Dollar Exchange Research Articles

CAN AN IMPORT TARIFF PRODUCE A J-CURVE LIKE EFFECT?

ABSTRACT There is no doubt that U.S. trade balance with China is a matter of concern, as it has not only been in the negative ever since 1992, but the negative balance is increasing at an increasing rate. The goal of this study, therefore, is to investigate whether imposing tariffs on imports from China will improve U.S. trade balance with that country. We define our independent variable, BOT (balance of trade), as U.S. net export to China. Our independent variables include RGDP (ratio of U.S. GDP over China's GDP), EX (U.S. dollar's exchange rate) defined as the number of Chinese currency, Renminbi, needed to purchase one U.S. dollar, and CCPI (China's consumer price index). Our study covers the period from 1988 to 2018. We estimate a vector error correction model (VECM). We use a rise in China's consumer price index as a proxy for tariff led rise in the price of Chinese products facing U.S. consumers. Our findings imply that an import tariff on Chinese products will not improve, rather deteriorate U.S. trade balance with China in the long run and will have no effect in the short run. Keywords J-curve effect, export-to-import ratio, exchange rate, unit root, cointegration

Hybrid CUSUM Change Point Test for Time Series with Time-Varying Volatilities Based on Support Vector Regression.

This study considers the problem of detecting a change in the conditional variance of time series with time-varying volatilities based on the cumulative sum (CUSUM) of squares test using the residuals from support vector regression (SVR)-generalized autoregressive conditional heteroscedastic (GARCH) models. To compute the residuals, we first fit SVR-GARCH models with different tuning parameters utilizing a time series of training set. We then obtain the best SVR-GARCH model with the optimal tuning parameters via a time series of the validation set. Subsequently, based on the selected model, we obtain the residuals, as well as the estimates of the conditional volatility and employ these to construct the residual CUSUM of squares test. We conduct Monte Carlo simulation experiments to illustrate its validity with various linear and nonlinear GARCH models. A real data analysis with the S&P 500 index, Korea Composite Stock Price Index (KOSPI), and Korean won/U.S. dollar (KRW/USD) exchange rate datasets is provided to exhibit its scope of application.

Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula

This paper studies the dependence structure and information spillover effect between the RMB exchange rate and the Chinese stock market based on the R-vine copula model and spillover index model. The results show that due to the occurrence of the trade war, the correlation between the three RMB exchange rate indicators and the two stock market indicators increases in varying degrees. In the intensity of spillover, the information spillover of the stock market to the RMB exchange rate is significantly enhanced, and the information spillover intensity of the RMB Index to the stock market increases, but the information spillover of the US dollar and Hong Kong dollar exchange rates to the stock market is significantly weakened. In the direction of spillover, the spillover of the RMB Index and stock market shows the characteristics of alternating transformation, while the exchange rate of a single currency and the stock market shows a one-way transmission from the stock market to the exchange rate. Additionally, the information spillover between the RMB exchange rate and the stock market is closely related to the degree of market openness. The RMB Index contains more information than the exchange rate of a single currency.

Effects of Yuan–Dollar Exchange Rate Changes on World Cotton Markets

AbstractFrom April 2018 to August 2019, the Yuan has declined in value relative to the US dollar by 12.6%, and the effects of this decline have not been studied. This study analyzes the effects of this fall in Yuan value, in isolation of tariffs, on US, Chinese, and world cotton markets. The results show that the adverse effects of the decline in Yuan value reverberate throughout world cotton markets and exacerbate the detrimental effects of the Chinese cotton tariff.

Non-linear adjustment of the Bitcoin–US dollar exchange rate

This paper analyses the relationship between BitCoin price and social media. The aim of the study was to investigate the adjustment process of the Bitcoin/dollar exchange rate towards its long-run equilibrium value in a nonlinear panel framework. A smooth transition error correction model is estimated to empirically validate the adjustment of the Bitcoin/dollar exchange rate in relation to its fundamental value. Results depict the presence of a nonlinear adjustment mechanism that reduces the Bitcoin/dollar rate to a partially stable long-term situation. Further, we find empirical evidence that the social media is an effective tool in today’s Bitcoin/dollar exchange rate process.

