johansen Juselius and Gregory Hansen tests are applied to assess cointegration, and block exogeneity test is used to detect causality among variables. Findings The study finds long-run relationship among interest rate, rupee–dollar exchange rate, capital flows, intervention, inflation differential, money supply differentials, output differentials and trade-balance differentials. However, the interest rate does not explain movements in the exchange rate, directly and indirectly, via capital flows. Intervention by the Central Banks to stabilize exchange rate does not have implications for movements in interest rate. Research limitations/implications The study finds capital flows to be insensitive with respect to interest rates and hence thwarts International Monetary Fund ’s (IMF) claim of using interest rates as a tool to stabilize exchange rate. The much-debated conflict between exchange-rate stabilization and control over interest rates also does not hold up to the empirical reality of India. Originality/value The study augments the existing literature by taking into account the problem of structural break in the relationship between interest rate and exchange rate. Three measures of interest rate are used to assess the robustness of results adding to their credibility compared to previous studies.

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15

Hashchyshyn, Adam, Kateryna Marushchak, Oleksandr Sukhomlyn, and Andrii Tarasenko. "How Does the Interest Rate Influence the Exchange Rate?" Visnyk of the National Bank of Ukraine, no. 250 (December 30, 2020): 4–14. http://dx.doi.org/10.26531/vnbu2020.250.01.

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Understanding the effect of increasing the key policy rate on the exchange rate of the national currency remains one of the most critical issues for central banks. The goal of this study is to infer about the signs and the magnitude of this impact using existing studies conducted for 30 countries and aggregating estimates applying the meta-analysis procedure. Results indicate that the short-term impact of interest rate changes on the exchange rate is positive and statistically significant, although the economic significance is weak, while the longterm relationship is found to be insignificant. The analyzed studies do not reveal any evidence of publication bias, which contributes to the validity of empirical findings. The received results conclude that there might be a short-term appreciation of the hryvnia in response to an increase in the key policy rate in Ukraine.

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16

Golit, Peter, Afees Salisu, Akinwunmi Akintola, Faustina Nsonwu, and Itoro Umoren. "EXCHANGE RATE AND INTEREST RATE DIFFERENTIAL IN G7 ECONOMIES." Buletin Ekonomi Moneter dan Perbankan 22, no. 3 (October 31, 2019): 263–86. http://dx.doi.org/10.21098/bemp.v22i3.1147.

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We offer new insights on the dynamics of the exchange rate–interest rate differentialfor the case of G7 economies. We show that the nexus is better considered using anasymmetric model, as suggested by a host of previous studies. In addition, we find therole of accounting for structural breaks to be prominent. We also show differences in thenexus between euro and non-euro G7 countries, suggesting heterogeneous monetarypolicies. Thus, we document the strongest evidence for the sticky price hypothesis inJapan and lesser evidence in the euro countries and the United Kingdom, with Canadaconsistently revealing evidence for the flexible price hypothesis.

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17

Jeanne, Olivier, and Robert P. Flood. "An Interest Rate Defense of a Fixed Exchange Rate?" IMF Working Papers 00, no. 159 (2000): 1. http://dx.doi.org/10.5089/9781451857665.001.

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18

Dash, Pradyumna, and L. M. Bhole. "Does Interest Rate Differential Determine Exchange Rate in India?" Indian Economic Journal 57, no. 4 (January 2010): 20–36. http://dx.doi.org/10.1177/0019466220100403.

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19

Binici, Mahir, and Yin-Wong Cheung. "Exchange rate dynamics under alternative optimal interest rate rules." Pacific-Basin Finance Journal 20, no. 1 (January 2012): 122–50. http://dx.doi.org/10.1016/j.pacfin.2011.08.004.

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20

Johnson, David R. "International interest rate linkages and the exchange rate regime." Journal of International Money and Finance 11, no. 4 (August 1992): 340–65. http://dx.doi.org/10.1016/0261-5606(92)90029-w.

