Dollar Exchange Research Articles

A VAR Framework of Exchange Rates, Interest Rates, and Inflation Through COVID-19 in Turkey: Empirical Evidence From Linear Cointegration and Causality Analysis

In this study, we investigate the impact of exchange rates and interest rates on inflation in Turkey using monthly data from January 2004 to July 2020 obtained from the Turkish Statistical Institute. Our vector autoregressive (VAR) model showed an evidence of stochastic behaviour among the series. The autoregressive distributed lag (ARDL) results showed a short-run and long-run covariate between exchange rates, interest rates and inflation. Specifically, the findings showed a short-run and long-run relationship between inflation, producer price index (PPI), and Turkish interbank offer rates (TIBOR). However, there was no connection between inflation and dollar exchange rates (DSR) and commercial banks’ interest rates (CBIR). The VAR Granger causality results revealed the variables to be exogenous except DSR, which displayed endogenous to other variables. Nevertheless, the results revealed unidirectional causality from the producer price index (PPI) to DSR and unidirectional causation from TIBOR to CBIR. It means an increase in production costs through raw materials importation led to devaluation of the Turkish lira. Similarly, TIBOR rates drive CBIR high, making domestic lending more expensive, which will inhibit loan provisions to the private sectors, which will result in an economic contraction and eventually high inflation. Our unit roots breakpoint results pointed to breaks in the dataset were between 2016-2019, reflecting the effects of the Fetullah Terrorist Organization (FETO) failed coup, the 2018 U.S. embargo, and an assumed fiscal dominance as the major and direct causes of economic instability and inflation. However, Covid-19 may have acted as a contributing factor since then. Thus, we recommend that the monetary authorities articulate policy to avoid the assumed fiscal dominance.

Analysis Of The Realization of Non-Tax State Revenue at The Directorate General of Workforce Placement Development and Expansion of Employment Opportunities, Ministry of Manpower

The Ministry of Manpower, through the Directorate General of Workforce Placement Development and Expansion of Employment Opportunities, has the task and function of managing Non-Tax State Revenues as The Non-Tax State Revenue Management Agency. This research aims to analyze the realization of Non-Tax State Revenue sourced from The Compensation Fund for The Use of Foreign Workforce at the Directorate General of Workforce Placement Development and Expansion of Employment Opportunities for the fiscal year 2019 to 2023. This study used a descriptive qualitative method. The results of the research show that the realization of Non-Tax State Revenue sourced from The Compensation Fund for The Use of Foreign Workforce at the Directorate General of Workforce Placement Development and Expansion of Employment Opportunities for fiscal year 2019 to 2023 will experience fluctuations that cannot be separated from the number of foreign workers working in Indonesia. Management of Non-Tax State Revenue sourced from The Compensation Fund for The Use of Foreign Workforce has not been implemented optimally due to several internal and external factors. Factors that influence the realization of Non-Tax State Revenue sourced from The Compensation Fund for The Use of Foreign Workforce are government regulations and policies, the COVID-19 pandemic, the number of regional regulations regarding regional levies, and the dollar exchange rate against the rupiah.

Pengaruh Faktor-Faktor Ekonomi Makro terhadap Jakarta Islamic Index (JII) Periode 2010-2019

This study aims to determine and analyze the influence of macroeconomic factors such as Gross Domestic Product (GDP), Inflation Rate, SBI Interest Rate, Rupiah / US Dollar exchange rate on the JII (Jakarta Islamic Index) Stock Price Index on the Indonesia Stock Exchange for the period 2010-2019. This study uses an associative quantitative approach which is intended to examine the relationship and influence between macroeconomic factors variables on the JII stock price index variable. Meanwhile, the analysis method used is multiple linear regression. The results of this study indicate that only the rupiah/US dollar exchange rate has a significant negative effect on the JII stock price index. While macroeconomic factors such as Gross Domestic Product, Inflation Rate, SBI Interest Rate have no significant effect on the JII stock price index.

