Dollar Exchange Research Articles

CAUSALITY RELATIONSHIP BETWEEN STOCK PRICES, EXCHANGE RATE AND HOUSE PRICE INDEX

Bu çalışmada, hisse senedi fiyatları, döviz kuru ve konut fiyatları arasındaki nedensellik ilişkisi Türkiye özelinde ampirik olarak analiz edilmiştir. 2013:M3 – 2022:M1 dönemine ait aylık veriler kullanılarak, BIST100 endeksi, BIST İnşaat endeksi, USD/TL kuru ve Konut Fiyat endeksi arasındaki nedensellik ilişkisi araştırılmıştır. Seçilen değişkenler arasındaki ilişki Granger Nedensellik testi ile analiz edilmiştir. Bulgulara göre, BIST100 endeksi ile konut fiyat endeksi arasında, BIST İnşaat endeksi ile konut fiyat endeksi ve dolar kuru ile konut fiyat endeksi arasında çift yönlü nedenselliğin varlığı tespit edilmiştir. Dolar kuru ile BIST100 endeksi arasında, dolar kuru ile İnşaat endeksi arasında, BIST100 endeksi ile İnşaat endeksi arasında nedensellik ilişkisine rastlanmamıştır. Konut fiyatlarını etkilemek isteyen politika yapıcıların dolar kuru ve hisse senedi fiyatlarını da göz önünde bulundurması gerektiği ifade edilebilir.

Финансово-экономическое обоснование проекта по строительству малотоннажного комплекса сжижения природного газа

In modern economic conditions, the increased demand for liquefied natural gas necessitates the engineering design of technological solutions for the production of liquefied natural gas and its financial and economic justification. The scientific article is devoted to the development of a financial and economic model and the evaluation of the effectiveness of the project for the construction of a small-scale natural gas liquefaction complex and the analysis of project risks. The proposed format of the financial and economic model is based on the calculation of key indicators of the project's operating and investment activities, including OPEX and CAPEX, as well as on the formation of financial plans that reflect the net profit and net cash flow. The presented financial models are used in calculating the performance indicators of the design solution and are the information basis for the analisis influence risk factors for net monetary income. The article examined the impact of macroeconomic drivers and deflator indices — liquefied natural gas prices, the dollar exchange rate against the ruble on the change in income from gas sales and on the formation of key project indicators. The authors of the article substantiate the expediency of applying the financial and economic model in practice for further use in project documentation as an economic part of the feasibility study.

Determination of Factors Affecting Dollar and Euro Exchange Rates with Two Dependent Variable MARS Model

Determination of Factors Affecting Dollar and Euro Exchange Rates with Two Dependent Variable MARS Model

Inflation targeting in Singapore. Lessons for Ukraine

Russian aggression in Ukraine posed a difficult task for Ukrainian monetary authorities. In order to keep stability of national currency exchange rate the National Bank of Ukraine (NBU) fixed the U.S. dollar exchange rate immediately after the start of the conflict. However, NBU acknowledged that it considers fixed exchange rate as an impediment to inflation targeting, which NBU has chosen as its policy for money and credit since 2014. The main aim of this article is to show that inflation targeting is possible under fixed exchange rate regime. Thus, the problem of policy choice for NBU is not so dramatic. Price stability is compatible with management of exchange rate in both practical and theoretical perspectives. In order to prove this thesis, we will look into Singapore’s experience of targeting inflation with fixed exchange rate.
 Singaporean experience of managing its exchange rate proves that greater flexibility is possible in the context of monetary policy choice. Depending on a situation Singaporean central bank is able to “lean against the wind” and shift swiftly between the corners of “Impossible Trinity” allowing greater control over exchange rate and interest rate in a short-term time horizon. Furthermore, management of exchange rate is compatible with inflation targeting paradigm which is strongly advised for a small-open economy by international financial organizations such as IMF. Singaporean experience also proves that the reaction function of MAS is compatible with the Taylor rule. Eventually, Singaporean economy maintains price stability without committing its monetary policy to interest rate targeting exclusively.

