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1
Islam, Tamanna, Ashfaque A. Mohib, and Shahnaz Zarin Haque. "Econometric Models for Forecasting Remittances of Bangladesh." Business and Management Studies 4, no. 1 (December 13, 2017): 1. http://dx.doi.org/10.11114/bms.v4i1.2860.
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At present, the remittance of Bangladesh (RB) is the largest source of foreign exchange earning of the country. The RB plays a critical role in alleviating the foreign-exchange constraint and supporting the balance of payments, enabling imports of capital goods and raw materials for industrial development. Remittance from overseas migrant workers certainly increases the income disparity between classes of the rural society. Therefore forecasting plays an important role to know the future situation of economic condition. This paper employed the prospective data on RB to derive a unique and suitable forecasting model. The data were collected from Bangladesh Bank (BB) during January, 1998 to December, 2003. The Autoregressive Integrated Moving Average (ARIMA) and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models were used to find out the best one. The findings indicated that the ARIMA (0,1,1) (0,2,1)12 and the GARCH (2,1) models were appropriate for our data and the GARCH (2,1) model appeared to be the best one between these.
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Chen, An-Sing, and Mark T. Leung. "Dynamic Foreign Currency Trading Guided by Adaptive Forecasting." Review of Pacific Basin Financial Markets and Policies 01, no. 03 (September 1998): 383–418. http://dx.doi.org/10.1142/s0219091598000247.
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The difficulty in predicting exchange rates has been a long-standing problem in international finance as most standard econometric methods are unable to produce significantly better forecasts than the random walk model. Recent studies provide some evidence for the ability of multivariate time-series models to generate better forecasts. At the same time, artificial neural network models have been emerging as alternatives to predict exchange rates. In this paper we propose a nonlinear forecast model combining the neural network with the multivariate econometric framework. This hybrid model contains two forecasting stages. A time series approach based on Bayesian Vector Autoregression (BVAR) models is applied to the first stage of forecasting. The estimates from BVAR are then used by the nonparametric General Regression Neural Network (GRNN) to generate enhanced forecasts. To evaluate the economic impact of forecasts, we develop a set of currency trading rules guided by these models. The optimal conditions implied by the investment rules maximize the expected profits given the expected changes in exchange rates and the interest rate differentials between domestic and foreign countries. Both empirical and simulation experiments suggest that the proposed nonlinear adaptive forecasting model not only produces better forecasts but also results in higher investment returns than other types of models. The effect of risk aversion is also considered in the investment simulation.
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ZIMMERMANN, GEORG, RALPH NEUNEIER, and RALPH GROTHMANN. "MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES." Advances in Complex Systems 04, no. 01 (March 2001): 29–43. http://dx.doi.org/10.1142/s021952590100005x.
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A market mechanism is basically driven by a superposition of decisions of many agents optimizing their profit. The macroeconomic price dynamic is a consequence of the cumulated excess demand/supply created on this micro level. The behavior analysis of a small number of agents is well understood through the game theory. In case of a large number of agents one may use the limiting case that an individual agent does not have an influence on the market, which allows the aggregation of agents by statistic methods. In contrast to this restriction, we can omit the assumption of an atomic market structure, if we model the market through a multi-agent approach. The contribution of the mathematical theory of neural networks to the market price formation is mostly seen on the econometric side: neural networks allow the fitting of high dimensional nonlinear dynamic models. Furthermore, in our opinion, there is a close relationship between economics and the modeling ability of neural networks because a neuron can be interpreted as a simple model of decision making. With this in mind, a neural network models the interaction of many decisions and, hence, can be interpreted as the price formation mechanism of a market.
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Sun, Wenxiang, Jisheng Peng, Juelin Ma, and Weiguo Zhong. "Evolution and performance of Chinese technology policy." Journal of Technology Management in China 4, no. 3 (September 25, 2009): 195–216. http://dx.doi.org/10.1108/17468770911013528.
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PurposeThe purpose of this paper is to analyze the evolution of Chinese technology policy, assess its technological and economic performance from the visual angle of “market in exchange for technology” strategy.Design/methodology/approachA quantified method based on policy contents from policy power, policy goals and policy means was developed to build a policy database, and analyze the evolutionary tendency of Chinese technology policy. In addition, econometric models were built to assess the performance of technology policy.FindingsThe critical goals of Chinese technology policy are introducing technology directly or indirectly by introducing foreign investment and innovation, but the critical linkage between introduction and innovation‐technology absorption was absent – almost all policy means aim at the introduction of foreign investment and innovation but not technology absorption. More unfortunately, the econometric results show that introduction of foreign investment contributes little, while technology absorption contributes much more. Institutional path‐dependence and the competition for benefits among different departments have aggravated an already unbalanced emphasis on technology policies during the reform.Research limitations/implicationsDuring the quantification of technology policy, one perhaps loses some information about policy, and it can only be used to analyze the technology policy system, not special technology policy.Practical implicationsAnalyses of the evolution of Chinese technology policy and econometric results show the blunder of “market in exchange for technology” strategy from policy formulation and execution. Also, it leads to the optimization of technology policy from policy targets, implements based on national technology and innovation strategy.Originality/valueThe paper develops the method of technology policy quantification and builds econometric models to assess the contribution of technology policy to technology progress and economy development.
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Aries, Morgan, Gianfranco Giromini, and Gunter Meissner. "A Model for a Fair Exchange Rate." Review of Pacific Basin Financial Markets and Policies 09, no. 01 (March 2006): 51–66. http://dx.doi.org/10.1142/s0219091506000641.
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Financial markets have developed formulas and models to derive fair values for bonds, futures, swaps, options and other securities. This model derives a fair value of an exchange rate, which might be used as a benchmark for a long-term equilibrium level to stabilize currency markets. The model is based on the value-added tax adjusted purchasing power parity exchange rate. This rate is then modified by five components: the macro-economic component, the foreign currency reserve component, the debt component, the interest rate component, and the political stability/leadership component. With respect to the American dollar, the model shows that the Euro and the Japanese Yen are overvalued compared to its current exchange rate, while the Brazilian Real, the Russian Ruble, the Chinese Yuan and the Australian dollar are currently undervalued.
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Shafiullah, Muhammad, Luke Emeka Okafor, and Usman Khalid. "Determinants of international tourism demand: Evidence from Australian states and territories." Tourism Economics 25, no. 2 (September 20, 2018): 274–96. http://dx.doi.org/10.1177/1354816618800642.
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This article explores whether the determinants of international tourism demand differ by states and territories in Australia. This is the first attempt at econometric modelling of international tourism demand in the states and territories of Australia. A demand model is specified where international visits to states and territories is a function of world income, state-level transportation costs, stock of foreign-born residents, the Australian real exchange rate and the price levels of international and domestic substitutes. Panel and time series econometric techniques are employed to test the model variables for stationarity, cointegration and direction of causality. Panel and time series cointegration tests show that the model is cointegrated. The causality analysis indicates that all explanatory variables Granger cause international visits to the Australian states and territories. Further, we show that the impacts of the determinants of international tourism vary by states and territories. The results underscore the importance of targeted policymaking that takes into account the economic and social structure of each state and territory instead of designing tourism policies on the basis of one-size-fits-all approach.
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Ahmed, KHATTAB, and SALMI Yahya. "Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate." Applied Economics and Finance 8, no. 4 (July 26, 2021): 31. http://dx.doi.org/10.11114/aef.v8i4.5232.
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The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.
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Thujiyanthan, Priyatharsiny. "The Impact of Exchange Rate and Exchange Rate Volatility on Foreign Direct Investment: An Econometric Investigation in Sri Lanka." Asian Journal of Managerial Science 10, no. 2 (November 5, 2021): 41–51. http://dx.doi.org/10.51983/ajms-2021.10.2.2928.
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This paper aims to explore the impact of exchange rate volatility on the ability to attract foreign direct investment (FDI) in the emerging economy of Sri Lanka. This investigation covers the period between 1978 and 2018. Exchange rate volatility is captured from the variance of the residuals by employing the testing procedure of ARCH (Engle, 1982) and GARCH (Bollerslev, 1986) models and its impact upon FDI is estimated by an Autoregressive Distributed Lag (ARDL) approach which is developed by Pesaren et al. (2001). The estimated results indicated that exchange rate volatility exerted significant positive impact on FDI during the period between 1978 and 2018 and the results show that exchange rate, exchange rate volatility, inflation, infrastructure, local and foreign interest rate, real GDP, political stability, and trade openness are the crucial determinants of FDI inflow in Sri Lanka. These findings are supported with Goldberg and Kolstad (1994) and it helps to the policy makers to concentrate exchange rate volatility, other macro-economic stability and political stability are key to boom FDI inflow in Sri Lanka.
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Bozhechkova, A. V., S. G. Sinelnikov-Murylev, and P. V. Trunin. "Factors of the Russian ruble exchange rate dynamics in the 2000s and 2010s." Voprosy Ekonomiki, no. 8 (August 3, 2020): 5–22. http://dx.doi.org/10.32609/0042-8736-2020-8-5-22.
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The article discusses the key factors of the ruble exchange rate dynamics, analyzes the features of Russian currency market in the context of inflation targeting and the application of the budget rule. The basic theoretical approaches to modeling the dynamics of real and nominal exchange rates are presented, including behavioral models of the exchange rate, the monetary model of the exchange rate, and the hypothesis of uncovered interest parity. The most important factors of long-term and short-term dynamics of the exchange rate are revealed. The results of an econometric evaluation of the models of the real and nominal ruble exchange rates using dynamic least squares method (DOLS) are presented. It is shown that the key factors shaping the dynamics of the nominal ruble exchange rate are the terms of trade, the interest rate spread, the VIX volatility index, and the operations of the Russian Ministry of Finance under the budget rule. The long-term trajectory of the real exchange rate is formed by the terms of trade conditions, the Balassa—Samuelson effect, the dynamics of net foreign assets of the private sector.