Forecasting Foreign Exchange Rate with Machine Learning Techniques Chinese Yuan to US Dollar Using XGboost and LSTM Model

Predicting exchange rates is important because it affects all major markets and plays a big part in the economy. The goal of this study is to forecast future values of the Chinese Yuan (CNY) to US dollar exchange rate. One of the most crucial aspects of the economy is the rate of exchange of currencies. The currency exchange rate is required in commercial terms, such as profit and investment evaluation. The purpose of CNY rate prediction is to determine the future value of the Chinese Yuan (CNY) relative to the US dollar, which can be taken into account while making decisions and lower the chance of losing money. As a result, we require a technique that can assist in accurately assisting in business selections regarding when to execute the appropriate deals. For this research study three-year dataset is used from 25 April 2020 to 26 May 2023. For this research we used two different machine learning models and comparison between the LSTM and Xgboost models first one is Long Short-Term Memory (LSTM) and second is Extreme Gradient Boosting (XGboost). The empirical results showed that the LSTM model provided better results than XGboost. Therefore, this study suggest that the LSTM model will helpful for the government monetary policymaker, economists and other stakeholders to identify and forecast the future trend of the exchange rate and make their policies accordingly.

An Exploration of the Relative Influence of the Determinants of the Mexican Peso - U.S. Dollar Exchange Rate

This article examines the impact over time of the government’s primary balance, remittances, foreign direct investment expectations, and real interest rates on the Mexican peso to US dollar exchange rate between 2003 and 2023, using monthly and quarterly data. An autoregressive distributed lag model with bounds testing and a Granger non-causality test are employed. The results indicate that, although the significance of all variables changes over time, foreign direct investment expectations and the government’s primary balance influence the exchange rate throughout the entire period. Foreign direct investment expectations and remittances exert the most persistent long- and short-run influence, respectively. The evolving significance across time of these determinants implies the need of a dynamic and adaptable policy framework to currency stability in Mexico.

Analisis Determinan Volume Impor Gandum di Indonesia

Wheat is one of the food commodities consumed by the Indonesian people. The need for wheat in Indonesia from year to year tends to increase but is almost entirely met through imports and makes Indonesia one of the world's largest wheat importers. Dependence on food commodities from the import side has a huge risk for national food security because in addition to the increasingly limited foreign exchange owned, there is also uncertainty in terms of quantity and price. The purpose of this study is to find out the factors that affect wheat imports in Indonesia. The variables in this study are foreign exchange reserves, international wheat prices, domestic rice prices, and the US dollar exchange rate. This study uses secondary data with a quantitative approach using 34 data. Data analysis techniques using descriptive statistical analysis and multiple linear regression analysis. The results of this study show 1) Foreign Exchange Reserves, International Wheat Prices, Domestic Rice Prices, and the US Dollar Exchange Rate simultaneously have a positive and significant effect on the Volume of Wheat Imports in Indonesia, 2) Foreign Exchange Reserves partially have a positive and significant effect on the Volume of Wheat Imports in Indonesia, 3) International Wheat Prices partially have a negative and significant effect on the Volume of Wheat Imports in Indonesia, 4) Domestic Rice Prices and the US Dollar Exchange Rate have no significant effect on the Volume of Wheat Imports in Indonesia.

Analysis of the factors affecting the price of gold based on multiple linear regression

Gold has a variety of properties, in addition to the commodity properties, gold also has a monetary function. There are many investment values, so the price of gold is also much attention by investors. Many factors may affect the price of gold. In this paper, relevant data from December 2011 through December 2018 have been selected from a number of sources in order to provide as comprehensive a picture as possible of the various factors that may affect the price of gold. An Ordinary Least Squares regression model was used for the analysis. It was found that U.S. stock market conditions, gold mining conditions, U.S. dollar exchange rate, and crude oil-related indices have different correlation results from various perspectives of the index analysis. Besides, there is a significant positive relationship between the price of other precious metals and Gold Price. Meanwhile, The U.S. Economic Related Index has a significant negative impact relationship with Gold Price.

Investigating Factors Affecting Renewable and Nonrenewable Electricity Generation in Iran

This study identifies key elements that facilitate the transition of power generation from non-renewable to renewable sources. Annual data from 1977 to 2018 and an autoregressive distributed lag model are used in the study. The gross domestic product, industrialization, urbanization, fuel, and power prices, as well as the dollar exchange rate, are employed as independent variables. The study takes the Iran-Iraq War and nuclear sanctions into account. The findings show that, in the short run, all variables—aside from the exchange rate—have an impact on the generation of electricity from renewable sources. Only natural gas prices, industrialization, and gross domestic product are effective in the short run, for power generation from non-renewable energies. In the long run, all variables, with the exception of electricity price, are effective in producing power from renewable sources, and all variables, with the exception of fuel prices and industrialization, are effective in producing electricity from non-renewable sources. The findings also indicate that nuclear sanctions have a detrimental impact on the production of electricity from renewable sources and a beneficial impact on the production of electricity from non-renewable sources.