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21

Flood, Robert P., and Olivier Jeanne. "An interest rate defense of a fixed exchange rate?" Journal of International Economics 66, no. 2 (July 2005): 471–84. http://dx.doi.org/10.1016/j.jinteco.2004.09.001.

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22

Olaniyan, Samson Olajide, Baliqis Aderonke Awoleye, and Kehinde Ajike Olabiyi. "Exchange rate, interest rate and economic development in Nigeria (1980-2020)." SocioEconomic Challenges 7, no. 2 (2023): 130–41. http://dx.doi.org/10.21272/sec.7(2).130-141.2023.

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This paper investigated exchange rate, interest rate, and economic development in Nigeria between 1980 and 2020. The study employed secondary data and sourced from the Central Bank of Nigeria (CBN) and World Bank Data Indicators covering periods of 1980 to 2020. The data were analyzed using correlation analysis, Johansen Co integration, and co integration regression Fully Modified ordnalist Square methods (FMOLS) were employed to established long run influence of exchange rate and interest rate on economic development. The study showed that long run relationship existed between exchange rate, interest rate, and economic development in Nigeria. Specifically, a number of results were obtained: in the case of HDI, economic development is negatively related to exchange rate; interest rate had significant relationship with economic development in Nigeria; and the interactive relationships of exchange rate and interest rate had a significant positive relationship with economic development. Using per capita income as a measurement of economic development revealed that; exchange rate had positive relationship withi economic development; the interactive effects of exchange rate and interest rate is positive and significant on economic development. Therefore, the study recommends that; proactive management of Nigeria’s exchange rate and interest rate must be the top priority of the country’s monetary authority. Therefore, the monetary authority through Central Bank of Nigeria should, as a matter of urgency, stabilize the nation’s exchange rate and improve the nation’s interest rate in a bid to attract investment and improve the nation’s capital accumulation necessary for long term economic development.

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23

Serrano, Franklin, Ricardo Summa, and Gabriel Aidar. "EXOGENOUS INTEREST RATE AND EXCHANGE RATE DYNAMICS UNDER ELASTIC EXPECTATIONS." Investigación Económica 80, no. 318 (September 28, 2021): 3. http://dx.doi.org/10.22201/fe.01851667p.2021.318.80810.

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<div class="WordSection1"><h1 align="center"><strong style="font-size: 10px;">ABSTRACT</strong></h1></div><p>A theory analyzing the short run dynamics of nominal exchange rates under exogenous interest rates and free imperfect international capital markets is presented. Introducing elastic exchange rate expectations leads to cumulative changes in the spot and forward exchange rates in the same direction. We find that free floating exchange rate regimes are intrinsically unstable, as the nominal exchange rate is an institutional or policy variable that has no ‘fundamental equilibrium’ level. Implications for monetary policy and exchange market interventions of this potential instability are derived. Our results help to explain both the empirical prevalence of dirty floating exchange rate regimes and some aspects of the uncovered interest parity ‘failure’.</p><p> </p><p align="center">TASA DE INTERÉS EXÓGENA Y DINÁMICA DEL TIPO DE CAMBIO CON EXPECTATIVAS ELÁSTICAS</p><p align="center"><strong>RESUMEN </strong></p><p>Presentamos un análisis teórico de la dinámica de corto plazo de los tipos de cambio nominales con tasas de interés exógenas y libres e imperfecta movilidad internacional de capitales. La introducción de expectativas de tipo de cambio elásticas conduce a variaciones acumulativas en los tipos de cambio <em>spot</em> y <em>forward</em> en la misma dirección. Los regímenes de tipo de cambio de flotación libre son intrínsicamente inestables, dado que el tipo de cambio nominal es una variable institucional o de política que no tiene un nivel de “equilibrio fundamental”. Derivamos implicaciones de esta inestabilidad potencial para la política monetaria y las intervenciones en los mercados cambiarios. Los resultados ayudan a explicar la prevalencia de tipos de cambio de flotación sucia y aspectos de la “falla” de la paridad de tasas de interés descubierta.</p>

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24

Friantin, Siti Hayati Efi. "VOLATILITAS EXCHANGE RATE, INTEREST RATE LEVEL DAN INFLATION RATE TERHADAP STOCK PRICE." EXCELLENT 6, no. 2 (December 6, 2019): 136–52. http://dx.doi.org/10.36587/exc.v6i2.592.