Testing of Macroeconomic Factors Affecting Capital Markets with Granger Causality Method: Turkey Practice

Purpose-In this study, the relationship between the capital market (BIST 100 index) and macroeconomic variables that are thought to affect thecapital market (gold prices, oil prices, Euro-US Dollar exchange rate basket, budget balance, foreign trade balance) will be examined with the Granger causality method.Design/methodology/approach-The study covers the period of 2010-2019 on a monthly system. The data were obtained from the CBRT (EDDS) and TurkStat. Statistical package software (Stata and EViews 9) were used in the analysis of the data. BIST 100 index return is included in the model as a dependent variable and macroeconomic factors as an independent variable. The relationship between dependent and independent variables was examined with the VAR-based Granger causality method.Findings-As a result of the study, it has been understood that only the gold price among the macroeconomic factors is the Granger cause of the BIST 100 index. In other words, lagged changes in gold prices explain the variance of the BIST 100 index. When the direction of the relationship was examined, a one-way Granger causality was observed from the Ons variable to theBIST 100 variable. When the action-reaction shocks between the BIST 100 variable and the ONS variable are examined, a shock in gold prices affected the return of the BIST 100 index for about 2 months, and this effect decreased and disappeared from the 5thmonth. Again, approximately 6.82% of the variance of the BIST100 variable is explained by the Ons variable.Discussion-Developments in the capital markets are followed closely by both institutional investors and individual investors. For this reason, it is extremely important what factors affect the BIST 100 index, which is thought to represent the Turkish capital market. According to the findings of the study, changes in gold prices affect the BIST 100 index return, and the relationship between these twovariables should be closely monitored. Addressing the long-term relationship between the BIST 100 index and gold prices in future studies will make an important contribution to the literature

Dynamics of Gold Prices in Indonesia; A Short-Term and Long-Term Estimation Approach

The issue of reinstating the role of gold in the financial system which was no longer supported by gold since 1971 resurfaced. The role of money based on gold is an attempt to create a stable and fair monetary system. This study tries to see the effect of GDP growth, inflation, dollar exchange rate, and the composite stock price index on gold prices in Indonesia. The analysis technique used is ARDL (Autoregressive Distributed Lag). The results showed that the variables of GDP, inflation, dollar exchange rate, and JCI in the long term ARDL had no significant effect. In the short term for 1991Q1 – 2019Q3 data, the dollar exchange rate variable has a positive effect on gold prices. Meanwhile, in the short term, data for 1999Q2 – 2019Q3 GDP and the dollar exchange rate have a negative effect on gold prices. This shows that in the short term gold can be used as safe storage when the country's economic growth is unstable. The implication of this research is the government and other related parties to continue to increase economic growth and gross domestic product, besides the importance of maintaining economic and political stability in order to ensure the sustainability of the economy in Indonesia, so that inflation can be more controlled and the composite stock price index will improve in the future.

Investigating the Factors Causing Price Differences from Country to Country

This study investigated the factors causing differences in the prices of MNC operating in different countries that affect the pricing in different regions and deviating from the law of one price and influencing factors by comparing prices of both India and Pakistan being developing countries. The study focused on some specific variables such as GDP, exchange rate, purchasing power parity, and price in the dollar that have been analyzed from January 2016 to January 2021 based on biannual data. The quantitative approach has been applied and the study is based on secondary data, Statistics are taken from the “Big Mac Index” which is used as a benchmark for the comparison of the prices to have a deep insight about prices. The product taken for comparison between 2 countries is “The Big Mac” which is a product of McDonald’s (A multinational corporation) that operates more than 36,000 restaurants in more than 100 countries around the world. The tool used for the analysis of the collected data is Microfit software. Results show currency value, Dollar exchange, and Dollar GDP is statistically not significant, in the case of India analysis shows that dollar exchange, dollar GDP, and dollar PPP having values 0.047, 0.004, and 0.011 respectively are significant and currency value 0.458 & dollar price 0.11 are not significant.