분포동학을 통한 중국 위안화 환율의 안정성 및 결정요인 분석

This study is focused on the stability and determinants of the Chinese Yuan (CNY) against the U.S. dollar exchange rate movement. To this end, a distribution dynamics model is introduced. We establish the non-linearity of the Generalized normal (GEN) distribution and estimate the impact of macroeconomic variables, such as interest rates, on exchange rate dynamic conditional probability density functions (PDFs). As the distribution allows for fluctuations in the exchange rate, the conditional probability density function (PDF) reveals a time-varying multimodality (i.e., unimodality and bimodality), based on the change in the shape parameters of the generalized normal (GEN) distribution. A unimodal distribution corresponds to a stable equilibrium for exchange rate movement. In contrast, a bimodal distribution contains an unstable equilibrium. Moreover, the bimodality may offer insights into the exchange rate fluctuations resulting from foreign exchange crises or global financial crises. In contrast with previous research on the linearity between macroeconomic variables and exchange rate movements, this study presents novel evidence on the dynamic non-linearity distribution of CNY exchange rate movements and their determinants. Our empirical analysis results will serve as a reference point for macroeconomic policymakers.

US Dollar Exchange Rate Elasticity of Gold Returns at Different Federal Fund Rate Zones

We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are state-dependent and asymmetric under different market conditions. State dependency hinges on different short-term interest rate zones. To prove this point, we determine three distinct levels or zones of the effective federal funds rate using SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function of log changes in the nominal broad U.S. dollar exchange rate index for each of the obtained zones. Their relationship is consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also implies that gold is a safe-haven asset against the U.S. dollar exchange rate risk against a broad range of currencies. The substitution is weaker in the low-interest rate zone, more robust in the intermediate zone, and very pronounced in the high zone. We also perform a Markov switching test on the double-log function of gold prices and the exchange rate. The tests show a pronounced inverse relationship, i.e., substitution between assets, at normal market conditions. The relationship becomes significantly positive during episodes of financial distress, indicating complementarity between gold and U.S. dollar assets.

Fed Tapering: How Has Feds Announcement of Tapering Affected Consumers and Foreign Economy?

This articles purpose is to investigate the Federal Reserves tapering decision and how it affects consumers behavior and the foreign economy. To generate a prediction of how tapering changes consumers behavior, we recorded the dates that FOMC has made announcements and used them to create a regression analysis with the US treasury yield. To make sure our statistical inference is reliable, we analyzed different types of treasury bonds, which include 1 year, 3 years, 5 years, 10 years, and 30 years. We also utilized the real-interest rate and Chinese Yuan to US dollar exchange rate to analyze the correlation between interest rate and exchange. The purpose is to give a rough understanding of how tapering could affect foreign economy. When we are concluding the analyzed result, a counterintuitive finding appears. When the Fed announces a tapering or tightening decision, we should expect an increase in the interest rate. However, the interest rate decreases whenever the Fed decides to taper. On the other hand, as the interest rate falls, we should expect a depreciation of the dollar and a decrease in the price of Americas goods and services. It shouldve benefited foreign economies, but instead, it worsens them and causes their currencies to further depreciate. Altogether, the results suggested that the Feds tapering decision will change consumers behavior and unavoidably decline other countries' economies.

Environmentally clean and dirty energy equities during extraordinary global conditions

I examine which extraordinary international events coincide with pronounced changes in the equity markets for some of the world’s largest publicly traded suppliers on opposite sides of the global energy mix — oil and environmentally clean energy companies. First, I adapt an intuitively appealing non-parametric filter to empirically timestamp unexpected and prominent increases and decreases in a wide range of global indicators relevant to the international energy market. Then, I use such extraordinary conditions to characterise the performance of oil and environmentally clean energy equities, and their relationships. My findings suggest that jumps in the global stock market, international crude oil market shocks, and the US dollar real effective exchange rate, are the indicators that define the financial landscape during which considerable gains, losses, and instability across both types of energy markets materialise. In contrast, major elevated uncertainties related to geo-political risk and climate policy reflect relative stability in the equities of both oil and environmentally clean energy companies. Although these results imply that both energy assets are potentially lucrative hedging strategies for investors to exploit during heightened geo-political and climate policy uncertainties, clean energy equities offer market participants the option to combine profit maximising and sustainability objectives while minimising global energy security risks.