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ABSTRAKTujuan dari penelitian ini untuk mengetahui pengaruh perubahan nilai tukar,tingkat suku bunga, dan inflasi terhadap harga saham pada perusahaan aneka industri subsektor otomotif dan komponennya yang terdaftar di BEI. Periode yang digunakan dalam penelitian ini adalah 3 (tiga) tahun, yaitu mulai dari tahun 2016-2018.Penelitian ini menggunakan pendekatan kuantitatif. Populasi dalam penelitian ini sejumlah 13 perusahaan otomotif yang sudah dan masih terdaftar di Bursa Efek Indonesia.Teknik pengambilan sampel yang digunakan adalah purposive sampling sehingga diperoleh sampel sebanyak 12 perusahaan.Teknik analisis data yang digunakan adalah regresi linear berganda.Hasil penelitian menunjukkan bahwa secara parsial variabel nilai tukar berpengaruh positif tetapi tidak signifikan ditunjukkan dengan nilai signifikansi sebesar 0,930. Untuk variabel tingkat suku bunga berpengaruh positif tetapi tidak signifikan ditunjukkan dengan nilai signifikansi sebesar 0,993. Untuk variabel inflasi berpengaruh positif dan signifikan dengan nilai signifikansi sebesar 0,16. Secara simultan nilai tukar, tingkat suku bunga dan inflasi berpengaruh positif dan signifikan terhadap harga saham ditunjukkan dengan nilai F signifikansi sebesar 0,007. Kemampuan variabel nilai tukar, tingkat suku bunga dan inflasi dalam menjelaskan harga saham sebesar 24,9% sebagaimana ditunjukkan dengan besarnya adjusted R squaresebesar 0,249 sedangkan sisanya 75,1% dipengaruhi oleh faktor-faktor lain yang tidak dimasukkan ke dalam model penelitian. Kata Kunci :HargaSaham, Nilai Tukar, Tingkat Suku Bunga, Inflasi.

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Kraipornsak, Paitoon. "Determinants of Thai Baht Exchange Rate and Asian Currencies Exchange Rate." Research in World Economy 11, no. 5 (September 3, 2020): 1. http://dx.doi.org/10.5430/rwe.v11n5p1.

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The study hypothesises that the exchange rate is a random walk series. Besides, the study incorporates main macroeconomic factors as a structural exchange rate determination. The Vector Error Correction Model (VECM) is applied in the model estimation for Thai baht. Moreover, the panel data model of the Asian exchange rate is estimated and analysed. The exchange rate of Thai baht is found to be a random walk process. The long-run equilibrium of the estimated cointegrating relation indicates all coefficients of the determining factors are statistically significant. An increase in the real interest rate and the foreign reserve has significant appreciation effects on the Thai baht. An increase in the income per capita has a significant depreciation effect on the Thai baht. External debt causes a depreciation in the Thai baht. The most substantial impact on the value of Thai baht is the income per capita. It follows by the foreign reserve, the real interest rate, and the external debt, respectively. During 2017 and 2018, the estimated exchange rate is appreciated by 4.21 per cent that is close to the actual appreciated value. The estimated Asian model is found consistent with the model of the Thai baht. The highest impact on the local Asian currencies is the income per capita. It follows by the foreign reserve and the real interest rate, respectively, with both quite close by their sizes. However, the foreign reserve has a more appreciated influence than that of the real interest rate for Thai baht.

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26

Adebowale, Edward Adedoyin, and Akindele Iyiola Akosile. "Interest Rate, Foreign Exchange Rate, and Stock Market Development in Nigeria." Binus Business Review 9, no. 3 (December 1, 2018): 247–53. http://dx.doi.org/10.21512/bbr.v9i3.4941.