Returns and volatility spillover between food prices and exchange rate in Nigeria

PurposeEmpirical studies have documented the linkage between exchange rate movement and food prices. However, the purpose of this study is to investigate the degree and direction of returns and volatility spillover transmission between exchange rate and domestic food prices in Nigeria.Design/methodology/approachThe study uses weekly data from January 2010 to January 2019. Also, the study adopts the improved Diebold and Yilmaz (2012) approach to evaluate the return and volatility spillover between food price and naira to dollar exchange rate. The study also account for 2016 exchange rate crash in the interconnectedness between food prices and naira to dollar exchange rate.FindingsThe paper finds evidence of directional interdependence among the considered food prices and exchange rate based on the obtained spillover indexes. In addition, exchange rate returns and volatility transmission to food prices is more than it receives, particularly after the exchange rate crash.Research limitations/implicationsThe high consumption of staple foods requires policies on price stabilisation such as massive investment in local production and reduction in import dependence, in order to cushion the effects of exchange rate depreciation on domestic prices of food.Originality/valueThis study is the first empirical study to investigate the interconnectedness between exchange rate and domestic food prices for a food import–dependent developing country using the Diebold and Yilmaz approach.

The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach

PurposeThis paper investigates the dynamic relationship between the trade-weighted dollar exchange rates and the oil prices in the world market. Monthly data during 1980–2017 are used for this purpose.Design/methodology/approachThe symmetric and asymmetric generalized impulse response functions are estimated for these important economic indicators.FindingsThe empirical findings show that if the dollar rate increases (i.e. the dollar depreciates), the oil price will increase. The reverse relationship is also supported empirically meaning that an increase in the oil price will results in a significant depreciation of the dollar rate. Based on the asymmetric impulses responses, it can also be claimed that the negative interaction is only significant for the positive changes and not for the negative ones. Thus, the underlying variables are negatively interrelated only for the positive shocks since a negative shock from any variable does not seem to have any significant impact on the other variable. These results have implications for cross hedging of price risk.Originality/valueTo the best knowledge, this is the first attempt to investigate the relationship between the dollar weighted exchange rate and the oil pieces via the asymmetric impulse response functions. Both of these variables and their interactions are very important for investors as well as policy makers worldwide.

Engineering and Economic Evaluation of Production of Fe3O4 Nanoparticles

This paper aims to evaluate the economic feasibility of Fe 3 O 4 nanoparticle production from a laboratory scale to an industrial scale feasibility. The evaluation was conducted using 2 models of feasibility studies, namely: technical analysis and economic evaluation. Technical analysis provides information on the potential for large-scale production and the results of this process can be applied using commercially available and inexpensive equipment. Economic evaluation is based on a comparison of the Cumulative Net Present Value graph in an ideal condition and the graph when parameters changing are made (such as changes in the dollar exchange rate, the quantity of sales products, and the value of employee salaries). From the evaluation results, all parameter changes give a positive value indicating that the project is feasible to run commercially and on a large scale. This is because the evaluation results provide a stable index of profit for some changes in parameter values. This study shows that Fe 3 O 4 fabrication can provide promising profits in developing countries and can attract foreign investors to work together on Fe 3 O 4 fabrication.

PENGARUH INFLASI, KURS DOLAR AS, DAN SUKU BUNGA (BI), TERHADAP PENENTUAN HARGA EMAS

Investing gold is one of the right choices to avoid losses due to the economy that is sometimes uncertain, gold investment is a low-risk investment instrument, gold is a good hedge option because gold is not affected by inflation or zero inflation. This study aims to determine the effect of inflation, US Dollar Exchange Rates, and Interest Rates (BI), on the Gold Price. The sample used in this study is the company PT Antam Tbk, 2014-2018, where the company is a company engaged in the sale of gold and other metals, as well as a company that sets the price of gold in Indonesia. This study uses a quantitative approach. The data used are secondary data from 2014-2018. The data analysis technique used is time-series data with multiple linear regression methods of panel data using Eviews 9. Based on the analysis found that partially (t-test) inflation has a significant positive effect on the price of gold, while the US dollar exchange rate has a positive effect not significant to the price of gold. And simultaneously (Test F) Interest Rate (BI) has a significant negative effect on the price of gold.