THE ELASTICITY OF EXPORTING THE MINING QUARRYING PRODUCTS TO FOREIGN EXCHANGE RATE CHANGES

Elasticity examining the exporting the products to foreign exchange rates, has been subject to so many studies. Exports are expected to increase in the case of the depreciation of the domestic currency in the economies where exports and imports are sensitive to foreign exchange rate. While foreign currency appreciation increases the profitability of the firms also increases because their costs are in domestic currency. This paper investigates how exchange rate changes affect mining & quarrying exports in Turkey. In this paper we aim to identify the elasticity of mining & quarrying exports to dollar exchange rate changes. Mining & quarrying whose development are mostly dependent on nature sector exports which is predominantly sensitive to the dollar exchange rate, was tried to be analysed by using the least squares method. Data representing the exchange rate for monthly average dollar-selling prices between the years of 2005-2017, obtained from the data system of the TCMB (The Central Bank of the Republic of Turkey) is used. In addition this, export data denominated in dollars for mining & quarrying products for the same period, were also obtained from the TUIK (Turkish Statistical Institute). Data obtained from those for 156 periods were analysed through the SPSS statistical packaged software program. As a result, mining & quarry exports are sensitive to the dollar exchange rate and a 1% increase in dollar exchange rate increases mining & quarrying exports by approximately $ 8,8 million. Besides this result, a one percent (1%) standard deviation increase in dollar exchange rate leads to a 0.65 standard deviation increase in exports of mining & quarrying products. These findings are consistent with the literature on elasticity to foreign exchange rate changes.

Nonlinear Dependence and Spillovers between Currency Markets and Global Economic Variables

The widespread integration and growing systemic dependence among currency, stock, and commodity markets render these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we aim to explore the spillovers and nonlinear dependencies between the seven major foreign exchange rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by employing a directional spillover network approach. We also use a multi-scale decomposition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. The major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the Euro–Dollar exchange rate as the largest contributor of connectedness to the other series.

Исследовательские проекты в сфере устойчивого развития Арктики

Currently, Russia has a rather complicated geopolitical situation, as a result of which there have been significant economic changes that have been superimposed on the difficult «Сovid» period. The dollar exchange rate reached record levels in March 2022, exceeding the mark of 100 rubles per dollar, while the Central Bank of the Russian Federation faced a shortage of foreign exchange reserves, freezing assets in foreign banks and funds. In addition, various international sanctions are being imposed on Russia, and Russia’s participation in international projects has been suspended, in particular within the framework of the Arctic Council. As a result, it seems expedient to involve not only the member states of the Arctic Council in cooperation and participation in projects, but also other states, along with the formation of specialized centers, tools and mechanisms that contribute to their realization.

Sensitivity of Crude Oil Price Change to Major Global Factors and to Russian–Ukraine War Crisis

To assess the elasticity of crude oil price to global factors related to supply of crude oil and the US dollar exchange rate, the authors employed nonlinear models including flexible least squares, and maximum likelihood estimator, in addition to OLS regression mode; using yearly data from 1965 to 2021. The findings indicate change in oil prices due to 1% change in any of the explanatory variables, as follows: the effect of the US dollar depreciation rate, raise crude oil price/barrel by 71 US cents; and increase in OPEC production, decrease crude oil price by 82 US cents; a decrease in non-OPEC production, raise oil price by 4.78 US$. These results imply that, if a ban imposed on Russian crude oil export, and no increase in OPEC production to compensate Russian oil loss in the international markets, global crude oil price expected to rise by 88 US$ above its level before Russian–Ukraine crisis, meaning that crude oil price expected to rise at 160 US$ pbab. However, if OPEC members increase their output level by 10 million barrels per day to compensate the Russian oil loss, then global crude oil price is expected to stay at 102 US$ pb.