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This research investigated the effect of interest rate and foreign exchange rate on stock market development in Nigeria. This research was centered on two research problems. First, it was whether interest rate had a significant effect on stock market development in Nigeria. Second, it was whether foreign exchange rate had a significant impact on stock market development in Nigeria. The scope of the research covered the period from 1981 to 2017. Data for this period were chosen because it covered pre and post-liberalization periods of Nigerian financial system. This research made use of ex post facto research design. Secondary data were sourced from Nigerian Stock Exchange reports, Central Bank of Nigeria statistical bulletins, and National Bureau of Statistics publications. Data were collected on Stock Market Capitalization (SMC), Prime Lending Rate (PLR) and Real Exchange Rate (RER) (Nigerian Naira in relation to American Dollars of the United States). Data analysis was carried out with Ordinary Least Squares (OLS) and Cochrane-Orcutt Iterative techniques. The findings reveal that interest rate has a significant negative effect, and foreign exchange rate has a significant positive effect on Nigerian stock market development during the period covered. It is suggested that monetary authorities should strive to formulate policies that will make interest and foreign exchange rates stable, competitive, and at a level that will stimulate the investment of funds in the stock market.

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27

Ajaz, Taufeeq, Md Zulquar Nain, Bandi Kamaiah, and Naresh Kumar Sharma. "Stock prices, exchange rate and interest rate: evidence beyond symmetry." Journal of Financial Economic Policy 9, no. 1 (April 3, 2017): 2–19. http://dx.doi.org/10.1108/jfep-01-2016-0007.

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Purpose This paper aims to examine the dynamic interactions between monetary and financial variables in the Indian context. Design/methodology/approach In this paper, the authors have applied a recently developed asymmetric autoregressive distributed lag (ARDL) model by Shin et al. (2014), for detecting nonlinearities focusing on the long-run and short-run asymmetries among economic variables. Findings The results point toward the presence of asymmetric reaction of stock prices to changes in interest rate and exchange rate in full sample, as well as in pre-crisis. However, no asymmetry was found in the post-crisis period. The results further suggest that tight monetary policies appear to retard the stock prices, more than easy monetary policies that stimulate them. Practical implications The findings of the study can be helpful in understanding the policy transmission mechanism through asset price channel. Originality/value To the best of the authors’ knowledge, this is the first study that examines the interactions between monetary and financial variables in the Indian context in an asymmetric framework. The findings of this study are quite interesting and are different from several existing studies in the literature.

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28

Pavasuthipaisit, Robert. "Optimal exchange-rate policy in a low interest rate environment." Journal of the Japanese and International Economies 23, no. 3 (September 2009): 264–82. http://dx.doi.org/10.1016/j.jjie.2009.02.003.

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29

Hnatkovska, Viktoria, Amartya Lahiri, and Carlos A. Vegh. "Interest rate and the exchange rate: A non-monotonic tale." European Economic Review 63 (October 2013): 68–93. http://dx.doi.org/10.1016/j.euroecorev.2013.06.001.

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30

Kitamura, Yoshihiro, and Hiroya Akiba. "Information arrival, interest rate differentials, and yen/dollar exchange rate." Japan and the World Economy 18, no. 1 (January 2006): 108–19. http://dx.doi.org/10.1016/j.japwor.2004.05.004.

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31

Teo, Wing Leong. "Can exchange rate rules be better than interest rate rules?" Japan and the World Economy 21, no. 3 (August 2009): 301–11. http://dx.doi.org/10.1016/j.japwor.2008.08.001.

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32

Nisa’atus Sholihah, Khoirun, and Niken Savitri Primasari. "Indonesia Stock Price Index, Inflation, Interest Rate and Exchange Rate against ISSI." JEBA (Journal of Economics and Business Aseanomics) 6, no. 1 (July 22, 2021): 98–108. http://dx.doi.org/10.33476/j.e.b.a.v6i1.1929.