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SALİHOĞLU, Esengül. "The Effects Of The Exchange Rate On Foreign Trade Performance In Countries With Foreign Trade Deficit." İnsan ve Toplum Bilimleri Araştırmaları Dergisi 11, no. 3 (September 30, 2022): 1712–30. http://dx.doi.org/10.15869/itobiad.1143215.
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Exchange rates have become increasingly important as the rise of free trade has been supported by globalization and technological developments. In flexible exchange rate systems, the exchange rate is expected to affect the volume of foreign trade and thus aggregate output. In this context, it is important to understand the relationship between the exchange rate and foreign trade in economic policy implementation. The aim of this study is to contribute to the literature by comparatively analyzing the relationship between exchange rates and foreign trade volumes in selected countries. Accordingly, the relationship between the real effective exchange rate (REER) and import and export volumes of the eight countries with the largest foreign trade deficits in 2020 (USA, UK, India, France, Turkiye, Egypt, Philippines, and Pakistan) is estimated using monthly data for the period January 2003–January 2022. By including the REER as a proxy for the exchange rate in the analysis, domestic prices and prices in the trading countries, which are important determinants of foreign trade, are also considered. The heterogeneous structure of the countries and the horizontal cross-sectional dependence between the series are taken into account in the choice of the analysis method. In the analysis using new generation econometric methods compatible with the characteristics of the series, CADF and CIPS unit root tests are followed by Westerlund's (2008) Durbin-Hausman Cointegration Test, then Pesaran's (2006) Common Correlated Effects (CCE) Estimator and Emirmahmutoglu and Kose's (2011) Panel Causality Test are applied.The findings of the analysis are listed as follows. According to the results of the cointegration test, a cointegration relationship was found between the REER and import and export volume in all countries included in the analysis. Then, the long-run coefficients of the models were estimated. According to the CCE estimation results, export volume is negatively affected by the REER in the long run, while import and export volumes are positively affected by each other. According to the Panel Fisher test statistics of the Panel Causality Test, there is a bidirectional causality relationship between export volume and the REER. The bidirectional relationship between the REER and foreign trade volumes in the short run indicates that the interaction between the variables is cyclical.
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Van der Geest, Willem. "Peter J. Montiel, Pierre-Richer Agenor, and Nadeem ul Haque. Informal Financial Markets in Developing Countries: A Macroeconomic Analysis. Published in the "Advances in Theoretical and Applied Economics" series edited by Homa Motamen-Scobie. Oxford: Blackwell. 1992. i-xi + 212 pp., including appendices. Hardbound. £40.00." Pakistan Development Review 32, no. 3 (September 1, 1993): 332–35. http://dx.doi.org/10.30541/v32i3pp.332-335.
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This volume reviews the nature and scope of informal financial markets in developing countries and elaborates on the theoretical and conceptual models which analyse 'financial repression' and other aspects of government intervention in financial markets. It also focuses on the consequences which the prevalence of informal financial markets in developing countries may have for monetary and exchange rate policy. In particular, it attempts to capture the functioning of informal, unregulated markets into macroeconomic models, working towards a general eqUilibrium model with informal financial markets. Two types of informal markets are analysed. The first are for informal lending at terms and conditions which differ greatly from those prevailing in the official banking system. The second are the 'parallel' markets for foreign exchange which tend to emerge in response to quantity restrictions on trade and administered allocation of foreign exchange to certain users at official rates, which are well below those on the parellel markets. The key question is whether these informal markets change the efficacy of monetary and credit policy-and, if they do, to what extent and in what direction? Two supporting appendices present econometric analyses of the efficiency of parallel currency markets and the degree of capital mobility in developing countries.
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Zhou, Shuna, and Chengwen Kang. "Research on the Influencing Factors of Russian Foreign Trade Based on R Language Regression Analysis." Mathematical Problems in Engineering 2021 (December 27, 2021): 1–11. http://dx.doi.org/10.1155/2021/5638831.
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Based on the systematic analysis of the development of Russian foreign trade and the characteristics of the regional distribution structure of trade, this work further studies the influencing factors of Russia’s foreign trade by using the R language regression analysis method and constructs three econometric models from import, export, and total import and export. The real effective exchange rate and various instruments and equipment and accessories are the main factors affecting Russia’s import trade, energy, minerals, timber, and related products are the main factors affecting its export trade, and Russia’s GDP and international oil prices are the major factors affecting the total import and export volume. A correct understanding of the factors affecting Russia’s foreign trade will help to understand Russia’s economic and trade development and its changing trend and provide a reliable reference value for the further expansion and optimization of economic and trade cooperation between other economies and Russia.
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Tufail, Saira, and Sadia Batool. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan." LAHORE JOURNAL OF ECONOMICS 18, no. 2 (July 1, 2013): 1–35. http://dx.doi.org/10.35536/lje.2013.v18.i2.a1.
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In this study, we formulate a new inflation equation to capture the potential effects of gold and stock prices on inflation in Pakistan. We aim to assess the inflation-hedging properties of gold compared to other assets such as real estate, stock exchange securities, and foreign currency holdings. Applying time-series econometric techniques (cointegration and vector error correction models) to data for 1960–2010, we find that gold is a potential determinant of inflation in Pakistan. On the other hand, it also provides a complete hedge against unexpected inflation. Real estate assets are more than a complete hedge against expected inflation, although stock exchange securities outperform gold and real estate as a hedge against unexpected inflation. Foreign currency proves to be an insignificant hedge against inflation. Given the dual nature of the relationship between gold and inflation, it is increasingly important for the government to monitor and regulate the gold market in Pakistan. Moreover, stock market investment should be encouraged by the government given that asset price inflation does not pose a critical problem for Pakistan as yet.
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Pluskota, Anna. "Makroekonomiczne determinanty ryzyka kredytowego w Polsce ze szczególnym uwzględnieniem kursów walut obcych." Finanse i Prawo Finansowe 3, no. 31 (September 30, 2021): 107–18. http://dx.doi.org/10.18778/2391-6478.3.31.07.
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The purpose of the article. The aim of the study is to show the impact of the key macroeconomic determinants of the credit risk of the banking sector in Poland in 2011–2020. This aim was achieved by analysis of the Pearson correlation coefficient and econometric models allowing to determine the impact of individual variables on the NPL index.
Methodology: The empirical part includes the presentation and description of basic descriptive statistics, as well as the calculation of the Pearson correlation coefficient with the interpretation of the obtained results. The dynamic econometric model describing the variability of the NPL ratio was built using mainly macroeconomic variables.
Results of the research: Research has shown the impact of changes in the unemployment rate and the inflation rate on credit risk. On the other hand, the impact of economic growth on the NPL ratio in the analyzed period was not statistically significant. The relationship between credit risk and changes in foreign exchange rates (CHF, USD, EUR) turned out to be negative in the analyzed period, which means that the increases in exchange rates of these currencies did not result in a significant burden of credit risk in the banking sector in Poland.
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Panda, Ajaya Kumar, Swagatika Nanda, Vipul Kumar Singh, and Satish Kumar. "Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies." Journal of Financial Economic Policy 11, no. 2 (May 7, 2019): 174–92. http://dx.doi.org/10.1108/jfep-03-2018-0042.
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Purpose The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the studied exchange rates. Findings The study finds substantial impact of asymmetric innovations (news) on the conditional volatility of exchange rates, where Russian Ruble is showing significant leverage effect followed by Indian Rupee. The exchange rates depict significant mean spillover effects, where Rupee, Peso and Ruble are strongly connected; Real, Rupiah and Lira are moderately connected; and Yuan is the least connected exchange rate within the sample. The study also finds the assimilation of information in foreign exchanges and increased spillover effects in the post 2008 periods. Practical implications The results probably have the implications for international investment and asset management. Portfolio managers could use this research to optimize their international portfolio. Policymakers such as central banks may find the study useful to monitor and design interventions strategies in foreign exchange markets keeping an eye on the nature of movements among these exchange rates. Originality/value This is one of the few empirical research studies that aim to explore the leverage effects on exchange rates and their volatility spillovers among seven emerging and growth-leading economies using advanced econometric methodologies.
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Hacioglu, Umit, Hasan Dincer, and Ismail Erkan Celik. "Conflict Risk and Its Implication on Economy and Financial System." International Journal of Finance & Banking Studies (2147-4486) 2, no. 2 (November 16, 2016): 109. http://dx.doi.org/10.20525/ijfbs.v2i2.638.
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<p>Considering the impacts of the conflict on the economic parameters in terms of macroeconomics, the following factors might affect the profitability of the company: foreign capital outflows, decrease in exports, increase in the interest rates, disruption of the investment climate, increase in the exchange rates, increase in the costs of import entry etc. Due to the expectable decrease in profit shares as to the investors, the contraction in the risk appetite will cause volatility in the prices of equity securities markets based on the impacts of the conflict, and the equity securities will depreciate. In this study, the main contributions on conflict risk and related econometric models have been discussed.</p>
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Muñoz Mendoza, Jorge A., Carmen L. Veloso Ramos, Sandra M. Sepúlveda Yelpo, Carlos L. Delgado Fuentealba, and Edinson E. Cornejo Saavedra. "Exchange Markets and Stock Markets Integration in Latin-America." Revista Mexicana de Economía y Finanzas 17, no. 3 (June 13, 2022): 1–24. http://dx.doi.org/10.21919/remef.v17i3.719.
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We analyze the relationship between the exchange markets and the integration process of the Latin American stock markets (MILA), focusing the analysis on two points. First, we evaluate the existence and nature of exchange risk premium and its relationship with the uncovered interest parity (UIP) bias. Second, we analyze the effect of MILA on Latin American foreign exchange markets. We use monthly time series between January 1997 and December 2021 for the exchange markets of Brazil, Chile, Colombia, Mexico and Peru. The econometric analysis was based on OLS, GARCH-in-Mean and DCC-MGARCH regressions. Our results indicate that UIP is does not meet. Even the GARCH-in-Mean models results indicates that there is no individual risk premium that corrects UIP bias. However, the results of the DCC-MGARCH model show that there is a risk premium generated simultaneously by the correlation between markets. Finally, MILA increased the dynamic correlations of exchange returns and risk premiums, mainly among the MILA markets. These results have relevant implications for policymakers and investors due to the impacts on exchange markets dependence and international investment decision-making.