Sensitivity of crude oil price change to major global factors and to Russian-Ukraine war crisis

To assess the elasticity of crude oil price to global factors related to supply of crude oil and the US dollar exchange rate, we employed nonlinear models including flexible least squares (FLS), and maximum likelihood estimator (MLE), in addition to OLS regression mode; using yearly data from 1965 to 2021. Our findings indicate change in oil prices due to 1% change in any of the explanatory variables, as follows: the effect of the US dollar depreciation rate, raise crude oil price/barrel by 71 US cents; and increase in OPEC production, decrease crude oil price by 82 US cents; a decrease in non-OPEC production, raise oil price by 4.78 US$. These results imply that, if a ban imposed on Russian crude oil export, and no increase in OPEC production to compensate Russian oil loss in the international markets, global crude oil price expected to rise by 88 US$ above its level before Russian–Ukraine crisis, meaning that crude oil price expected to rise at 160 US$ pb[1][2]. However, if OPEC members increase their output level by 10 million barrels per day to compensate the Russian oil loss, then global crude oil price expected to stay at 102 US$ pb.

How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

Abstract The aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.

Analisis Faktor-Faktor yang Mempengaruhi Ekspor Crude Palm Oil (CPO) di Provinsi Kalimantan Selatan

This study aims to determine the factors that affect crude palm oil exports in South Kalimantan province, knowing the influence of production amount, dollar exchange rate, and CPO price on CPO exports in South Kalimantan Province. In increasing CPO production for the future, Indonesia is still superior because of the availability of sizeable tropical land for planting oil palm trees. Indonesia's CPO production, especially in South Kalimantan, continues to increase. It can be identified because of the influence of the amount of output, dollar exchange rate, and CPO price on South Kalimantan CPO exports?This research is research that uses multiple linear regression analysis techniques. Linear regression is one of the statistical tools used to describe the relationship between variables; the dependent and independent variables are used. The results showed that the amount of production (X1)) and the exchange rate of the Dollar (X3) together did not significantly influence the CPO Export of South Kalimantan (Y).

Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey

PurposeThe last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates and trade amid other sources of uncertainties. The purpose of this study is to examine the exchange rate dynamics of Brazil, Russia, India, China, and South Africa (BRICS) and the Republic of Turkey.Design/methodology/approachGiven this perceived global dynamics, the current study examined the BRICS countries and the Republic of Turkey's exchange rate dynamics by using the United States (US) monthly dollar exchange rate data between January 2002 and August 2019. The price bubble which is expressed as exceeding the real value of assets' prices which is observably caused by speculative movements is investigated by using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) approaches.FindingsAccordingly, the GSADF test results opined that there are price bubbles in the dollar exchange rate of other countries except for the United States Dollar (USD)/Indian Rupee (INR) exchange rate. As the related countries are classified as developing countries in terms of their structure, they are also expectedly the subject of speculative exchange rate movements. Speculative movements in exchange rates may cause serious problems in national economies.Originality/valueThus, the current study provides a policy framework to the BRICS countries and the Republic of Turkey.

Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

India is a major Asian economy that has attracted global investment due to its economic stability and relatively open financial markets. We investigate the return and volatility spillover effects between the Indian rupee against US dollar and stock index volatility in neighboring (Asian) nations. Consistent with the uncovered equity parity, we find that when the rupee depreciates against US dollar, the foreign institutional investors pull back their portfolio investments from other Asian markets and invest in Indian stock market, similarly if rupee appreciates they may divest their investments to gain profits. The unidirectional causality from the exchange rate to all stock indices is indicated by the causality in the mean approach. Our study shows a strong linkage between the currency value of a stable economy and the economies with which it has strong trade ties. Further, the results also show that investors adjust their position in the related markets during periods of currency appreciation and depreciation in an economy with significant growth prospects. JEL Codes: F31, D53, B23

AI-system, correlation-regression model and VaR-model for prediction of overdue debt of commercial banks of the Russian Federation and analysis of financial risk