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The purpose of this study is to examine the effect of Indonesia regional stock price index, inflation, interest rate, and exchange rate on ISSI, for Singapore, Malaysian and Philippine. The dependent variable in this study is ISSI. The independent variables in this study are Straits Times Index (STI), Kuala Lumpur Stock Exchange Index (KLSE), Philippine Stock Exchange Index (PSEI), Singapore inflation (INFSG), Malaysian inflation (INFMY), Philippine inflation (INFPH), Singapore interest rate (SBSG), Malaysia interest rate (SBMY), Philippine interest rate (SBPH), Singapore exchange rate (SGD), Malaysian exchange rate (MYR), and Philippine exchange rate (PHP). The sample of this study are all variables starting in 2014-2019. Analysis tools to test hypotheses using the VECM method. The analysis shows that the variables that have positive and significant effect on ISSI are KLSE, INFSG, SBSG, SGD, MYR, and PHP. SBMY has a positive but not significant effect on ISSI. While the variables that have negative and significant influence are PSEI, INFPH, and SBPH.

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33

Czech, Katarzyna. "Uncovered interest rate parity on the Japanese yen exchange rate market." Oeconomia Copernicana 3, no. 3 (September 30, 2012): 63–77. http://dx.doi.org/10.12775/oec.2012.015.

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The aim of the paper is to verify the uncovered interest rate parity hypothesis on the Japanese yen exchange rate market. The article describes the theory of uncovered interest rate parity and presents the review of previous research results. Moreover, the paper characterizes the currency speculation strategy „carry trade” which is fundamentally based on the assumption that the uncovered interest rate parity doesn’t hold. The Japanese yen is one of the most popular „carry trade” funding currency and therefore the article is focused on the analysis of this exchange rate market.The uncovered interest rate parity condition suggests that „carry trade” strategy should not result in excess profits. However, the high average payoff to „carry trade” is widely documented by many researchers and thus it may imply that uncovered interest rate parity doesn’t hold on the Japanese yen market. The uncovered interest rate parity on the Japanese yen market is tested by applying the conventional regression approach and orthogonality test of the forward rate forecast error. The results show that it is hard to say definitely that uncovered interest rate parity holds on the analyzed exchange rate market. The uncovered interest rate parity hypothesis is rejected for JPY/TRY market. However, there is not enough evidence to reject UIP hypothesis for JPY/NZD and JPY/USD exchange rate markets.

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Xu, Bing, Qiuqin He, and Xiaowen Hu. "Coordination of Monetary and Exchange Rate Policy in China: Market Interest Rate Approach." Journal of Advanced Computational Intelligence and Intelligent Informatics 19, no. 3 (May 20, 2015): 456–64. http://dx.doi.org/10.20965/jaciii.2015.p0456.

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We propose a unique time-varying identification approach to the market interest rate based on Taylor Rule for coordinating the monetary and exchange rate policies. The significant differences exist between real and market interest rates — 2001 and 2009 are high real interest rates, and 2004-2005 and 2010-2012 low real interest rates — that identify monetary and exchange rate policy conflicts in China. These conflicts derive from the indirect effect of monetary factor through interest rate inertia and expected output gap in 2001; the indirect effect of exchange rate factor through interest rates and inflation inertia in 2004-2005; the direct effects of monetary and the exchange rate factors and the indirect effects through interest rate and inflation inertia, and the expected inflation and output gap since 2009. Our empirical results provide decision support for the monetary and exchange rate policy for reforming Chinese market interest rates.

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35

Yuniarsa, Sherlinda Octa, and Jui-Chuan Della Chang. "Exploring the Relationships among Interest Rate, Exchange Rate, and Stock Market in Indonesia." Global Journal of Business and Social Science Review (GJBSSR) Volume 4 (2016: Issue-3) 4, no. 3 (July 17, 2016): 37–43. http://dx.doi.org/10.35609/gjbssr.2016.4.3(6).