Relationship Between the Brent Oil Price and the US Dollar Exchange Rate

This article deals with an analysis of the relationship between the Brent oil price and the US dollar price. This paper analyses the development of the intensity and direction of dependence between the nominal effective exchange rate of the US dollar and the price of Brent oil and other commodities, such as industrial metals, agricultural commodities, gold (including jewellery and platinum) in the period from January 1994 to April 2018. The next section tests the hypothesis that there is a short-term relationship between the effective US dollar exchange rate and the oil price. The last part of the article deals with the question whether there is a long-term relationship between these variables: Brent oil price, effective exchange rate of the US dollar, industrial production index in OECD countries, three-month treasury bill, US ending stocks of crude oil, US percent utilization of refinery operable capacity and the price of ethanol.

Modified Goal Programming Model for Limited Available Budget Allocation for Equipment Procurement under Inflation Condition

Equipment procurement budget is of a great challenge in manufacturing industries by reasons of its multi-objectives, insufficient funds, and inflation problems. Solutions were proffered to these problems by identifying the strategic decisions required in equipment procurement (machine, accessories, spare parts and miscellaneous costs). Procurement changes from year to year based on equipment industrial needs. Hence eleven (11) scenarios for procurement but this study focused on a scenario where all the decisions are needed for procurement. This problem is multi-objective decision problem where there is need for multi-objective decision tool for its solution, therefore a goal programming tool was adopted and improved by integrating inflation model into it to be able to solve inflation problems. International Brewery Ilesha, Nigeria was used as case study for the model’s application to evaluate its performance. The strategic decisions deviated above or positively by 0.4604, 4.1311 and 2.3760 for machines, spare-parts and miscellaneous costs respectively while accessories cost was not deviated. Therefore, the procurement cost for Machines, Accessories, Spare-parts and Miscellaneous costs would be (N 166,015,000; $ 461,152.77), (N 127,968,000; $ 355,466.67), (N 548,075,000; $ 1,522,430.56), (N 271,091,500; $ 753,031.94). US Dollar exchange rate was at N 360 to a Dollar as at the time of this research. This multi-criteria decision tool will find its application useful in small, medium and large scale industries that equipment procurement budget affects their production.v

Economic Environment Effect: Foreign Investment Variables, Exports and Dollar Exchange Rates

The increase of foreign debt can be affected by inter-state trade in which there are foreign investment, exports, and imports. The value of foreign investment, exports, and imports of a country is affected by the dollar exchange rate. This study aims to test empirically the influence of foreign investment, exports and imports of foreign debt with the dollar exchange rate as an intervening variable. The data used in this study are secondary data which is available at Bank of Indonesia (BI), The Ministry of Finance, UNCTAD FDI / TNC database and BPS data from 1986 to 2017. The data analysis technique used is path analysis. Based on the results of the analysis, foreign investment variables, exports and dollar exchange rates do not directly affect foreign debt, but imports directly affect foreign debt. Dollar exchange rate as an intervening variable for export and import variables has an indirect influence on foreign debt in Indonesia in from 1986 to 2017, while foreign investment variable on foreign debt of dollar rate does not become an intervening variable.

