Showing papers on "Exchange rate published in 2022"
TL;DR: In this paper , the authors developed a quantitative general equilibrium framework with endogenous currency choice that can address the questions of what explains the central role of the dollar in world trade and will the US currency retain its dominant status in the future.
Abstract: What explains the central role of the dollar in world trade? Will the US currency retain its dominant status in the future? This paper develops a quantitative general equilibrium framework with endogenous currency choice that can address these questions. Complementarities in price setting and input-output linkages across firms generate complementarities in currency choice making exporters coordinate on the same currency of invoicing. The dollar is more likely to play this role because of the large size of the US economy, a widespread peg to the dollar, and the history dependence in currency choice. Calibrated using the world input-output tables and exchange rate moments, the model can successfully replicate the key empirical facts about the use of currencies at the global level, across countries, and over time. According to the counterfactual analysis, the peg to the dollar in other economies ensures that the US currency is unlikely to lose its global status because of the falling US share in the world economy, but can be replaced by the renminbi in case of a negative shock in the US economy. If the peg is abandoned, the world is likely to move to a new equilibrium with multiple regional currencies. (JEL D21, E31, E42, F14, F31, F33)
52 citations
TL;DR: In this article , the spillover effect of the US interest rate and oil prices on renewable energy utilization in Turkey was investigated by employing a novel bootstrap autoregressive distributed lag approach.
Abstract: This research investigates the spillover effect of the US interest rate and oil prices on renewable energy utilization in Turkey. By employing a novel bootstrap autoregressive distributed lag approach on annual data from 1985 to 2016, the empirical findings and discussions represent the first contribution to the energy economics literature. The findings of this research confirm that the US interest rate has a significant spillover effect on the use of renewable energy in Turkey through the channels of income and local interest rate. Due to limited foreign exchange reserves, high foreign debt, low international reserves, and devaluation of the local currency, the Turkish economy is highly intertwined with the US economy through international investment and trade. All these factors reinforce the spillover influence of the US interest rate on energy consumption in Turkey. Moreover, this study affirms that the price of oil has a negative impact on renewable energy use through the real income channel. In order for Turkey to realize its investments in renewable energy resources more reliably and sustainably, the study suggests that policymakers should revise the current economic growth model by making it more resilient to external shocks such as the US interest rate, exchange rate, and oil prices.
26 citations
TL;DR: In this article , the authors explored extreme risk spillover of the oil and USD/CNY exchange rate to Chinese stock market from the uncertainty volatility perspective, based on the upside and downside conditional value-at-risk (CoVaR) values.
26 citations
TL;DR: In this paper , the authors used Google search and implied volatility to predict intraday price fluctuations of the USD/RUB and the EUR/rUB exchange rates from the 1st of December 2021 to the 7th of March 2022.
24 citations
TL;DR: In this paper , the authors examined the interaction between oil prices, exchange rate, and stock returns in Pakistan by using quarterly data from January 2000 to December 2019 and found that the impact of oil prices and exchange rate on stock prices varies across bullish, bearish, and normal states of the stock market.
24 citations
TL;DR: In this article , the authors present the most comprehensive and up-to-date panel data set of invoicing currency patterns in global trade and provide data on the shares of exports and imports invoiced in US dollars, euros, and other currencies for 115 countries since 1990.
21 citations
TL;DR: In this paper , the authors developed the hypothesis that geopolitical risk predicts exchange rate returns and demonstrated that the information content embedded in geopolitical risk is economically useful and can improve the forecast accuracy of exchange rate return.
20 citations
TL;DR: In this paper , both uncertain currency model and stochastic currency model are used to model US Dollar to Chinese Yuan (USD-CNY) exchange rates, and it is shown that the uncertain model fits the exchange rates well, but the stochassy currency model does not.