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Objective - The purpose of this research is to explore the relationships among interest rate, exchange rate, and stock price in Indonesia. Methodology/Technique - This study used data from the Central Bank of Indonesia to empirically test a proposed model of interest rate, exchange rate, and stock price. Findings - The findings confirmed that there are positive volatilities from exchange rate and negative volatility from interest rate. The relationships among interest rate, exchange rate, and stock market excessive volatility a little bit strengthen during economic crises, a study that allows for structural breaks, to account for the effects of sudden macroeconomic shocks, recessions, and financial crises, would be important to empirical literature on Indonesia. Novelty - This study proved that it is important to point out the variance decomposition results also showed that except for volatility in the exchange rate, interest rate, and stock market volatility also seems to explain quite a high proportion of the some variations of the macroeconomic excessive volatility. Type of Paper - Conceptual Keywords: interest rate volatility, exchange rate volatility, stock market volatility, emerging market, Asymmetric ARCH models

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Merko, Flora, and Mateus Habili. "Impact of interest rate, exchange rate, and inflation on commercial banks’ performance." Corporate and Business Strategy Review 4, no. 2 (2023): 15–28. http://dx.doi.org/10.22495/cbsrv4i2art2.

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This study aims to measure the impact of interest rates, exchange rates, and inflation on the performance of commercial banks in Albania, using monthly data from December 2015 to May 2022 obtained from the Bank of Albania and the Institute of Statistics of Albania (INSTAT). The multiple regression model measures the relationship between the dependent variable (ROA) and independent variables (inflation, interest rate, and exchange rate). The estimation results reveal that the interest rate variability has a high impact on the financial factor ROA. In contrast, the variability of the exchange rate harms it. The effect of variable nominal effective exchange rate (NEER) on ROA is low, and inflation negatively influences it. The model has resulted within all the criteria related to the regression analysis but with a low importance level. The important conclusion of this study is that the combination of variables, inflation, exchange rate, and interest rate, does not measure the impact of inflation on the performance of commercial banks. Other micro and macroeconomic factors can measure this impact.

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Setyawan, Anggie Bayu, Wasiaturrahma Wasiaturrahma, and Anas Iswanto Anwar. "Effectiveness of Monetary Transmission Through Interest Rate and Exchange Rate Channels on Indonesia’s Inflation Rate." Jurnal Ilmu Ekonomi Terapan 8, no. 2 (December 7, 2023): 236–59. http://dx.doi.org/10.20473/jiet.v8i2.51741.

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The purpose of this research is to determine the effectiveness of monetary transmission on inflation in Indonesia through the interest rate and the exchange rate channel over a period of 2015Q1-2022Q4. This research analysis approach uses the variance decomposition and Vector Error Correction Model (VECM) methods. Quantitative methods are utilized, and the estimation tool used is Eviews 12. The findings of the variance decomposition analysis in this research indicate that to reduce inflation in Indonesia, monetary transmission through exchange rates is more effective than through the interest rate channel.

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Capasso, Salvatore, Oreste Napolitano, and Ana Laura Viveros Jiménez. "The long-run interrelationship between exchange rate and interest rate: the case of Mexico." Journal of Economic Studies 46, no. 7 (November 11, 2019): 1380–97. http://dx.doi.org/10.1108/jes-04-2019-0176.