Analisis Regresi Data Panel Dengan Model Efek Umum, Model Efek Tetap Dan Model Efek Acak (Studi Kasus: Inflasi Dan Indeks Pembangunan Manusia)

Panel data regression analysis is a method for modeling the influence of independent variables on dependent variables, on a combination of cross-section and time-series data. This research aims to estimate a panel data regression model with a generalized effects model using the least squares method, estimate a fixed effects model with the Least Square Dummy Variable and estimate a random effects model with Generalized Least Square on inflation and human development index data. The results obtained show that the factors that have a significant influence at the 5% level on the inflation rate in 2014-2019 are the dollar exchange rate with a coefficient of determination of the general effects model of 61.06%, then the HDI level in South Sulawesi in 2011-2017 is significantly influenced by factors such as average length of schooling and life expectancy with a coefficient of determination of the fixed effects model of 89.73%, and the HDI level in South Sulawesi in 2016-2019 is significantly influenced by the factors of life expectancy, per capita expenditure and poverty with a coefficient of determination of the random effects model amounting to 63.07%.

Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention

Most countries in the world use foreign exchange intervention, but measuring the success of the policy is difficult. By using a narrative approach, I identify interventions when the central bank manages to influence the exchange rate based on pure luck. I separate them from interventions when the central bank actually impacted the exchange rate. Because intervention records are daily aggregates, an intervention might appear to have changed the direction of the exchange rate, when it is more likely to have been caused by market news. This analysis allows to have a better understanding of how successful central bank operations really are. I use new daily data on Bank of England interventions in the 1980 s and 1990 s. Some studies find that interventions work in up to 80 % of cases. Yet, by accounting for intraday market moving news, I find in adverse conditions, the Bank of England managed to influence the exchange rate only in 8 % of cases. I use natural language processing to confirm the validity of the narrative approach. Using lasso and a VAR analysis, I investigate what makes the Bank of England intervene. I find that only movement on the Deutschmark and not US dollar exchange rate made the Bank intervene. Also, I find that interest rate hikes were mostly a tool for currency management and accompanied by large reserve sales.

Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock

Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to estimate a “Fed non-yield shock”, which is orthogonal to yield changes and is identified from excess volatility in the S and P 500 and various dollar exchange rates. A positive non-yield shock raises stock prices in the U.S. and around the globe, and depreciates the dollar against all major currencies. The non-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong effects on the VIX and other risk-related measures point towards a dominant risk premium channel. We show that the non-yield shock can be related to Fed communications and that its existence has implications for the identification of structural monetary policy shocks.

Predicting Analysts’ S and P 500 Earnings Forecast Errors and Stock Market Returns using Macroeconomic Data and Nowcasts

This study scrutinizes the quality of “bottom-up” forecasts of near-term S and P 500 Composite earnings, derived by aggregating analysts’ forecasts for individual firm-level earnings. We examine whether forecasts are broadly consistent with current macroeconomic conditions reflected in economists’ near-term outlook and other available data. To the contrary, we find that a simple macroeconomic model of aggregate S and P 500 earnings, coupled with GDP forecasts from the Blue Chip Survey and recent dollar exchange rate movements, can predict large and statistically significant errors in equity analysts’ bottom-up forecasts for S and P 500 earnings in the current quarter and the quarter ahead. This finding is robust to the requirement that our econometric model is calibrated using only data available at the time of forecast. Moreover, the discrepancy between the macro-model-based earnings forecasts and analysts’ forecasts has predictive power for 3-month-ahead stock returns

Is the movement of the INR/USD Exchange Rate and the Indian Stock Market Linked? Fresh Evidence

Dollar exchange rate and Indian stock market are leading economic indicators. The present study investigates the relationship between the two economic indicators during the period April 2005 to December 2019. Analysis of Johansen cointegration test reveals that positive long-run cointegrating relationship exists between the variables. The vector error correction mechanism shows that INR/USD exchange rate influences the Indian stock prices negatively in the short-run. The study also observes the presence of bidirectional causality between the variables in the short-run. The variance decomposition analysis further reveals that the Indian stock market is driven to considerable extent by innovations in INR/USD exchange rate. The close relationship that the study found between INR/USD exchange rate and Indian stock market will be an important factor in the decision making of both individual and institutional investors. Furthermore, the study recommends the Indian government to adopt a cautious approach in implementing the foreign currency exchange rate policies