Abstract: Uncertain hypothesis test is a statistical tool that uses uncertainty theory to determine whether some hypotheses are correct or not based on observed data. As an application of uncertain hypothesis test, this paper proposes a method to test whether an uncertain differential equation fits the observed data or not. In order to demonstrate the test method, some numerical examples are provided. Finally, both uncertain currency model and stochastic currency model are used to model US Dollar to Chinese Yuan (USD–CNY) exchange rates. As a result, it is shown that the uncertain currency model fits the exchange rates well, but the stochastic currency model does not.
19 citations
TL;DR: In this article , the authors argue that stabilizing the exchange rate allows the Russian government to anchor inflation expectations and support consumption but comes at the cost of the financial repression of domestic savers.
Abstract: Abstract Stabilising the exchange rate allows the Russian government to anchor inflation expectations and support consumption but comes at the cost of the financial repression of domestic savers.
19 citations
TL;DR: In this article , the interdependence of oil prices and exchange rate movements of oil exporting countries (the Russian ruble, Euro, Canadian dollar, Chinese yuan, Brazil real, Nigerian naira, Algerian dinar) is analyzed.
Abstract: This article is dedicated analyzing the interdependence of oil prices and exchange rate movements of oil exporting countries (the Russian ruble, Euro, Canadian dollar, Chinese yuan, Brazil real, Nigerian naira, Algerian dinar). The study also considers risk-based oil market spillovers in global crisis periods with integrated decision recommendation systems. For this purpose, a fuzzy decision-making model is created by considering the bipolar model and imputation of expert evaluations with collaborative filtering. The main contribution of this study is both its econometric analysis and evaluations based on expert opinions. This helps reach more crucial results. All three of the recent shocks (2008, 2012, 2020) in the oil market are transmitted to foreign exchange markets of oil-producing countries. At the same time, the last shock of 2020 caused by the COVID-19 pandemic has not yet been fully reflected on the Russian ruble exchange rate. Correlation parameters became weaker in the last year, as the Russian ruble correlation coefficient fluctuates between - 0.5 and 0.5. However, before 2020 the spillover effect had a higher significance (in the range from - 0.8 to - 0.1). Nigerian naira and Algerian dinar were showing almost the same movements, while the Russian Ruble was in a different trading range.
18 citations
TL;DR: In this paper , a bivariate scheme is proposed to explore the direct impact of oil prices on the real effective exchange rate forecast, proving the important effect of oil price variable on exchange rate forecasting.
TL;DR: This paper examined the impact of commodity price shocks related to the war in Ukraine on three currencies (Canadian dollar, euro, and Japanese yen) using four-hour price data for three commodities (wheat, crude oil, and natural gas) and two exchange rates (EUR/CAD and CAD/JPY).
TL;DR: In this paper , the authors examined the relationship between stock prices and exchange rates in G7 countries and employed linear and nonlinear ARDL models to examine the short-run and long-run relationship.
TL;DR: In this article , the causality between FDI and its determinants in Bangladesh in the presence of structural break harnessing Vector Autoregression (VAR) model and Granger causality test was tested.
Abstract: We tested the causality between FDI and its determinants in Bangladesh in the presence of structural break harnessing Vector Autoregression (VAR) model and Granger causality test. Regressors such as GDP growth rate, inflation, interest, corporate tax, exchange and wage rate, and trade openness (TO) have been used. VAR model finds that interest, tax, wage, and exchange rate do not affect inward FDI. However, the inflation rate and TO significantly impact the inward FDI in Bangladesh. The Granger causality test reveals a bidirectional causality in the FDI–inflation and FDI–TO nexus, whereas other explanatory variables do not cause the FDI granger. Variance decomposition (VDC) and impulse response function (IRF) assessment approve strong, moderate, and poor or no explanatory power of TO, inflation, and other explanatory variables, respectively. Regarding FDI–inflation bidirectional causality, we observed both natural (inflation truly causes FDI) and fake causality (FDI does not necessarily cause inflation). Therefore, when inflation causes FDI, then Bangladeshi Taka (BDT) becomes strong against USD, which increases import and reduces export (import > export). Due to the negative trade balance, this is true for Bangladesh. However, if FDI causes inflation, it will depreciate BDT; consequently, the export will surpass the total import, which is not the case in Bangladesh. Therefore, inflation causes FDI in Bangladesh, and this punch line ends the ongoing debate in the FDI–inflation–exchange rate nexus in Bangladesh. Finally, we recommend decreasing the lending interest rates to encourage further investment, adopting tax holidays, developing a skilled and semi-skilled workforce to harness the advantage of lower wage rates, and being more open to facilitating FDI-led development.