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LAKSMI, PUTU IKA OKTIYARI, KOMANG DHARMAWAN, and LUH PUTU IDA HARINI. "PERAMALAN KUNJUNGAN WISATAWAN MENGGUNAKAN MODEL ARMAX DENGAN NILAI KURS DAN EKSPOR-IMPOR SEBAGAI FAKTOR EKSOGEN." E-Jurnal Matematika 3, no. 4 (November 28, 2014): 138. http://dx.doi.org/10.24843/mtk.2014.v03.i04.p076.
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Forecasting is science to estimate occurrence of the future. This matter can be conducted by entangling intake of past data and place to the next period with a mathematical form. This research aims to estimate the number of foreign tourists visiting Bali models using autoregressive moving average exogenous (ARMAX). The data used in this study is the number of tourists in Australia and the number of tourists in the RRC as a variable Y, and foreign currency exchange rate AUD, Chinese Yuan, and Export Import as the X factor from the period July 2009 to July 2014. In the analysis can be obtained in the best ARMAX models of the number of tourists in Australia is ARMAX(1,2,2) and the best model of the number of tourists in the RRC does not exist because the data for the ARMAX model parameters tourists no significant RRC.
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Rana Shahid Imdad Akash, Muhammad Mudasar Ghafoor, and Navid Ahmed. "Testing the Validity of Purchasing Power Parity Theory and Dynamics of Exchange Rate Behavior (Pakistan, China, Iran and Turkey)." Journal of Accounting and Finance in Emerging Economies 6, no. 1 (March 31, 2020): 127–44. http://dx.doi.org/10.26710/jafee.v6i1.1059.
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Purpose: This study is aimed at to observe the purchasing power parity (PPP) Theory. The purchasing power parity (PPP) is the most enduring debate of literature in international macroeconomics. It is most controversial due to various puzzles and tested with different econometric models for certain group of countries. Therefore, the PPP is valid assumption while international comparison due to use of common exchange rate and the prevalence of Law of One price.
Design/Methodology/Approach: The validity of PPP for relative countries (Pakistan, China, Iran and Turkey) was tested and analyzed for the sample period 2001 to 2018.
Findings: It is observed that exchange rates of Pakistan, China, Iran and Turkey are not consistent and constant. The deviations of PPP through structural changes identified and are not persistence over long period. Overall results reflected that there is an existence of long run equilibrium relation in between Pakistan and China as well as in between Iran and Turkey. The error correction model has confirmed the adjustment speed of short run disequilibrium to long term disequilibrium level. Implications/Originality/Value: The expected differential level of inflation has significant positive impact to exchange rate shift to Pakistan and trading activity patterns. The changes in foreign exchange market and commodity market due to economic integration are important implications for economic globalization.
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Mowlaei, Mohammad. "The impact of foreign capital inflows on economic growth on selected African countries." African Journal of Economic and Management Studies 9, no. 4 (December 3, 2018): 523–36. http://dx.doi.org/10.1108/ajems-01-2018-0021.
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Purpose Nowadays, foreign capital inflow (FCI) is considered as a catalyst for economic development and an important source of transferring technology and foreign exchange earnings from developed to developing countries. The purpose of this paper is to study, first, the impact of different forms of FCIs, namely, foreign direct investment (FDI), personal remittances (PR) and official development assistant (ODA) on economic growth on 26 top African countries; and, second, which of them is more effective on economic growth of the studied countries. The results of this paper are very important for host governments’ policy and help them to design their economic plans to absorb the suitable foreign inflow. Design/methodology/approach The paper uses Pooled Mean Group (PMG) econometric technique to estimate the heterogeneous panels over the period 1992–2016. Findings The results of the study show that all three forms of FCIs have positive and significant effects on economic growth in the long and short run. However, the PR had the most effect on economic growth in the long and short run. The study suggests that the governments should design and implement appropriate fiscal, monetary and trade policies in order to create and improve an enabling environment to attract FCIs as a supplementary source of domestic investment. Research limitations/implications The research limitations of this paper are as follows: data sets of FDI, PR and ODA were available not for all African countries; and, data sets that were available were of before the year 1992. Thus, the research is done for the African countries which had the data sets after the year 1992. Practical implications The result of this paper indicates the impact of each FDI, PR and ODA in economic growth. So, countries can take more attentions to each of them on economic planning. Social implications FCIs are one of the important external source of exchange for each country. So, the study of importance of each of them is necessary for economic planning. Originality/value Most of the previous studies have examined the impact of three different forms of FCIs on economic growth separately, on different countries and regions and using various models and econometric techniques. One of the contributions of this paper is focused on the impacts of FDI, PR and ODA on economic growth separately and simultaneously in 26 top recipient African countries and using the PMG technique which is an advanced econometrical estimation and studied less about it. The other contribution of this research is the comparison of the impact of different FCIs on economic growth, and it is very important for governments’ economic policy.
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Mele, Marco. "A Logical Process about the Chaos in FOREX Financial Market." Asian Journal of Finance & Accounting 9, no. 1 (February 25, 2017): 105. http://dx.doi.org/10.5296/ajfa.v9i1.10343.
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Foreign exchange market has been subject of studies and discussions for many years. They were created modern theories and models to understand and predict the evolution of the price of money, and embarked on new discussions and new frontiers of study.In this paper we test the hypothesis of non-linearity and behavior chaotic the latest developments of the markets, to arrive at a solid and unambiguous conclusion on this type of dynamic systems analyzed. In particular, we introduce mathematical concepts and to study the properties of chaotic dynamics and non-linear in nature. It will delve into topics not therefore always present in economics courses in order to base the tests carried out on solid considerations from the point of view of formal mathematical. It will be followed, finally, a scientific rigor during the course of the analysis in order to give an interpretation of the results of logistic type can lead to scientific considerations different from econometric modeling.
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Nag, Tirthankar, and Chanchal Chatterjee. "Exploring Linkages Between Corporate Governance and Business Performance: Does Good Corporate Governance Lead to Enhanced Business Value?" South Asian Survey 27, no. 1 (March 2020): 37–61. http://dx.doi.org/10.1177/0971523120907189.
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This study explores the influence of corporate governance practices in corporate boards on firm performance and draws insights on the relative importance for companies for fostering the development of governance mechanisms in business. The study examines 50 firms belonging to the benchmark index of the National Stock Exchange of India (NIFTY 50) and tracks them for over a five-year period. The study uses fixed and random effect econometric models to explore the relationship between corporate governance variables, and firm performance using both accounting returns (EVA, ROA and ROE) and market returns (MVA). The study finds that corporate governance variables significantly improve firm performance or value creation. Especially, multiple directorships, involvement of foreign institutional investors and increase in promoter holdings may significantly affect returns of the firm. The study suggests that it may be useful to foster better corporate governance practices and monitor linkages with firm performance as the effect is influenced by other control variables also.
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Prevedouros, Panos D. "Origin-Specific Visitor Demand Forecasting at Honolulu International Airport." Transportation Research Record: Journal of the Transportation Research Board 1600, no. 1 (January 1997): 18–27. http://dx.doi.org/10.3141/1600-03.
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The development of a PC-based and easy-to-use-and-update econometric model system for forecasting arrivals at the Honolulu International Airport is presented. A model system instead of a single model was designed so that differential growth rates from various origins as well as arrivals affected by curfews at the origin or the destination, or both, can be estimated. The airport system of the state facilitates the only mode of transportation into and out of Hawaii. Planning based on reliable demand forecasts is therefore essential. Separate models of arrivals from Australia and New Zealand, Canada, Germany, Korea, and the United Kingdom were specified and estimated using the Cochrane-Orcutt regression method. Several diagnostic tests were employed to arrive at the final models, as problems of correlation (over time) and collinearity (among variables) were present. Independent variables include the gross domestic product, population, monetary exchange rate, and unemployment rate of the origin countries. Historical values for the independent variables were taken from the publications of international organizations. Variables for wars that tend to affect flying security and natural disasters in Hawaii that affect the supply of tourist accommodations were included in the model specifications.
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Petrushenko, Yuriy, Maxim Korneyev, Natalia Nebaba, Olena Banchuk-Petrosova, and Anna Bohorodytska. "Assessment of the external debt impact on a country’s economic development indicators: Evidence from Ukraine." Investment Management and Financial Innovations 19, no. 1 (April 4, 2022): 360–69. http://dx.doi.org/10.21511/imfi.19(1).2022.28.
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External public debt is not only a means of raising funds to finance public needs, but also an effective tool for stabilizing a country`s economic development, the assessment and analysis of which allows making effective management decisions at the state level and developing effective measures to improve the economic and debt situation. The paper aims to assess the impact of external public debt on Ukraine’s economic development indicators (GDP, foreign direct investment, foreign exchange reserves). In order to achieve the stated goal distributed lag models are used, which allow modeling a country’s economic development (according to key indicators) within certain forecast scenarios. The study covers the period from 2009 to 2021. An analysis of the dynamics of external public debt in Ukraine led to the conclusion about the unstable debt situation in Ukraine and a significant increase in external debt in recent years. Econometric models with a distributed lag of three years are built and the results of the influence of external public debt in different time periods are analyzed. The average lag in the built models is about one and a half years (for GDP) and two and a half years (for foreign direct investment). This value indicates that the average change (increase/decrease) in external public debt will change economic development over time. A positive conclusion is made on the possibility of not only assessing the time lag between the indicators, but also on the prospects for forecasting both the public debt and key indicators of Ukraine`s economic development. AcknowledgmentThe article was published as part of research projects “Convergence of economic and educational transformations in the digital society: modeling the impact on regional and national security” (No. 0121U109553) and “Reforming the lifelong learning system in Ukraine for the prevention of the labor emigration: a coopetition model of institutional partnership” (No. 0120U102001).