The article examines the theoretical foundations for the emergence of overdue debts on loans and forecasting financial risk in Russian banks in modern conditions. The relevance of the study is that the growth of bad debts of commercial banks on loans is currently one of the most acute problems. The collected material made it possible to analyze the dynamics of the volume of overdue debt on loans in commercial banks of the Russian Federation for the period 2013–2021. In the course of the study, it was revealed that many factors influence the volume of bad debts. In order to study the influence of factorial signs on the effective sign — the amount of overdue debt, an attempt was made to use such models as: correlation-regression, AI and VaR. A hypothesis has been put forward and proved that with the help of models: correlation-regression, AI and VaR, it is possible to obtain a forecast of the volume of overdue loans in the portfolio of commercial banks of the Russian Federation. The correlation-regression model, in addition to the resultant sign Y — the growth rate of overdue debt, included such factorial signs as: X1 — the growth rate of GDP per capita; X2 — the growth rate of the average per capita income of the population; X3 — the growth rate of foreign trade surplus; X4 — inflation index; X5 — growth rate of capital outflow; X6 — growth rate of cash; X7 — interest rate on loans; X8 — US dollar exchange rate; X9 — price of a barrel of oil URLS dollars; X10 — wage growth. The study showed that the use of various forecasting tools provides different amounts of arrears, for example, for 2022: the correlation-regression model — 7159.9 billion rubles, the neural network — 4466.251 billion rubles, and the VaR model 5426 .56 billion rubles overdue loans.

Analysis of Exchange Rate Volatility in Peru in the Presence of Structural Breaks

The presence of structural breaks in the analysis of volatility in the financial field has been ignored in research done in Latin America. This paper fills this gap by analyzing the behavior of the dollar exchange rate in Peru by evaluating the impact of structural breaks in volatility forecasting. The return behavior was analyzed for the period 05/01/2010 to 09/30/2021. Econometric analysis was used, which consisted of: (1) use of the modified Iterative Cumulative Sum of Squares (ICSS) algorithm to determine the structural breakpoints; (2) estimation of GARCH Models for the subsamples originated by the identified breakpoints; and (3) comparison of alternative models with the GARCH(1,1) expanding window model for horizons of 1, 20, 60 and 120 days. The ICSS algorithm identified 8 breaks in volatility behavior. The models were compared based on out-of-sample forecast performance. It was determined that the GARCH model that considers structural breaks is only effective for a one-day horizon. Finally, the GARCH(1,1) 0.25 rolling window model provides a better strategy for forecasting the volatility of exchange rate returns in Peru for longer horizons.

Measure of Volatility and Its Forecasting: Evidence from Naira / Dollar Exchange Rate

In the last five decades, Box Jenkins methodology has been in existence to model univariate time series data but fails or has limitations on modeling volatility. Most financial time series data do exhibit heavy tail and thick distribution, to this effect various parametric and semi-parametric non –linear time series models have been proposed two or three decades ago to capture volatility. However, this research entails measuring volatility and its forecasting using time series exchange rate annual data over the period from 1981 to 2020 (wide periodicity). The exchange rate was transformed to return, and parametric non –linear time series was modeled on it. It was found out that GARCH (1,2) reveals continuous volatility for short while and was the best model to predict the exchange rate volatility based on the evidence from measurement volatility tool; RMSE, MAE, MAPE among other extensions of GARCH models; EGARCH and TGARCH. EGARCH (1, 4) captures the asymmetry effect revealing that negative shocks will persistently have an effect on the volatility of the naira/dollar exchange rate.

Asymmetric Exchange Rate Pass-Through in Turkish Imports of Cocoa Beans

The present paper uses asymmetric cointegration and error-correction modeling where a nonlinear adjustment of the exchange rate yields results that are different than those yielded by linear models. We study cocoa imports for Turkey with advanced ARDL and nonlinear ARDL frameworks. Our findings reveal that there is considerable asymmetry for the case of Turkish cocoa bean imports from Côte d’Ivoire. Compared with imports from Ghana, there are significant differences in Turkish importers’ preferences when choosing between the two cocoa bean providers. Our results provide support for the nonlinear adjustment of the real Turkish lira–US dollar exchange rate and a hint of imperfect rivalry in Turkish cocoa bean imports.