Effects of External Shocks on RevPAR of Hotels

2008년 금융위기 이후 한국의 호텔 시장은 경기 변동에 큰 영향을 미친 두 번의 주요한 외생적 충격을 맞이한다. 그 하나는 2015년 환경적 위기인 메르스 사태이며, 다른 하나는 2017년 정치적 위기인 사드 사태이다. 본 연구는 시스템 GMM 모형을 통해 2007년부터 2018년까지 서울시 67개 호텔들의 패널데이터를 이용하여 외생적 충격이 호텔 운영성과의 핵심 지표인 객실당 수입(RevPAR)에 미치는 영향을 분석하였다. 외생적 충격을 설명하는 시간더미 변수 외에 호텔 특성요인과 시장 특성요인을 함께 고려하였다. 분석결과 ADR 인덱스와 OCC 인덱스, 외국인 객실매출비율이 모두 호텔의 RevPAR에 긍정적인 영향을 주는 것으로 나타났다. 또한 지역 시장내 경쟁 호텔수가 적을수록, 연간 외래방문객수가 많을수록, 전년도 대미 환율이 커질수록 호텔의 RevPAR가 상승하였다. 주요한 분석결과로 메르스(2015년)와 사드(2017년)라는 외생적 충격이 RevPAR에 부정적인 영향을 미친다는 것을 확인하였다. 특히 2017년 특급 호텔들은 사드라는 외부환경의 변화에도 긍정적인 성장을 보였다는 것은 흥미로운 결과이다. 본 연구는 예측하지 못한 위기상황에서 호텔의 운영성과를 높이기 위한 전략들에 대한 유용한 시사점을 제공해준다.Since the 2008 financial crisis, South Korea’s hotel market had faced two major external shocks that led to economic fluctuations. One is the MERS, the environmental crisis of 2015, and the other is the THAAD, the political crisis of 2017. Using panel data of 67 hotels in Seoul from 2007 to 2018, this study analyzed the effect of external shocks on Revenue Per Available Room(RevPAR), a critical measure of performance for hotels, through the system GMM model. In addition to the time dummy variables describing the exogenous shocks, the hotel characteristics and market characteristics factors were considered. The results of the analysis showed that the ADR index, OCC index, and the ratio of foreigners’ room revenues had positive effects on the hotel s RevPAR. In addition, the lower the number of competitive hotels in the local market, the higher the annual number of outbound visitors and the US dollar exchange rate(t-1), the hotel s RevPAR was greater. The key findings indicate that the MERS(2015) and THAAD(2017) outbreaks had dramatic impacts on reducing hotel’s RevPAR. In particular, it is interesting to note that the luxury hotels in 2017 showed positive growth despite changes in the external environment called THAAD. This study provides useful implications for strategies to improve the financial performance of hotels in unforeseen crisis situations.

Least Squares Estimations for the General Linear Model Parameters with Epsilon Skew Normal Error Term

Examination of skewness makes academics more aware of the importance of accurate statistical analysis. Undoubtedly, most phenomena contain a certain percentage of skewness which resulted to the appearance of what is -called "asymmetry" and, consequently, the importance of the skew normal family . The epsilon skew normal distribution ESN (μ, σ, ε) is one of the probability distributions which provide a more flexible model because the skewness parameter provides the possibility to fluctuate from normal to skewed distribution. Theoretically, the estimation of linear regression model parameters, with an average error value that is not zero, is considered a major challenge due to having difficulties, as no explicit formula to calculate these estimates can be obtained. Practically, values for these estimates can be obtained only by referring to numerical methods. This research paper is dedicated to estimate parameters of the Epsilon Skew Normal General Linear Model (ESNGLM) using an adaptive least squares method, as along with the employment of the ordinary least squares method for estimating parameters of the General Linear Model (GLM). In addition, the coefficient of determination was used as a criterion to compare the models’ preference. These methods were applied to real data represented by dollar exchange rates. The Matlab software was applied in this work and the results showed that the ESNGLM represents a satisfactory model.

STOCK PRICE INDEX (CSPI)IN INDONESIA STOCK EXCHANGE (IDX) PERIOD 2014-2018

This study aims to determine the effect of the BI rate, the dollar exchange rate, the yuan exchange rate, the Dow Jones index, the Shanghai index and world oil prices on the composite stock price index (CSPI). The data used is the period from January 2014 to December 2018 with the multiple regression analysis method. The results showed that the BI rate, Dollar Exchange, Yuan Exchange, Dow Jones, SSE Composite Index and WTI were able to explain the 91.8% effect on CSPI and the remaining 8.2% explained by other variables not examined. T test results show that partially BI interest rates, the yuan and Shanghai exchange rates do not have a significant effect on CSPI. While the dollar exchange rate, Dow Jones Index and world crude oil prices have a significant influence on the composite stock price index (CSPI) with coefficients respectively - 0.41705, +0.21245 and -7.86373. The independent variable that has the most dominant influence on CSPI is Crude Oil (WTI).

Transmisi Volatilitas antara Nilai Tukar dan Indeks Harga Saham Gabungan di Pasar Finansial Indonesia: Analisa Setelah Krisis Finansial Asia 1997

Volatility of Indonesia Rupiah and Jakarta Composite Index remain one of main issues in Indonesia economy after 1997 Asian crisis. The objectives of this research are (1) determining the volatility of Indonesia Rupiah to US Dollar exchange rates and Jakarta Composite Index (JCI) and (2) analysing the dynamic volatility transmission between exchange rates and JCI. Exchange rate and JCI volatility were measured using GARCH(1,1) approach. Estimated using VAR model, this study found that current volatility of exchange rate (ER) respond significantly to the change of volatility of Jakarta Composite Index (JCI) in the previous 2 months. On the other hand, contribution of JCI volatility to ER is greater than ER volatility to JCI, supporting the portfolio balanced theory.