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Shen, Mei-Li, Cheng-Feng Lee, Hsiou-Hsiang Liu, Po-Yin Chang, and Cheng-Hong Yang. "An Effective Hybrid Approach for Forecasting Currency Exchange Rates." Sustainability 13, no. 5 (March 4, 2021): 2761. http://dx.doi.org/10.3390/su13052761.
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Accurately forecasting the movement of exchange rates is of interest in a variety of fields, such as international business, financial management, and monetary policy, though this is not an easy task due to dramatic fluctuations caused by political and economic events. In this study, we develop a new forecasting approach referred to as FSPSOSVR, which is able to accurately predict exchange rates by combining particle swarm optimization (PSO), random forest feature selection, and support vector regression (SVR). PSO is used to obtain the optimal SVR parameters for predicting exchange rates. Our analysis involves the monthly exchange rates from January 1971 to December 2017 of seven countries including Australia, Canada, China, the European Union, Japan, Taiwan, and the United Kingdom. The out-of-sample forecast performance of the FSPSOSVR algorithm is compared with six competing forecasting models using the mean absolute percentage error (MAPE) and root mean square error (RMSE), including random walk, exponential smoothing, autoregressive integrated moving average (ARIMA), seasonal ARIMA, SVR, and PSOSVR. Our empirical results show that the FSPSOSVR algorithm consistently yields excellent predictive accuracy, which compares favorably with competing models for all currencies. These findings suggest that the proposed algorithm is a promising method for the empirical forecasting of exchange rates. Finally, we show the empirical relevance of exchange rate forecasts arising from FSPSOSVR by use of foreign exchange carry trades and find that the proposed trading strategies can deliver positive excess returns of more than 3% per annum for most currencies, except for AUD and NTD.
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Ilyas, Muhammad, Rehman Uddin Mian, and Nabeel Safdar. "Institutional investors and the value of excess cash holdings: empirical evidence from Pakistan." Managerial Finance 48, no. 1 (October 13, 2021): 158–79. http://dx.doi.org/10.1108/mf-05-2021-0201.
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PurposeThis study examines the effects of foreign and domestic institutional investors on the value of excess cash holdings in the context of Pakistan where the institutional setting is broadly considered as non-friendly to outside shareholders due to family control.Design/methodology/approachA panel sample of 220 listed firms on the Pakistan Stock Exchange (PSX) was employed over the period 2007–2018. Data on institutional ownership are collected from the Standard & Poor’s (S&P) Capital IQ Public Ownership database, while the financial data are collected from Compustat Global. The study uses ordinary least squares (OLS) regression with year and firm fixed effects as the main econometric specification. Moreover, the application of models with alternative measures, high-dimensional fixed effects and two-stage least squares (2SLS) regression are also conducted for robustness.FindingsRobust evidence was found that unlike domestic institutional investors, which do not influence the value of excess cash holdings, foreign institutional investors positively affect the contribution of excess cash holdings to firm value. The positive effect on excess cash holdings' value is mainly driven by foreign institutions domiciled in countries with strong governance and high investor protection. Moreover, this effect is stronger in firms that are less likely to have financial constraints.Originality/valueThis study provides novel evidence on the effect of institutional investors on the value of excess cash holdings in an emerging market like Pakistan. It also adds to the literature by revealing that the effect of different groups of institutional investors on the value of excess cash holdings is not homogenous.
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Ali, Farman, Pradeep Suri, Tarunpreet Kaur, and Deepa Bisht. "Cointegration and causality relationship of Indian stock market with selected world markets." F1000Research 11 (November 1, 2022): 1241. http://dx.doi.org/10.12688/f1000research.123849.1.
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Background: The purpose of this study is to explore the trends and causes of established and emerging nations' stock market integration with India. The National Stock Exchange (NSE) indices act as a counterweight to international market indices. This study investigates the sustained interest of foreign investors in the Indian stock market in the wake of capital market reforms, as well as whether it moves in tandem with other markets in Asia and the United States. Methods: Our study examined the possibility of cross-country cointegration between the largest economies and indices around the world using multiple financial econometric models, such as Augmented Dickey-Fuller, Unit Root, Correlation, and Johansen Cointegration. Results: The findings of this study significantly support the notion that Indian and international financial markets are highly integrated. Vector error correction model indicates that the Indian market (NSE) is highly cointegrated with the US market (National Association of Securities Dealers Automated Quotations) and increased volatility signifies global contagion. Conclusion: A cursory examination of the data reveals distinct investment and portfolio diversification options for global investors. This could assist regulators in formulating more effective rules regarding price discovery processes.
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Jaiblai, Prince, and Vijay Shenai. "The Determinants of FDI in Sub-Saharan Economies: A Study of Data from 1990–2017." International Journal of Financial Studies 7, no. 3 (August 12, 2019): 43. http://dx.doi.org/10.3390/ijfs7030043.
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Foreign Direct Investment (FDI) can bring in much needed capital, particularly to developing countries, help improve manufacturing and trade sectors, bring in more efficient technologies, increase local production and exports, create jobs and develop local skills, and bring about improvements in infrastructure and overall be a contributor to sustainable economic growth. With all these desirable features, it becomes relevant to ascertain the factors which attract FDI to an economy or a group of adjacent economies. This paper explores the determinants of FDI in ten sub-Saharan economies: Liberia, Sierra Leone, Ivory Coast, Ghana, Nigeria, Mali, Mauritania, Niger, Cameroun, and Senegal. After an extensive literature review of theories and empirical research, using a set of cross-sectional data over the period 1990–2017, two econometric models are estimated with FDI/GDP (the ratio of Foreign Direct Investment to Gross Domestic Product) as the dependent variable, and with inflation, exchange rate changes, openness, economy size (GDP), income levels (GNI/capita (Gross National Income) per capita), and infrastructure as the independent variables. Over the period, higher inflows of FDI in relation to GDP appear to be have been attracted to the markets with better infrastructure, smaller markets, and lower income levels, with higher openness and depreciation in the exchange rate, though the coefficients of the last two variables are not significant. These results show the type of FDI attracted to investments in this region and are evaluated from theoretical and practical viewpoints. FDI is an important source of finance for developing economies. On average, between 2013 and 2017, FDI accounted for 39 percent of external finance for developing economies. Policy guidelines are formulated for the enhancement of FDI inflows and further economic development in this region. Such a study of this region has not been made in the recent past.
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Suhendra, Indra, Cep Jandi Anwar, Navik Istikomah, Eka Purwanda, and Lilis Nur Kholishoh. "The Short-Run and Long-Run Effects of Central Bank Rate on Exchange Rate Volatility in Indonesia." International Journal of Innovative Research and Scientific Studies 5, no. 4 (October 28, 2022): 343–53. http://dx.doi.org/10.53894/ijirss.v5i4.851.
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This research measures the short and long-run effects of central bank policy rate on the volatility of the exchange rate in Indonesia using the quarterly data from Q1 1992 to Q4 2019. The process involves applying an Autoregressive Distribution Lag estimation to investigate the effects of the variables. The exchange rate volatilities include Indonesia Rupiah to US Dollar (IDR-USD), Indonesia Rupiah to Singapore Dollar (IDR-SGD), Indonesia Rupiah to Australia Dollar (IDR-AUD), Indonesia Rupiah to British Pound Sterling (IDR-GBP), and Indonesia Rupiah to Euro (IDR-EURO). Several results were obtained and the first to show the adjustment time for exchange rate volatility to achieve long-run equilibrium was 1.77 quarters to 2.26 quarters using the ARDL estimation. Secondly, a decrease in the central bank rate was found to significantly reduce the exchange rate volatility in the short run and long run. These results are robust since Full Modified Ordinary Least Square (FMOLS) estimation was applied for all five models. Furthermore, it was found that in the long run, the central bank policy rate had a significant positive effect on the volatility of the Indonesia Rupiah against five foreign exchange rates. Therefore, it was suggested that the policymakers need to keep the interest rate of the central bank low and stable to ensure the Rupiah exchange rate stability.
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Supriyatna, Rio Kartika, Dedi Junaedi, and Evi Novita. "PENGARUH STABILITAS MONETER TERHADAP PEREKONOMIAN NASIONAL." Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah 1, no. 2 (September 30, 2019): 119–38. http://dx.doi.org/10.47467/alkharaj.v1i2.57.