Information system of support of economic decisions on the development of the Internet provider network

The paper suggests and confirms the hypothesis about the dependence of the price of internet service provider tariffs on the main economic and demographic determinants, and also defines the list of these determinants. An economic-mathematical model for optimizing the distribution of the budget for the expansion of the Internet provider's network between the execution of connection requests for separate service lines and tariffs has been developed. One of the key elements of the activity of Internet providers is the solution of the "last mile" problem, which consists in providing a communication service between the end user and the provider's Internet access node. Taking into account the orientation of such enterprises to the maximization of their own profit, this problem should be considered in the technical and economic dimension. Solving this problem requires a multidimensional approach that takes into account technology, economics and geography, as well as the significant investment required to expand network coverage and meet the demands of a distributed customer base. Internet providers should take into account the negative impact of possible network congestion, non-linear pricing, as well as consumer demand when optimizing pricing strategies and network development strategies. The developed model was applied to historical data on the activity of the Internet provider. The proposed approaches are combined into a single information system to support economic decision-making for the development of network of Internet providers, which contributes to the implementation of the developed model in practice and allows to increase the efficiency of the production activities of such enterprises. The paper put forward and confirmed the hypothesis about the dependence of prices for fixed Internet connection services on the dollar exchange rate, the cost of connecting to the trunk node, and the population. Approaches to economic decision-making in the management of the Internet provider's activities were further developed, namely, an economic-mathematical model was developed and tested to optimize the allocation of the budget for the expansion of the Internet provider's network between the satisfaction of applications of potential subscribers for connection in the section of individual tariffs of the provider's current tariff grid. As a result of the test of the developed economic-mathematical optimization model on the historical data of the enterprise, the possibility of improving the expected profit relative to the basic plan by 18% was established.

The Impact of U.S. Economic Policy Uncertainty on the RMB: U.S. Dollar Exchange Rate - Case of China-US Trade War

On 6 July 2018, the United States began to impose 25% tariffs on $34 billion of Chinese goods. The trade war between China and the United States was officially launched. It lasted for more than a year, during which the two sides experienced six mutual tariff increases, which significantly impacted a few fields in China and the United States. This paper selects the RMB exchange rate to the US dollar as the research object; and takes the return of the RMB exchange rate as the data basis for modelling and analysis, intercepts its return data in the five years before and after the US-China trade war, taking the time when the United States imposed six additional tariffs on China as a dummy variable, and analyses the data by using the ARMA-GARCH model to study the impact of the RMB exchange rate by this trade war and to make predictions development of the RMB exchange rate, which will then make suggestions for China's economic.

Sanctions as a non-monetary factor of inflation in the conduct of monetary policy

Aim. To determine the degree of influence of the sanctions policy on the inflation dynamics of Russia within the framework of the monetary policy.Objectives. To review the current trends of sanctions policy as a non-monetary factor of inflation; to assess the degree of impact of sanctions on the inflation rate in Russia, taking into account a number of other factors on the basis of macroeconometric modeling in the short term; to substantiate the recommendations for taking into account non-monetary factors of inflation for the implemented monetary policy.Methods. To analyze the current state of sanctions policy as a non-monetary factor of inflation, the study applies comparative analysis and econometric modeling based on the vector autoregression model.Results. On the basis of econometric modeling of the impact of sanctions on inflation dynamics, based on the data of Rosstat and Investing.com on the inflation rate, ruble/US dollar exchange rate, RTS index, oil prices from 2000 to 2023, we obtain the following results. Sanctions as a non-monetary factor has a significant impact on inflation dynamics. In turn, oil prices do not affect inflation dynamics in the short run.Conclusions. Sanctions should be taken into account in the formation and forecasting of inflation. Oil prices do not have a significant impact on inflation, but it is important to take into account the volatility of the oil market when forecasting inflation dynamics. The struggle of the Central Bank of the Russian Federation (RF) with non-monetary inflation by monetary methods does not always lead only to a positive result. Therefore, the control of non-monetary factors of inflation should be carried out in the comprehensive work of macroeconomic policy, not only monetary policy.