TL;DR: In this paper , the exchange rate response to domestic economic policy uncertainty, incorporating oil prices and the trade volume under different economic circumstances, is investigated, and quantile-based time-series approaches are applied to deal with extreme values.
TL;DR: In this article , the predictability of geopolitical risks for exchange rate volatility of the BRICS is examined using both historical and recent GPR data using the GARCH-MIDAS-X model based on available data frequencies.
TL;DR: This study presents the exchange rate of cryptocurrency based on applying the machine learning XGBoost algorithm and blockchain framework for the security and transparency of the proposed system.
Abstract: The popularity of cryptocurrency in recent years has gained a lot of attention among researchers and in academic working areas. The uncontrollable and untraceable nature of cryptocurrency offers a lot of attractions to the people in this domain. The nature of the financial market is non-linear and disordered, which makes the prediction of exchange rates a challenging and difficult task. Predicting the price of cryptocurrency is based on the previous price inflations in research. Various machine learning algorithms have been applied to predict the digital coins’ exchange rate, but in this study, we present the exchange rate of cryptocurrency based on applying the machine learning XGBoost algorithm and blockchain framework for the security and transparency of the proposed system. In this system, data mining techniques are applied for qualified data analysis. The applied machine learning algorithm is XGBoost, which performs the highest prediction output, after accuracy measurement performance. The prediction process is designed by using various filters and coefficient weights. The cross-validation method was applied for the phase of training to improve the performance of the system.
TL;DR: In this article, the predictability of geopolitical risks for exchange rate volatility of the BRICS is examined using both historical and recent GPR data using the GARCH-MIDAS-X model based on available data frequencies.
TL;DR: In this article , the authors re-examine the performances of stock prices, oil prices, and exchange rates in twelve oil exporting countries in 12 oil producing countries, and adopt a panel Vector Autoregressive (pVAR) model which applied data from the pre- and post-COVID-19 periods.
TL;DR: The authors investigated the monetary policy reaction function of central banks during the Coronavirus Disease 2019 (COVID-19) outbreak using daily data on policy rates from 28 advanced economies and 32 emerging markets, and found that emerging markets or countries without a zero bound on their interest rates were able to reduce interest rates as a reaction to reduced economic activity and to the volatility in their exchange rates.
TL;DR: The authors explored the network correlations among commodity, exchange rate, and categorical economic policy uncertainties (EPU) in China and found that commodity prices are more sensitive to monetary policy uncertainty and fiscal policy uncertainty than recessions.
TL;DR: In this paper , the causality between FDI and its determinants in Bangladesh in the presence of structural break harnessing Vector Autoregression (VAR) model and Granger causality test was tested.