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ABSTRACTObjectives of this research is to analyze: Does monetary stability affect Indonesia's GDP?; Does the difference ingovernance regimes affect the governance of monetary stability in supporting the achievement of Indonesia's GDP?; Doesmonetary stability affect Indonesia's per capita income (PCI)?; Does the difference in government regimes affect themanagement of monetary stability in supporting the achievement of Indonesia's per capita income (PCI)?.The research method uses descriptive-quantitative analysis with saturated sampling techniques and secondary datafrom Bank Indonesia, the National Development Planning Agency (Bappenas), the Central Statistics Agency (BPS), the WorldBank, and other reference sources. The data is in the form of time series data from the period 1990-2019. The dependentvariable is the value of GDP and GDP per capita (ICP). While the independent variable: the exchange rate, the money supply,the inflation rate, direct investment, financing, the state budget, the amount of debt (US $), the number of exports, the numberof imports, and the dummy variable period of the reform era government with the era of the New Order Government(Soeharto) as comparison or reference. The processed data were analyzed in quantitative descriptive with multipleregression models with dummy variables.The result is that some indicators of monetary stability (money supply, exchange rate, BI rate, investment, imports, andthe state budget) have a significant effect on the economy (GDP). While inflation, financing and foreign debt did notsignificantly affect GDP achievement. The Reformation government regimes (BJ Habibie, Abdurrahman Wahid, MegawatiSukarnoputeri, Soesilo Bambang Yudhoyono, and Joko Widodo) are different and better than the New Order (Soeharto)government in managing stability towards achieving GDP. The econometrics model is GDP$ = 178,542 + 0.0999 * M1M2 -0.0186 * EXCHANGE $ + 9.5872 * BI_RATE + 1.1935 * INVEST $ - 0.000225 * IMPORT + 0.181 * APBN + 182.488 * REZIM1 +171.038 * REZIM2 + 199.86 * REZIM3 + REVIMIM3 + 214.599 * REZIM5. Some indicators of monetary stability (money supply,exchange rate, BI rate, investment, import and APBN) also have a significant effect on GDP per capita. While inflation,financing and foreign debt did not significantly affect the achievement of GDP per capita. The Reform era government regime(BJ Habibie, Abdurrahman Wahid, Megawati Sukarnoputeri, Soesilo Bambang Yudhoyono, and Joko Widodo) differed andmore better than the New Order era administration (Soeharto) in governance stability. to the achievement of GDP per capita.The econometric model: PCIUS$ = 5.7594 + 0.0032 * M1M2 - 0.0006 * EXCHANGE$ + 0.3092 * BI_RATE + 0.0385 * INVEST$ -0.0000072 * IMPORT + 0.0058 * APBN + 5.8867 * REZIM1 + 5.5173 * REZIM2 + 6.4471 * REZIM3 + 6.ZZ * REZIM5.JEL CLASSIFICATION: E52, E58, E63Keywords: economy, financial, GDP, monetary, PCI, stability
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Meyer, Daniel Francois, and Lerato Mothibi. "The Effect of Risk Rating Agencies Decisions on Economic Growth and Investment in a Developing Country: The Case of South Africa." Journal of Risk and Financial Management 14, no. 7 (June 24, 2021): 288. http://dx.doi.org/10.3390/jrfm14070288.
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Over the last decade, the South African economy has endured prevailing economic challenges, including weak economic growth, unreliable electricity supply, rising fiscal deficits, declining investment inflows and the inexorable rise in government debt alongside the expected impact of the coronavirus pandemic. Credit ratings have significantly evolved, making them key elements in the modern financial markets because of their creditworthiness opinions, as many investors across the globe rely heavily on their opinions. A quantitative research approach was followed using data from 1994Q1 to 2020Q2. The analysis entailed a descriptive and econometric analysis where two models were estimated using the autoregressive distributed lag (ARDL) model. The findings reveal long-run relationships between economic growth (GDP), risk rating index, foreign direct investment (FDI), exchange rate, gross fixed capital formation and lending rates. The results also reveal a bi-directional causality between economic growth and the rating index and between FDI and the rating index. This study’s findings suggest that investments and economic growth in the country need to be stimulated significantly to impact risk rating agencies decisions. Policymakers need to redirect resources towards effective and efficient capital-forming initiatives and development projects to improve the country’s sovereign risk rating to re-ignite growth.
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Maneejuk, Paravee, Nootchanat Pirabun, Suphawit Singjai, and Woraphon Yamaka. "Currency Hedging Strategies Using Histogram-Valued Data: Bivariate Markov Switching GARCH Models." Mathematics 9, no. 21 (November 1, 2021): 2773. http://dx.doi.org/10.3390/math9212773.
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Previous studies aimed at determining hedging strategies commonly used daily closing spot and futures prices for the analysis and strategy building. However, the daily closing price might not be the appropriate for price in some or all trading days. This is because the intraday data at various minute intervals, in our view, are likely to better reflect the information about the concrete behavior of the market returns and reactions of the market participants. Therefore, in this study, we propose using high-frequency data along with daily data in an attempt to determine hedging strategies, using five major international currencies against the American dollar. Specifically, in our study we used the 5-min, 30-min, 60-min, and daily closing prices of the USD/CAD (Canadian Dollar), USD/CNY (Chinese Yuan), USD/EUR (Euro), USD/GBP (British Pound), and USD/JPY (Japanese Yen) pairs over the 2018–2019 period. Using data at 5-min, 30-min, and 60-min intervals or high-frequency data, however, means the use of a relatively large number of observations for information extractions in general and econometric model estimations, making data processing and analysis a rather time-consuming and complicated task. To deal with such drawbacks, this study collected the high-frequency data in the form of a histogram and selected the representative daily price, which does not have to be the daily closing value. Then, these histogram-valued data are used for investigating the linear and nonlinear relationships and the volatility of the interested variables by various single- and two-regime bivariate GARCH models. Our results indicate that the Markov Switching Dynamic Copula-Generalized autoregressive conditional heteroskedasticity (GARCH) model performs the best with the lowest BIC and gives the highest overall value of hedging effectiveness (HE) compared with the other models considered in the present endeavor. Consequently, we can conclude that the foreign exchange market for both spot and futures trading has a nonlinear structure. Furthermore, based on the HE results, the best derivatives instrument is CAD using one-day frequency data, while GBP using 30-min frequency data is the best considering the highest hedge ratio. We note that the derivative with the highest hedging effectiveness might not be the one with the highest hedge ratio.
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Rushchyshyn, Nadiya, Tetyana Medynska, Uliana Nikonenko, Zoryana Kostak, and Roksolana Ivanova. "REGULATORY AND LEGAL COMPONENT IN ENSURING STATE’S FINANCIAL SECURITY." Business: Theory and Practice 22, no. 2 (August 24, 2021): 232–40. http://dx.doi.org/10.3846/btp.2021.13580.
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The purpose of the study is to scientifically substantiate the place and role of regulatory support in the formation of financial security, study the factors influencing its level and identify ways to improve it. The study used general scientific and special research methods: analysis, synthesis, methods of systematization and logical generalization − when disclosing the theoretical provisions of the financial security of the state and its legal regulation; correlation and regression analysis, econometric methods and models − to determine and study the influence of factor values on the volume of gold and foreign exchange reserves of the NBU; method of expert assessments − when developing recommendations for the formation of an effective mechanism for ensuring the financial security of the state, a graphical method. The nature and significance of the legal support of financial security are outlined, which is aimed at creating an improved legal framework and a system for controlling financial business entities in order to detect and prevent financial crimes. The factors influencing the level of the state’s financial security are considered. Their influence on the volume of gold and exchange reserves of the National Bank of Ukraine which in the conditions of financial stability should be balanced is determined. The mechanism to ensure the state’s financial security is offered, which further contributes to the implementation of a set of legal, structural and organizational, procedural, personnel, technological and resource tasks. In the future special attention should be paid to improving the current legal framework that would protect the interests of entities of a financial system from illegal encroachment and help recover offense damages. All these measures will contribute to raising the level of the state’s financial security and will help integrate the state into the international financial and economic space.
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Aregbeshola, Rafiu Adewale. "The machination of foreign direct investment flow to emerging markets – a focus on Africa." African Journal of Economic and Management Studies 9, no. 4 (December 3, 2018): 430–48. http://dx.doi.org/10.1108/ajems-12-2017-0313.
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Purpose The deterministic role of various macroeconomic fundamentals on the attractiveness of countries to inflow of FDI is well documented in literature. The role of market size, infrastructural development, inflation and exchange rates differential have been supported as determinants of FDI direction. However, no documented study has benefited from diverse measures of institutional adequacy as presented in this study. The paper aims to discuss these issues. Design/methodology/approach The paper adopts various econometric approaches that include descriptive statistics, fixed effects models, LM test of independence, feasible generalised least squares regression and SUR estimations. Findings This study unveils the specific impacts and explanatory power of each of the variables along country lines, and the author compares the results of some emerging markets in Asia, Eastern Europe, and South America to some selected countries in Africa. Using data set from various sources over a period of 44 years in a seemingly unrelated regression environment, this study suggests that poor technological capability, inadequate political system, weak productivity gains are major deterrents to the attractiveness of African countries to inflow of FDI. Research limitations/implications The major limitation of this study revolves around availability of usable data, which compels the researcher to limit the focus and the span of time series. Practical implications The study suggests the need to improve institutional quality in emerging economies, especially countries in Africa in order to enhance their attractiveness to FDI inflow. More importantly, the study found that low capital productivity gains hinder the attractiveness of African emerging markets to FDI inflow. Social implications To alleviate poverty, attraction of FDI is considered important, and the improvement of institutional functionality in that regard is found to be important. The need to augment technological improvement is considered very important and critical. Originality/value This serves to confirm that the article entitled “The Machination of Foreign Direct Investment Flow to Emerging Markets – A focus on Africa” is my own original work, envisaged to contribute to the debate about the role of macroeconomic fundamentals, especially capital productivity gains as determinants of a country’s attractiveness to inflow of foreign capital in academic literature. All the sources used and consulted have been fully acknowledged by a way of complete referencing. The author hereby agrees to the terms and conditions as stipulated by the publisher and the editorial board of this prestigious journal.
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Mejía-Matute, Silvia Raquel, and Luis Gabriel Pinos-Luzuriaga. "Petróleo y Enfermedad Holandesa en el Ecuador, 2001 – 2015." UDA AKADEM, no. 7 (April 1, 2021): 158–93. http://dx.doi.org/10.33324/udaakadem.vi7.373.
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La literatura de la economía del desarrollo, considera que un país con auge por hidrocarburos sufre de la enfermedad holandesa cuando el incremento del ingreso de capitales por el sector en auge, las remesas o la inversión extranjera, producen apreciación del tipo de cambio real que provoca desindustrialización. Los objetivos de esta investigación fueron establecer si la economía ecuatoriana sufrió del mal holandés en el segundo auge petrolero del Ecuador, entre el periodo 2001-2014 y determinar las variables que explican estos síntomas. Para ello, se realiza un análisis descriptivo basado en información del Banco Central y se construyen dos modelos econométricos con series de tiempo, donde las variables independientes son el tipo de cambio real y el peso de los bienes transables y los bienes no transables. Las variables independientes son el precio del petróleo, el gasto público, el índice de precios del consumidor y las exportaciones manufactureras. Los resultados muestran que la economía ecuatoriana presentó síntomas del mal holandés como el estancamiento de la industria, pero, no existe suficiente evidencia empírica que permita aseverar que fue causado por la apreciación del tipo de cambio real y el incremento de los precios del petróleo. Palabras clave: Enfermedad Holandesa, Petróleo, Tipo de Cambio Real, Transables y No Transables.