Dominant Currency Paradigm

We propose a “dominant currency paradigm” with three key features: dominant currency pricing, pricing complementarities, and imported inputs in production. We test this paradigm using a new dataset of bilateral price and volume indices for more than 2,500 country pairs that covers 91 percent of world trade, as well as detailed firm-product-country data for Colombian exports and imports. In strong support of the paradigm we find that (i) noncommodities terms-of-trade are uncorrelated with exchange rates; (ii) the dollar exchange rate quantitatively dominates the bilateral exchange rate in price pass-through and trade elasticity regressions, and this effect is increasing in the share of imports invoiced in dollars; (iii) US import volumes are significantly less sensitive to bilateral exchange rates, compared to other countries’ imports; (iv) a 1 percent US dollar appreciation against all other currencies predicts a 0.6 percent decline within a year in the volume of total trade between countries in the rest of the world, controlling for the global business cycle. We characterize the transmission of, and spillovers from, monetary policy shocks in this environment. (JEL E52, F14, F31, F44)

Macroeconomic Determinants of Gold Prices : A Bounds Testing Approach

Despite the demise of gold as a long-standing anchor in the international monetary system, it keeps on alluring its producers, consumers, investors, and speculators over the globe. India is the largest consumer and importer of gold in the world. The investment demand for gold is ascending in India since it is considered as a safe haven. Notwithstanding, high instability in gold prices brings up an issue on its supporting properties. Thus, an attempt was made to identify the macroeconomic determinants of gold prices in India. The study was set to examine the long run as well as short run relationship between gold prices and some macroeconomic variables like BSE Sensex, wholesale price index (WPI), and index of industrial production (IIP) as a proxy of gross domestic product, interest rates, Indian rupee - U.S. dollar exchange rate, and gold reserves of the country. Using the monthly data from April 1995 – March 2018, the relationship was explored empirically by using the autoregressive distributed lag model and error correction model. The ARDL results suggested that the long run cointegration between the prices of gold and the macroeconomic variables during the period of the study and gold reserves of RBI, BSE Sensex, WPI, exchange rate, and IIP were found to be significantly affecting the gold prices. However, interest rates were found to be statistically insignificant during the period of the study. The error correction term, which was negative and highly significant, confirmed the convergence to the long run equilibrium. The results of this study have important implications for the Indian economy and will be helpful for policy formulation.

Recession Prediction Markets and Macroeconomic Risk in Asset Prices

This paper analyzes recession prediction markets from Intrade and PredictIt where individuals bet on the binary outcome of a recession occurring by a certain date. Using a time series of such historical recession prediction market data to measure macroeconomic risk in a variety of asset classes, we find a 1% increase in ex-ante recession prediction market probability is associated with a -0.29% decline in U.S. equity markets and a -0.77 basis point decrease in the 10-Year U.S. Treasury yield. Recession prediction markets also explain a significant amount of the variation in credit spreads, the U.S. Treasury yield curve, and U.S. dollar foreign exchange rates but cannot explain the value and momentum anomalies in equity markets as well as the U.S. treasury term premium.

Money stock versus monetary base in time–frequency exchange rate determination

This study uses a time–frequency analysis to provide empirical evidence of the changing role of the money supply in the determination of the Japanese yen/U.S. dollar exchange rate. We demonstrate that in the short run, money supply has a stable significant effect on the exchange rate only after the introduction of quantitative easing policies, together with a remarkable difference between the money stock and the monetary base. Under quantitative easing policies, while money stock has a limited role, at best, in short-run exchange rate dynamics, increases in the monetary base cause the currency to depreciate in the short run. The notable role of the monetary base remains exceptionally stable over time only in quantitative easing regimes, while the exchange rate is unstably connected to other fundamentals. Moreover, in the long run, the monetary base outperforms the money stock in explaining the exchange rate, in general. Lastly, the growing role of the monetary base is shown to be robust to several checks.