Abstract: We tested the causality between FDI and its determinants in Bangladesh in the presence of structural break harnessing Vector Autoregression (VAR) model and Granger causality test. Regressors such as GDP growth rate, inflation, interest, corporate tax, exchange and wage rate, and trade openness (TO) have been used. VAR model finds that interest, tax, wage, and exchange rate do not affect inward FDI. However, the inflation rate and TO significantly impact the inward FDI in Bangladesh. The Granger causality test reveals a bidirectional causality in the FDI–inflation and FDI–TO nexus, whereas other explanatory variables do not cause the FDI granger. Variance decomposition (VDC) and impulse response function (IRF) assessment approve strong, moderate, and poor or no explanatory power of TO, inflation, and other explanatory variables, respectively. Regarding FDI–inflation bidirectional causality, we observed both natural (inflation truly causes FDI) and fake causality (FDI does not necessarily cause inflation). Therefore, when inflation causes FDI, then Bangladeshi Taka (BDT) becomes strong against USD, which increases import and reduces export (import > export). Due to the negative trade balance, this is true for Bangladesh. However, if FDI causes inflation, it will depreciate BDT; consequently, the export will surpass the total import, which is not the case in Bangladesh. Therefore, inflation causes FDI in Bangladesh, and this punch line ends the ongoing debate in the FDI–inflation–exchange rate nexus in Bangladesh. Finally, we recommend decreasing the lending interest rates to encourage further investment, adopting tax holidays, developing a skilled and semi-skilled workforce to harness the advantage of lower wage rates, and being more open to facilitating FDI-led development.
TL;DR: In this article , the authors examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies in incomplete foreign exchange risk trading where exchange rate risk partially segments international equity markets.
Abstract: Abstract We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies. Our equilibrium model of incomplete foreign exchange (FX) risk trading where exchange rate risk partially segments international equity markets is consistent with the observed dynamics of equity returns, exchange rates, and fund-level capital flows. We document that rebalancing is more intense under higher FX volatility and find heterogeneous rebalancing behavior across different fund characteristics. A granular instrumental variable approach identifies a positive currency supply elasticity. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
TL;DR: In this paper , the authors examined the validity of purchasing power parity between Jordan and its major trading partners namely, Turkey, Qatar, Iraq, United Arab Emirates and Saudi Arabia, and found that there exists a cointegrating relationship between exchange rate, domestic and foreign price levels for the selected countries.
Abstract: This paper examines the validity of Purchasing Power Parity between Jordan and its major trading partners namely, Turkey, Qatar, Iraq, United Arab Emirates and Saudi Arabia. Unit root tests, Johansen cointegration test were employed to test the data covering the period of 2000Q1-2020Q4. The unit root tests demonstrated that all variables are integrated of order one. The results of cointegration tests showed that there exists a cointegrating relationship between exchange rate, domestic and foreign price levels for the selected countries does have a cointegration relationship. This suggests that whenever there is a deviation from the equilibrium cointegrating relationship, exchange rate interacts in a dynamic fashion in adjusting to restore long-run equilibrium. As a conclusion, these results provide evidence on Purchasing Power Parity model hold in the long run and the Jordanian economy is integrated with these countries.
TL;DR: This article used a present-value model of the real exchange rate to impose structure on the currency risk premium and found that the missing risk premium, not the interest rate differential, explains most of the variation in the real currency exchange rate.
TL;DR: In this paper , the authors evaluate the evolution of spillover shocks from exchange rates returns of EURO, Yen, CAD and GBP using a dynamic VAR model fitted to hourly data, and find that total exchange rate shock spillovers explain around 37.7% of the forecast error variance in the exchange rate market compared to only 26.1% in the pre-COVID-19 period.
13 Jan 2022
TL;DR: This article provided a comprehensive currencies history of the exchange rate arrangement of 195 countries; exchange rate regime impacts on countries' growth and macroeconomic stability period of 1961 to 2020; the U.S. Dollar dominated the currency in world with a high margin.