Abstract
The literature on development economics considers that a country with a hydrocarbon boom suffers from the Dutch Disease when the increase in capital inflows by the booming sector, remittances or foreign investment produces appreciation of the real exchange rate that causes deindustrialization. The objectives of this research were to establish if the Ecuadorian economy suffered from Dutch disease in the second oil boom in Ecuador between the period 2001 - 2014 and to determine the variables that explain these symptoms. For this, a descriptive analysis based on information from the Central Bank is carried out and two econometric models with time series are constructed, where the independent variables are the real exchange rate and the weight of tradable goods and nontradable goods. The independent variables are the price of oil, public spending, consumer´s price index and manufacturing exports. The results show that the Ecuadorian economy presented symptoms of the Dutch disease such as the stagnation of the industry, but there is not enough empirical evidence to assert that it was caused by the appreciation of the real exchange rate and the increase in oil prices.Keywords: Dutch Disease, Oil, Real Exchange Rate, Tradable and Non-Tradable
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Hasan, Arshad, and Zafar Mueen Nasir. "Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach." Pakistan Development Review 47, no. 4II (December 1, 2008): 501–13. http://dx.doi.org/10.30541/v47i4iipp.501-513.
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The relationship between macroeconomic variables and the equity prices has attracted the curiosity of academicians and practitioners since the publication of seminal paper of Chen, et al. (1986). Many empirical studies those tested the relationship reveal that asset pricing theories do not properly identify macroeconomic factors that influence equity prices [Roll and Ross (1980); Fama (1981); Chen, et al. (1986); Hamao (1986); Faff (1988); Chen (1991); Maysami and Koh (2000) and Paul and Mallik (2001)]. In most of these studies, variable selection and empirical analyses is based on economic rationale, financial theory and investors’ intuition. These studies generally apply Eagle and Granger (1987) procedure or Johanson and Jusilieus (1990, 1991) approach in Vector Auto Regressor (VAR) Framework. In Pakistan, Fazal (2006) and Nishat (2001) explored the relationship between macroeconomic factors and equity prices by using Johanson and Jusilieus (1990, 1991) procedure. The present study tests the relationship between macroeconomic variables such as inflation, industrial production, oil prices, short term interest rate, exchange rates, foreign portfolio investment, money supply and equity prices by using Auto Regressive Distributive Lag (ARDL) bounds testing procedure proposed by Pesaran, Shin, and Smith (1996, 2001). The ARDL approach in an errorcorrection setting has been widely applied to examine the impact of macroeconomic factors on economic growth but it is strongly underutilised in the capital market filament of literature. This methodology has a number of advantages over the other models. First, determining the order of integration of macroeconomic factors and equity market returns is not an important issue here because the Pesaran ARDL approach yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1) and of the extent of cointegration. Secondly, the ARDL approach allows exploring correct dynamic structure while many econometric procedures do not allow to clearly distinguish between long run and short run relationships.
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Shao, Chunzi, Zhiyuan Nian, Lian He, and Diadama Ismaila. "THE INFLUENCE OF STRENGTHENING FINANCIAL SUPERVISION ON ALLEVIATING INVESTORS' PSYCHOLOGICAL ANXIETY." International Journal of Neuropsychopharmacology 25, Supplement_1 (July 1, 2022): A6—A7. http://dx.doi.org/10.1093/ijnp/pyac032.007.
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Abstract Background Financial supervision is the general name of financial supervision and financial management. While reviewing the 30-year history of financial supervision, this paper uses scientific and objective quantitative methods to calculate the supervision cycle, which plays an important role in grasping the development law of financial market and implementing financial supervision policies. This paper aims to study the periodic change law of financial supervision and the change of “psychological state” of financial supervision institutions in the process of financial supervision. This paper introduces the dependent variable “financial supervision state” to reflect the “psychological state” of the government. In addition, by using observable macroeconomic indicators, an empirical measurement model is established to study the intangible state of financial supervision with visible macroeconomic data. Research Objects and Methods Seven factors are selected in this paper. They are real GDP growth rate (GDP), fixed price loan growth rate (FIL), CPI growth rate (CPI), M2 growth rate (MS2), foreign exchange reserve growth rate (FRS), social financing growth rate (SFC) and Shanghai composite index growth rate (SHI). Then, the econometric model is established by using logit method. At the same time, it analyzes the correlation between investors' psychological state and venture capital level, especially the factors of investors' anxiety. The reliability and validity of QSC scale revised by Chinese Academy of Sciences were analyzed. The total correlation coefficients of venture capital decision-making, emotional anxiety, job stress and job satisfaction were greater than 0.5. The scale has high reliability. For effectiveness analysis, the scales used in each structure in this paper, this paper takes emotional labor as independent variable and work stress as dependent variable to explore the impact of emotional labor on work stress., Results First, fil and CPI were significant in different models. At the same time, MS2 is of great significance in a model. In fact, CPI is an important factor when regulators design macroeconomic, monetary and financial policies. Second, GDP, FRS, SFC, Shi and other indicators are not significant at this stage and the lag stage of financial supervision. In some literatures, relevant factors are used to study and judge the financial supervision cycle, and some conclusions are drawn. However, based on the above results, we have reservations about these conclusions. Model 58 in SPSS macro compiled by Hayes (2013) is used to test the regulated mediation model. As shown in Table 4, the anterior / posterior pathways of mediating effect are regulated by regulation difficulty. The simple slope test of the anterior path showed that when the level of regulation difficulty was low, interpersonal emotion regulation had a significant positive predictive effect on expression inhibition (β = 0.08, t = 7.91, p ＜ 0.001); When the level of regulation difficulty is high, the positive predictive effect of interpersonal emotion regulation on expression inhibition is significantly enhanced (β = 0.12, t = 11.04, p ＜ 0.001). This shows that the predictive power of interpersonal emotion regulation on expression inhibition is significantly enhanced with the increase of the level of emotion regulation difficulty. β A positive value indicates that the level of psychological state has a positive and significant impact on drug investment. Conclusion Fil and CPI are helpful to analyze and judge the financial supervision cycle. In addition, the model can also be used to predict the state of financial supervision, so as to understand the “psychological state” of the government in the implementation of financial supervision. However, this paper still needs further discussion. Firstly, the fuzzy division of financial supervision has the nature of qualitative analysis and still has strong subjectivity. Second, multicollinearity exists in models that use all seven factors. With the help of principal component analysis and factor analysis, the information of multiple indicators can reflect the information of all factors. It will be discussed in depth in the forthcoming paper. Especially as a global public health emergency, the severity of novel coronavirus disease has caused great panic in the world, shaken the minds of investors and triggered fluctuations in the stock market. The pandemic has had varying degrees of impact on drug inventory returns in the world's most affected countries. However, with the control of Internet public opinion and the stability of investor sentiment, the impact is significant in the short term. This will help China improve the stock market emergency mechanism and formulate phased and differentiated economic incentive policies. It provides a theoretical basis for investors to reasonably deal with stock market fluctuations in an emergency. Acknowledgements Supported by Key Project of Key Research Base of Humanities and Social Science of Ministry of Education of China (No. 15JJD790013), Characteristic Innovation Project of Higher Education in Guangdong Province, China (No. 2016WTSCX131), Higher Education Reform Project of Undergraduate Finance Major in Guangdong Province, China (No. 2018JR030).
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Herman, Suzana. "TOURISM VOLATILITY TO EXTERNAL SHOCKS." Tourism and hospitality management 28, no. 3 (December 2022): 699–702. http://dx.doi.org/10.20867/thm.28.3.14.