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Purpose The purpose of this paper is to analyse the long-term nature of the interrelationship between interest rate and exchange rate. Design/methodology/approach By employing Mexican data, the authors estimate a non-linear autoregressive distributed lags (NARDL) model to investigate the nature of the changes and the interaction between interest rate and exchange rate in response to monetary authorities’ actions. Findings The results show that, contrary to simplistic predictions, the real exchange rate causes the real interest rate in an asymmetric way. The bounds testing approach of the NARDL models suggests the presence of co-integration among the variables and the exchange rate variations appear to have significant long-run effects on the interest rate. Most importantly, these effects are asymmetric and positive variations in the exchange rate have a lower impact on the interest rate. It is also interesting to report that the reverse is not true: the interest rate in the long-run exerts no statistical significant impact on the exchange rate. Practical implications The asymmetric long-term relationship between real exchange rate and real interest rate is evidence of why monetary authorities are reluctant to free float exchange rate. In Mexico, as in most developing countries, monetary policy strongly responds to exchange rate movements because these have relevant effects on commercial trade. Moreover, in dollarized economies these effects are stronger because of pass-through impacts to inflation, income distribution and balance-sheet equilibrium (the well-known “original sin”). Originality/value Under inflation targeting and flexible exchange rate regime, despite central banks pursue the control of short-term interest rate, in the long-run one could observe that it is the exchange rate that influences the interest rate, and that this reverse causality is stronger in emerging economies. This paper contributes by analysing the asymmetric relationship between the variables.

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Aminda, Renea Shinta, Tasya Vannesia, Widhi Ario Bimo, and Titing Suharti. "Analysis Of Change Rate And Interest Rate Changes To Indonesia’s Trade Balance." Moneter: Jurnal Keuangan dan Perbankan 11, no. 2 (October 3, 2023): 291–302. http://dx.doi.org/10.32832/moneter.v11i2.408.

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This research examines the impact of exchange rates and interest rates on Indonesia's trade balance from 1991 to 2021. International trade plays a crucial role in a country's economic activities, with exports and imports being key components. Monitoring these activities allows for the assessment of whether a nation's trade balance is in surplus or deficit. The trade balance of Indonesia is influenced by various factors, including exchange rates and interest rates. Employing the Error Correction Model (ECM) for analysis, both long-term and short-term effects were investigated. Classical assumption tests and significance tests, covering normality, multicollinearity, autocorrelation, partial (t tests), simultaneous (F test), R-Squared, and Adjusted R-Squared tests were conducted. The findings reveal that exchange rates have a significant impact on Indonesia's trade balance, with a stronger exchange rate leading to a favorable trade balance. Specifically, a robust exchange rate results in a reduction of export value surpassing that of imports. In contrast, interest rates were found to have no significant effect on the trade balance due to global economic disparities, financial market uncertainties stemming from the Covid-19 pandemic, and trade barriers imposed by individual countries.

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Li, Ying. "RMB exchange rate reforms and exchange rate preferences of domestic interest groups in China." Economic and Political Studies 7, no. 4 (October 2, 2019): 413–32. http://dx.doi.org/10.1080/20954816.2019.1667601.

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Kaufold, Howard, and Michael Smirlock. "Managing Corporate Exchange and Interest Rate Exposure." Financial Management 15, no. 3 (1986): 64. http://dx.doi.org/10.2307/3664845.

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Koedijk, Kees G., and Willem F. C. Verschoor. "Asian interest expectations and exchange rate dynamics." Pacific-Basin Finance Journal 2, no. 4 (December 1994): 439–52. http://dx.doi.org/10.1016/0927-538x(94)90004-3.

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Koedijk, Kees G., and Willem F. C. Verschoor. "Asian interest expectations and exchange rate dynamics." Pacific-Basin Finance Journal 3, no. 1 (May 1995): 145. http://dx.doi.org/10.1016/0927-538x(95)99094-i.

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Krušković, Borivoje D. "Exchange Rate and Interest Rate in the Monetary Policy Reaction Function." Journal of Central Banking Theory and Practice 6, no. 1 (January 1, 2017): 55–86. http://dx.doi.org/10.1515/jcbtp-2017-0004.

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Abstract In recent years there has been a particular interest in the relation between exchange rates and interest rates both in developed countries and emerging countries. This is understandable given the important role that these variables have in determining the movement of nominal and real economic variables, including the movement of domestic inflation, real output, exports and imports, foreign exchange reserves, etc. To realized the importance of the given instruments selected macroeconomic indicators, data analysis (monthly data) relating to Serbia was made on the basis of the Transfer Function Model, a data analysis (annual data) relating to emerging countries was done on the basis of the Stepvise Multiple Regression model. In the transfer function model we used the Maximum Likelihood method for assessing unknown coefficients. In the gradual multiple regression model we used the Least Square method for the evaluation of unknown coefficients. All indicator values were used in the original unmodified form, i.e. there was no need for a variety of transformations. Empirical analysis showed that the exchange rate is a more significant transmission mechanism than the interest rate both in emerging markets and Serbia.