Abstract: This study provides a comprehensive currencies history of the exchange rate arrangement of 195 countries; exchange rate regime impacts on countries' growth and macroeconomic stability period of 1961 to 2020. New measurements of foreign exchange regimes and under controlling the income level of high, upper-middle, middle, and lower-middle economies; This Study adopt Generalized Method of Movements (GMM) to investigate the impact of exchange rate regimes on the economies and macro-economic stability through Per Capita GDP, GDP growth, Inflation and Foreign Trade. The U.S. Dollar dominated the currency in world with a high margin. World countries desire to stabilize exchange rates, reduce exchange restrictions and currencies influence. We find that post Bretton woods transition from fixed to flexible management: Strong relations exist among the choice of exchange rate regime and countries growth. Policy implications are clear; the choice of exchange rate arrangement prevails no impact showing on the long-term countries growth, exchange rate anchor currencies of US Dollar, British Sterling Pound, Euro, Chinese Yuan, French franc, Deutschmark, and Basket currencies have a highly significant impact on countries growth of different income level. Suggest Chinese Yuan may consider alternate anchor currency for World and new measure of exchange rate controls developed. Central banks may be secure advanced country bonds, safe assets, and multi-currencies pegged systems adopted for the reserve to overcome the declining effectiveness of exchange controls.
TL;DR: In this paper , a multidimensional comparative analysis of the exchange rates of five currencies: dollar, euro, franc, pound and ruble in zlotys and crude oil in dollars per barrel from 2005 to 2022 is presented.
Abstract: The article presents a multidimensional comparative analysis of the exchange rates of five currencies: dollar, euro, franc, pound and ruble in zlotys and crude oil in dollars per barrel from 2005 to 2022. The research was conducted in terms of the identification of contemporary challenges for the economic security of enterprises in Poland. Grouping was used as part of multidimensional comparative analyzes. In the categorized line charts, in order to observe the trends in dynamic terms as a decrease and an increase in the rates of the analyzed data, a separate Y-axis scale was assigned to each of the analyzed dependent variables.
TL;DR: In this article , the authors analyzed the impact of COVID-19 pandemic on inflation and exchange rate volatility and studied the government measures implemented in order to support economies, which revealed that high infections negatively affect exchange rate and inflation; the responses of governments increase inflation and result in a lower exchange rate.
Abstract: The purpose of this article is to analyze the impact of COVID-19 pandemic on inflation and exchange rate volatility and to study the government measures implemented in order to support economies. Based on monthly data from January to September 2020 for 10 countries, the dynamic panel data model is used to study the effect of COVID-19 spread. The results reveal that high infections negatively affect exchange rate and inflation; the responses of governments increase inflation and result in a lower exchange rate. In fact, providing health protocols which entered the countries into a new economic and financial crisis since economic agents could not freely engage in economic activities. Therefore, policy makers in both regions should invest in health infrastructure to improve the capacity of the national health system to resist the epidemic of contagious diseases.
TL;DR: In this paper , the authors examined the consequences of the Russian invasion of Ukraine on five Euro exchange rates and empirically tested whether the Ruble caused the euro to depreciate.
Abstract: PurposeThe stability of exchange rates facilitates international trade, diminishes portfolio risk, and ensures that economic policies are effective. The war in Ukraine is showing that the European financial system is still fragile to external shocks. This paper examines the consequences of the Russian invasion of Ukraine on five Euro exchange rates. The final goal is to empirically test whether the ruble caused the euro to depreciate with the Russian invasion of Ukraine.Design/methodology/approachThe exchange rates analyzed are Euro/Russian Ruble, Euro/US Dollar, Euro/Japanese Yen, Euro/British Pound, and Euro/Chinese Yuan. The data collected are daily and cover the period from November 1, 2021, to May 1, 2022. In this context, the changes in the FX rates reflect two months of the ongoing war in Ukraine. The FX rates used in the study contain 137 observations indicating five months of daily series.FindingsThe results from impulse response function, variance decomposition, SVAR, and VECM indicate that the EUR/RUB significantly influenced the Euro devaluation. On the other side, the FX rates used in our work altogether hold long-run cointegration. The situation is different in the short run, where only EUR/RUB, EUR/USD, and EUR/CNY possess significant relations with other parities.Originality/valueThe Ruble is not among hard currencies, but its position strengthened during this period due to the importance of Russian gas to the Eurozone. The results indicate that even weak currencies can be influential depending on the geopolitical and economic situation. To this end, diversification remains a valid concept not only in portfolio construction but also for the preservation of the national economy.