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International tourism of today is considered one of the main levers of job creation, generating income and foreign currency and foreign investment. Over the past few years, international tourism has been growing steadily, but at the same time this same growth is threatened by challenges in the form of various external shocks affecting the volatility of tourism. Volatility is described, according to many authors, as an unpredictable measure of the intensity of variations. These variations are associated with unpredictable crisis situations or events commonly referred to as ‘new shocks’ (e.g. terrorism, epidemics, natural disasters, exchange rate volatility, oil price, political (in)stability, wars, and various forms of criminal activities). Such global events have a profound impact on a wide range of political, legal and social dimensions. Tourism is extremely vulnerable to various external and internal shock e. The appearance of exogenous events in destinations changes the characteristics of tourism at the destination level, affecting the tourist demand, but also on the economic situation of the country. Purpose Based on the presented so far, it is also possible to define the purpose of the research of the doctoral dissertation: to analyse the main(exogenous) factors that influence the volatility of tourism in the form of the number of arrivals and number of overnight stays in selected countries of the world. Despite the obvious economic benefits it brings, tourism is exposed to internal and external shocks leading to a decline in activity. The intensity and duration will depend on the actual and perceived preparedness of the affected countries and the ability to convince that these countries are safe destinations. Knowledge of the factors affecting tourist demand is necessarily necessary for all countries, especially those whose share of tourism in GDP is extremely high. Such information may be useful for macroeconomic analysis and forecasting . The aim of the paper were as follows: systematically define and quantifies variables that can affect the tourism of today (terrorism, health issues, natural disasters, wars, political (in)stability, exchange rate volatility, oil prices, migration), determine the levels of volatility of tourism to external shocks, and point out the levels of volatility of tourism to external shocks, and point out the importance of monitoring phenomena affecting tourism volatility. Methodology The research carried out is quantitative in form since the research process is predefined and structured, while the data collection phase also precedes the data analysis phase. The research starts from the assumption that the panel model of time series can identify the impact of external shocks on tourism. The obtained results of the empirical part of the research, justify expectations based on theoretical assumptions. For the purpose of proving the first hypothesis set, which reads “There is a statistically significant difference in the degree of sensitivity of turzm to selected external shocks”, a panel analysis was carried out. Another hypothesis, “The short- and long-term effects of shocks on tourism are different in type of external shocks”, was tested using PANEL VAR model, impulsive response function and decomposition of variance. Panel VAR model with GMM assessment within one backward shift, with the help of Helmert’s transformation, is defined by two variables within each model. The analysis carried out included seven different panel VAR models. To estimating how much variability of the dependent variable lags behind its own variance as well as which of the independent variables is “stronger” in explaining the variability of dependent variables over time, decomposition of variance has been applied. After the VAR estimation was performed, the structural error terms were identified using Cholesky decomposition and impulse response functions were generated. Within the framework of panel vector auto-regression, an assessment of the impulse response function (impulse-response functions) was carried out, with the help of which the assessment of orthogonal shocks is carried out with the aim of assessing the shock of one variable on another, while keeping all other variables constant. The Granger causality test within the panel VAR was applied to investigate the causal relationship between the variables of interest, that is, to test the third hypothesis, which reads: “There is an interdependence of external shocks and tourism”. Findings The results of the conducted research show that the first hypothesis set, Hypothesis 1: There is a statistically significant difference in the degree of sensitivity of tourism to selected external shocks is fully accepted. With the aim of assessing the impact of external shocks on tourist arrivals, the results of the panel analysis show a strong and significant link in 6 variables of interest (out of 7 tested in total) in order: terrorist attack, natural disasters, health issues, exchange rate volatility, war and political (in)stability. Furthermore, the results of the conducted research show that the second hypothesis, Hypothesis 2: Short-term effects of shocks on tourism, different by type of external shocks, is not accepted. Given that the impulse response function observed the reaction at the time of the shock in relation to the period of 10 years after the shock occurred, these reactions showed that no reaction was statistically significant, i.e., in all seven cases the confidence intervals include both positive and negative values. To prove the third hypothesis (There is an interdependence of external shocks and tourism), the causality test conducted indicates partial acceptance of it. Results (VAR Granger panel) suggest that the interdependence of external shocks was established in both directions in the external shock of a natural disaster. The unusual result of the existence of causation from the direction of tourism to natural disasters can be explained, according to some research, through the intensive development of urbanization, which is a consequence of the development of tourism. Urbanization may lead to an increase in airborne carbon emissions affecting the climate environment. A one-way causality was also established by tourism to health issues. Tourism, thanks to the globalization and stativity of the tourist offer, affects the mobility of tourists and therefore the transmission of various infectious diseases can be caused precisely by tourist movements. The average price of oil is an external shock that also affects tourism, more precisely, the drop in the price of oil will have a positive effect on tourist demand and its movements, and consequently lower prices for transport tickets. Originality of the research The scientific contribution of the doctoral dissertation is determined: in the systematization and conceptual determination of tourism and external shocks (with special emphasis on terrorism, political instability, war, migration, natural disasters, health crises, oil prices and exchange rate volatility), in the analysis and systematization of the positive and negative economic effects of tourism on the world economy, in the analysis of the socio-cultural effects of tourism as its effect on the environment, in the analysis and systematization of the importance of the impact of external shocks on tourism and the affirmation and development of knowledge about the importance and understanding of their interrelationship. Furthermore, the contribution of the work also rests in the development of econometric methodological approaches in assessing the impact of external shocks on tourism as well as quantifying (assessing) the sensitivity of tourism to external shocks and identifying the direction of causation between tourism and external shocks. These contributions should also be added to the analysis of the shortand long-term effects of shocks on tourism. The application contribution of the work rests in the empirical research carried out, which, by modelling the volatility of tourism, can significantly facilitate decision-making for the policymakers of many countries, especially those that depend on tourism to a high degree. The assessment of the impact of external shocks on the volatility of tourism was based on a detailed explanation of the selected variables, and among other things, for the purpose of raising awareness of the presence of external shocks as well as highlighting the need to monitor them. The importance of determining the level of vulnerability to a particular external shock is reflected in the adoption of adequate economic policy measures that should change the structure of a country’s economy, all with the aim of raising the level of resilience to exogenous events. Empirical analysis was carried out on the cause of 168 countries representing the spatial component, and the time dimension covered a period of 25 years. (1995-2019). In view of the unbalanced panel data, during the model assessment, the sample decreased depending on the availability of the data. Independent variables in the model were terrorist attacks, natural disasters, health issues, political instability, war, migration, exchange rate volatility and oil prices, while the dependent variable was total overnight stays.
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Kallianiotis, Ioannis N. "Exchange Rate Determination: The Portfolio-Balance Approach." Journal of Applied Finance & Banking, October 13, 2020, 19–40. http://dx.doi.org/10.47260/jafb/1112.
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The portfolio-balance approach to exchange rate determination is part of the Asset Market Models and is largely attributed to economists after 1973 when the exchange rate became flexible (market determined). This article first introduces the setting of the model embedded in the portfolio balance approach that encompasses two assets (money and bonds), which deviates a little from the models and approaches used for the monetary approach to the balance of payment, the overshooting model, and from the associated market equilibria. The effects of monetary policy, of current account, and of wealth under the portfolio-balance approach are examined, here, theoretically and empirically. The current econometric results show that the exchange rate is determined by the foreign bonds, the domestic interest rate, and the foreign interest rate. JEL classification numbers: F31, F47, E52, E41, C52, E21, E43. Keywords: Foreign Exchange, Forecasting and Simulation, Monetary Policy, Demand for Money, Model Evaluation and Testing, Consumption and Saving, Interest Rates.
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Saatcioglu, Cem. "An Analysis Of Central Bank Interventions: Evidence From Turkey." International Business & Economics Research Journal (IBER) 5, no. 9 (February 17, 2011). http://dx.doi.org/10.19030/iber.v5i9.3506.
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This paper investigates the characteristics of the foreign exchange operations of the CBRT during the period following the Turkish economic crisis in February 2001. Using time series based econometric models, we estimate the parameters of the FOREX market, along with the degree of effectiveness of the interventions of the monetary authority and the inflation targeting framework it employs. The results indicate that the CBRT interventions are inefficient and are mainly influenced by the uncertainties inherent in the economic environment, and cannot decrease the volatility of the exchange markets.
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Soelistyo, Aris. "Macro-Econometric Model: Keynesian-Monetarist Synthesis of the International Balance of Payments (The Indonesian Case)." Journal of Economics, Business, & Accountancy Ventura 25, no. 1 (July 28, 2022). http://dx.doi.org/10.14414/jebav.v25i1.2606.
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The study of the Keynesian-monetarist synthesis macroeconomic model on Indonesia’s balance of payments combines the goods market and money market approaches to Indonesia’s balance of payments theory. This study used three models of shortness to balance payments: Keynesian, monetarism, and synthesis of Keynesian and monetarism methods. Data was used from 1998 to 2019 from International Monetary Fund, international financial statistics, and balance sheet book from Bank Indonesia statistics report. The data is analyzed using reduced-form regression analysis. The results show that based on the monetarist approach to the balance of payments, it is found that the effect of the money multiplier on the international balance of payments; the magnitude of which is strongly influenced by the size of the high-powered money or the monetary base; has a negative effect on the international balance of payments, while the Net Domestic Assets has a positive effect on the international balance of payments. In the Keynesian model of the international balance of payments, it is found that government spending, world income, and domestic prices have a negative effect on Indonesia’s balance of payments. Based on the Keynesian-monetary syntheses approach to the balance of payments, it is found that government spending and domestic prices have a negative effect on the international balance of payments; the higher the level of government spending and the level of domestic prices will reduce foreign exchange reserves. At the same time, an increase in foreign income, in this case, an increase in US GDP, will increase Indonesia’s foreign exchange reserves.
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Guo, Qiaoyun, Jie Chen, He Xiao, and Salma Mouneer. "Foreign inflows, commercial law, and dutch disease: Evidence from developing economies." Frontiers in Environmental Science 10 (September 5, 2022). http://dx.doi.org/10.3389/fenvs.2022.981038.
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It is commonly believed that developing markets require inflows of foreign capital to achieve their growth targets; however, recent research has shown that these inflows are either ineffective or even harmful to the economy. A surge in foreign inflows, such as foreign aid, remittances, and foreign direct investment, into developing markets, particularly, have been connected to the Dutch disease hypothesis. A sharp rise in such inflows will stimulate real exchange rate in receiving nations due to the uptick in the non-tradable sector and the downturn in the tradable sector. The purpose of this research is to investigate, using quantitative approaches, the variations of real exchange rate adjustments that occur in response to official development assistance, foreign direct investments, and international remittances flowing into developing markets. To investigate the onset of Dutch Disease over the period 2001–2020, this analysis makes use of panel data estimation techniques in the form of fixed and random effect models The findings of a substantial amount of econometric investigation revealed that Dutch Disease is present in developing countries. The scope of the study has been broadened to include an investigation of the expansion of both tradable and non-tradable industries. According to the findings of this study, larger inflows of foreign capital slow growth in the tradable sector (the industrial sector), while simultaneously boosting growth in the non-tradable sector (Service sector).
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Korsah, Emmanuel, Richmell Baaba Amanamah, and Prince Gyimah. "Drivers of foreign direct investment: new evidence from West African regions." Journal of Business and Socio-economic Development, July 7, 2022. http://dx.doi.org/10.1108/jbsed-12-2021-0173.