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Jia, Zhijie. "Analysis of Interest Rate Hikes and Exchange Rate Between U.S. and China." Advances in Economics, Management and Political Sciences 49, no. 1 (December 1, 2023): 291–96. http://dx.doi.org/10.54254/2754-1169/49/20230531.

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Recently, the rates between Chinese RMB and the USD have been on the rise with the deflation of Chinese RMB. This paper looked into the relationship of interest rate hikes and exchange rates between the U.S. and China. The interest rate in the U.S. is closely related to the strength of U.S. dollar and capital flow between the two largest economies in the world, therefore, the research into the topic could help understand how the interest rate hike in the U.S. currently would affect the exchange rate between the two countries. In this paper, methods like theoretical analysis are used to understand the historical background of interest rate hikes, the deciding mechanism, and used a case study to understand the impact of U.S interest hike on CNY-USD exchange rate. The result showed that the U.S. interest rate hike would lead to a depreciation of CNY. Meanwhile, as the Chinese monetary policy focuses more on independence, the correlation becomes lower.

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Ghosh, Atish R., and Gabriela Basurto. "The Interest Rate-Exchange Rate Nexus in the Asian Crisis Countries." IMF Working Papers 00, no. 19 (2000): 1. http://dx.doi.org/10.5089/9781451843736.001.

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Aji, Tony, Prayudi Prabowo, and Clarashinta Canggih. "Causality relationship among interest rate, inflation, exchange rate using vector autoregression." Economics, Management and Sustainability 6, no. 1 (April 22, 2021): 49–60. http://dx.doi.org/10.14254/jems.2021.6-1.4.

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Umoru, David, and Rafat Hussaini. "Exchange Rate Devaluation, Interest Rate Volatility, and Investment Growth: ECOWAS Evidence." SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS 6, no. 2 (July 5, 2022): 211. http://dx.doi.org/10.29259/sijdeb.v6i2.211-226.

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There have been concerns raised over the low-capacity utilisation of resources in developing countries. Countries within this cadre tend to have high untapped areas of investment despite existing potentials and the open economy operated. Certain macroeconomic variables and shocks that arise from variance over specified periods may be responsible for changes in investment values. The study aimed at determining effect of exchange rate devaluation and interest rate volatility on investment growth in selected ECOWAS nations. The study made use of secondary data from 1991 to 2020 which were obtained from publications of the United Nations, IMF and World Bank. Panel Unit root and panel co-integration tests were conducted to ascertain stationarity of variables and existence of long-term relationship between variables respectively. The data were found to be stationary at first differencing at the most. Long term relationship was found among study variables. We estimated the Structural Vector Auto Regressive (SVAR) model in order to identify the influence of policy shocks in exchange rate devaluation and interest rate volatility. The SVAR results revealed that investment growth responds to shocks from exchange rate devaluation negatively at first, but stabilises over time. For interest rate volatility, investment rate continues to grow but at a diminishing rate over the periods. Investment growth was also found to react largely to its internal shocks from its values in lagged periods. The study recommended among others, that devaluation of currency should be a last resort to salvaging the economy to reduce the inflationary pressure and at least, sustain current living standards.

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Tong, Bing, and Guang Yang. "Interest rate fixation, excessive fluctuations and exchange rate management in China." Applied Economics 53, no. 26 (February 9, 2021): 2993–3022. http://dx.doi.org/10.1080/00036846.2020.1870920.

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Pi-Anguita, Joaquin V. "Real exchange rate, interest rate and capital movements: evidence for France." Applied Economics Letters 5, no. 5 (May 1998): 305–7. http://dx.doi.org/10.1080/758524406.

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