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PurposeThis paper aims to empirically investigate the factors attracting foreign direct investment (FDI) inflows into emerging economies.Design/methodology/approachThis study uses secondary data from the World Bank and the Global State of Democracy Indices of 16 West African countries (WACs) over the period from 1989 to 2018. Fixed- and random-effects econometric regression models are used to assess the nexus between 12 macroeconomic indicators (including political risk and cultural factors) and FDI inflows into WACs.FindingsThe critical drivers of FDI inflows into WACs are the richness of natural resources, market size or gross domestic product (GDP), imports and exports of goods and services, trade openness and the currency's strength as measured by the exchange rate. The result also reveals that French-speaking countries attract more FDI than other English-speaking countries. The previously cited determinants of FDI, such as infrastructural development, inflation, tax and political stability, are insignificant in determining FDI inflows into WACs.Originality/valueThis study uncovers the critical drivers explaining the FDI inflows into WACs, where FDI accounts for 39% of external finance. The study's contribution is that Francophone WACs attract more FDI than Anglophone WACs. The most important drivers of FDI are abundant natural resources, GDP, imports, exports, trade openness and exchange rate.
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"EXCHANGE MARKET PRESSURE INDEX AS A MACROECONOMIC RISK MEASURING INSTRUMENT." ECONOMY AND SOCIOLOGY 2020 NO. 1, no. 1 (July 15, 2020): 10–20. http://dx.doi.org/10.36004/nier.es.2020.1-01.
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The financial sector of the Republic of Moldova belongs to the developing ones and is characterized by a higher level of risk and, therefore, a higher likelihood of a systemic crisis. Globalization and development of advanced information technologies not only create great opportunities for rapid economic development, but also pose serious security threats to the economic development of states, especially in a developing economy. In these conditions, the issue of ensuring the financial stability of the state is becoming increasingly relevant. The state of the financial and foreign exchange market represents one of the most important aspects of the financial security of the state. This study has been developed as part of the scientific project 15.817.06.02A "Development of tools for measuring the financial stability of the state". The study analyzes various macrofinancial risk management tools. The purpose of this study was to calculate the pressure index on the foreign exchange market of both the Republic of Moldova and the main partner countries in terms of international trade. The results of related studies conducted by the authors of this work, which revealed that stability indicators in the foreign exchange market are associated with foreign trade risks served as an argument for the authors of the work to calculate the pressure index on the currency market of Romania and the Russian Federation for comparison with the indicators of the Republic of Moldova. Methods used in research include theoretical and comparative approaches, descriptive statistics and econometric models. The results of the research showed that international trade and the foreign exchange market are interdependent. The first can be considered a channel for transmitting the currency crisis, since demand increases with increasing imports, and this leads to increased pressure on the foreign exchange market. Increased exports reduce pressure on the foreign exchange market. But the greatest impact on the foreign exchange market in the Republic of Moldova is made by remittances from abroad, which are directly correlated with the dynamics of labor exports. At the same time, it was concluded that at present, due to macroprudential regulation, there are no linear dependencies in financial markets and, therefore, there are no correlations, but only the interdependence of variables.
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Dona, Elva. "Model Dinamik Paritas Suku Bunga Indonesia Menggunakan Error Correction Model." JURNAL PUNDI 1, no. 3 (March 31, 2018). http://dx.doi.org/10.31575/jp.v1i3.10.
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The purchasing power parity doctrine in determining exchange rate changes focuses on price factor changes (Jiang, Li, Chang, & Su, 2013)This study examines how currency and interest rates interact with each other to achieve a balance position in the foreign exchange market.Through this approach the exchange rate is determined by the balance of demand and supply between two currencies. This approach also explains how the influence of economic variables such as money supply, national income, price level, and interest rate on the formation of currency rates. Data using the first quarter of 2000 through the fourth quarter of 2013, With econometric analysis through cointegration approach and Error Correction Model will be tested the validity of interest rate parity condition in Indonesi.Estimation of the error correction model variable (V), indicating that the variable passed the t test at 5% confidence level. It indicates that the models specification is acceptable and there is cointegration between the observed variables.
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"Financial Forecasting Model in Developed and Developing Economies." International Journal of Recent Technology and Engineering 8, no. 3S3 (December 16, 2019): 291–96. http://dx.doi.org/10.35940/ijrte.c1067.1183s319.
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The study focused on the volatility forecasting in developed and developing share market. The objective of the study was to evaluate the ability of six different statistical and econometric volatility forecasting models in the context of India, Brazil, Japan and US stock market from November 1994 till February 2005 on the basis of four evaluation error measures statistics which are mean absolute error (MAE), root mean square error (RMSE), Theil’s U (TU) and MAPE. The monthly data of stock market index of India, Brazil, Japan and US were collected from January 1992 till April 2005 and also monthly data of stock market index, discount rate, consumer price index (CPI), industrial production and foreign exchange reserves of India, Brazil, Japan and US respectively were collected. Then further analysis was done using four forecasting models which were moving average, exponential weighted moving average, multiple regression, GARCH. The study found out that GARCH and MAE forecasting models are superior in developed market as well as developing market like India.
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"Annex I. Fiscal Policy Simulations Using Forward-Looking Exchange Rates in Gem by Andrew Gurney∗." National Institute Economic Review 131 (February 1990): 47–50. http://dx.doi.org/10.1177/002795019013100104.
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In the past year we have attempted to incorporate forward-looking exchange rates into our econometric model, GEM. This work is still at an experimental stage, and hence will not be immediately available to model-users, but we feel we have made sufficient progress to present some of the results.The introduction of forward-looking exchange rates is consistent with modern economic theories of exchange-rate determination. These view the exchange rate as an asset price, which is valued according to the expected returns from holding domestic and foreign assets. This gives rise to the short-run arbitrage condition, that the interest-rate differential between equivalent assets in different currencies should equal the expected depreciation of the exchange rate between those currencies. The expected depreciation is determined by a longer-term view of the currencies' worth, which can be related to the fundamental equilibrium exchange rate (FEER), which would achieve a balance between the current account and long-term capital account flows. Previous work at the Institute has expanded on some of these issues. Davies (1988) and Gurney (1988) look at some the issues raised by forward-looking exchange rates. Barrell, Gurney, Pesaran and Wren-Lewis (1988) look at alternative forward-looking models and Barrell and Wren-Lewis (1989) investigate FEERs based on the trade equations used in GEM.
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ÖZDEN, Erdemalp. "Forecasting of Export Volume Using Artificial Intelligence Based Algorithms." Bitlis Eren Üniversitesi Fen Bilimleri Dergisi, June 20, 2022. http://dx.doi.org/10.17798/bitlisfen.1107311.
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Technological breakthroughs have transformed communication and taken transportation, health, and commerce to an unprecedented level. In this way, sudden developments have rapidly affected all countries. In this context, analysis methods are changing compared to the past, and annual analyses fail to catch the trend even for macroeconomic indicators. In this paper, new artificial intelligence-based estimation methods were used to see the future trend of export volume, and their estimation performances were compared by adding them to the classical econometric method. Historical quarterly data from 2013 to 2021 were used in the training and testing phases of the models. For this purpose, the variables of gross domestic product, foreign direct investment, and dollar exchange rate, which affect the export volume, were determined as inputs in estimating the export volume. According to the analysis results, support vector machine model for predicting export volume in Turkey. This study can provide an essential basis for policymakers to export estimation and formulate their export-enhancing policies effectively.
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Feng, Yun, and Yan Cui. "Dual and single hedging strategy: a novel comparison from the direct and cross hedging perspective." China Finance Review International ahead-of-print, ahead-of-print (December 8, 2020). http://dx.doi.org/10.1108/cfri-05-2020-0053.
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PurposeThe purpose of this paper is to deeply study and compare the dual and single hedging strategy, from the direct and cross hedging perspective.Design/methodology/approachThe authors not only first consider the dual hedge of integrated risks in this oil prices and foreign exchange rates setting but also make a novel comparison between the dual and single hedging strategy from a direct and cross hedging perspective. In total, six econometric models (to conduct one-step-ahead out-of-sample rolling estimation of the optimal hedge ratio) and two hedging performance criteria are employed in two different hedging backgrounds (direct and cross hedging).FindingsResults show that in the direct hedging background, a dual hedge cannot outperform the single hedge. But in the cross dual hedging setting, a dual hedge performs much better, possibly because the dual hedge brings different levels of advantages and disadvantages in the two different settings and the superiority of the dual hedge is more obvious in the cross dual hedging setting.Originality/valueThe existing literature that deals with oil prices and foreign exchange rates mostly concentrates on their relationship and comovements, while the dual hedge of integrated risks in this setting remains underresearched. Besides, the existing literature that deals with dual hedge gets its conclusions only based on a single specific background (direct or cross hedging) and lacks deeper investigation. In this paper, the authors expand the width and depth of the existing literature. Results and implications are revealing.
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"The Influence of Oil Prices on Stock Market Returns in Saudi Arabian Companies: The Implementation of Econometric Models." MANAGEMENT AND ECONOMICS REVIEW 6, no. 2 (December 12, 2021). http://dx.doi.org/10.24818/mer/2021.12-10.
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The countries in the sample are of special importance, as they have different rates of growth, different important characteristics of the financial system and levels of stock market progress. The research looks on equity market growth and measures its foreign economic effect, not in terms of profitability to investors (not beyond the scope of our study), but in terms of progress relative to the scale of these economies and the capital expenditure fund needs of those countries. The data used in this study were taken from GCC's monthly time series over the 2008-2018 period. Such factors are actual interest rates, global development level, commodity market returns on commodities and the true price of oil (in US dollars). Thomson Reuters DataStream, Bloomberg and OECD database gather data for this study. For this study, the actual interest rate was selected as this element illustrates market swings. The Industrial Production Index has defined it since the overall energy consumption in an economy is calculated by the amount of products and services generated in the region. The research implemented and econometric approach throughout addressing data from 2008 till 2018 which means 10 years to study the impact of oil prices, exchange rates and their impact on stock market, case Saudi Arabia. The key results showed that the contemporary and postponed impacts on economic development in either capital market liquidity, as measured by turnover or economic change, as measured by the institutional efficiency index. The relationship predictor (investment / Turnover ratio) was seen for the Arab countries to have an important result from the robustness measure. Implementing the strategy of gross capital expenditure expansion and the turnover partnership will lead to a positive impact on the connection between country expenditure and stock market liquidity during the competitive growth model.