Exchange Market Research Articles

A Study on Export Receipts and Import Payments of Goods and Services the Analysis for Bank of Bangladesh

Bangladesh's Central Bank regulates international trade and monetary policy. To maintain a balanced trade, the bank promotes exporters and controls imports. The bank monitors the foreign exchange market and implements policies to help the country's economic growth and development. Bangladesh's export payments and receipts by key commodities, geographic region, and service delivery approach is studied. The banking sector has grown exponentially, resulting in new banks, modernised banks, and new services to meet people's requirements. Over 50 local and foreign banks compete for service delivery, interest rates and customer base. Export receipts of services and import payments of services the number of observations in the two variables, and our hypothesised mean difference to the degrees of freedom. Thus, the null hypothesis is accepted and the two-tail p-value increases. The significance of the difference between groups is unaffected by a negative t-value. Imports Major Commodities research F-value is good, but P-value is (0.00), which is highly significant. The null hypothesis is rejected. The study focusing on export receipt and import payments is essential as it deals with the financial aspect of international trade. Export receipts essentially refer to the payments received by a nation for the goods and services it exports to other countries while import payments refer to the goods and services brought in from other countries. This study is import payments as it provides insights into the economic conditions of nations concerning their global trade relations. It also helps nation assess their trade strengths and weaknesses to complete globally

Volatility dynamics of agricultural futures markets under uncertainties

The objective of this study is to examine the effect of various uncertainty measures on the realized volatility of agricultural futures markets. In doing so, we use a range of uncertainty indicators in our analysis to investigate whether news-based uncertainty measures (e.g., geopolitical risk and economic policy uncertainty) have better predictive contents than the market-based uncertainty measures (e.g., crude oil volatility index, the US equity market VIX and exchange rate VIX). This comparison is important given that employing both measures has some specific benefits. Methodologically, we consider the application of the LASSO (least absolute shrinkage and selection operator) method as well as the heterogenous autoregressive (HAR) process. The in-sample estimates indicate that among the various news-based and market-based risk measures the latter provide better forecasts for the realized volatility of agricultural futures markets. The out-of-sample forecasts also confirm the same with the LASSO method outperforming the HAR process.

Dual-market quantitative trading: The dynamics of liquidity and turnover in financial markets

Financial market liquidity is a popular research topic. Investor-driven research uses the turnover rate to measure liquidity and generally finds that the higher the stock turnover rate, the lower the returns. However, the traditional financial liquidity theory has been impacted by new machine-driven quantitative trading models. To explore high machine-driven liquidity and the impact of high turnover rates on returns, this study establishes a dual-market quantitative trading system, introduces a variational modal decomposition (VMD)-bidirectional gated recurrent unit (BiGRU) model for data prediction, and uses the back-end Hong Kong foreign exchange market to develop a quantitative trading strategy using the same rotating funds in the U.S. and Chinese stock markets. The experimental results show that given a principal amount of 210,000.00 CNY, the final predicted net return is 226,538.30 CNY, a net return of 107.86%, which is 40.6% higher than the net return of a single Chinese market. We conclude that, under machine-driven trading, increasing liquidity and turnover increase returns. This study provides a new perspective on liquidity theory that is useful for future financial market research and quantitative trading practices.

Interactions of Spot Foreign Exchange Markets among Taiwan, Hong Kong and Japan: Japanese Forward Premium/Discount as an Information Variable

Interactions of Spot Foreign Exchange Markets among Taiwan, Hong Kong and Japan: Japanese Forward Premium/Discount as an Information Variable

EXPLORING THE LINKAGES BETWEEN GREEN BONDS AND INTERNATIONAL FINANCIAL MARKETS: AN INTERNATIONAL PORTFOLIO PERSPECTIVE

The aim of study is to examine the dynamic linkages between green bond & international financial markets. In particular, the study investigates the inter-connections among green bonds, world’s developed and emerging equity markets, commodities market (gold & oil) and the foreign exchange market. Sample period ranges from July 1, 2014, to June 30, 2023 encircling numerous important events including COVID-19 pandemics. For empirical investigation, study used combination of several econometric techniques including Johansen Cointegration model and Granger Causality test and analysis for examining short & for long-term associations among markets. Results of study show that these markets are linked in varying degrees in long-run as evident from cointegration results that show two cointegrating vectors. This infers that there are limited diversification benefits specially in long-run in selected markets. In short-run, results show diversification potential as showed by results from Granger Causality tests. Results have important implications for investors & fund managers in making portfolio decisions, & policy makers in devising various strategies for risk mitigation during turbulent periods.

Interconnectedness in the FOREX market during the high inflation regime: A network analysis

Our study employs network analysis to examine the interconnectedness in the Foreign Exchange market, focusing on 18 key currencies from both advanced and emerging markets from 2017 to 2023. This analysis includes a comparative look at the impact of two major recent crises: the COVID–19 pandemic and the Russia-Ukraine war. The latter is notably marked by increased inflation and uncertainty in economic policies. During the COVID–19 pandemic, we observed a significant level of interconnectedness among the EURO and 17 other currencies, indicating a dense network. In contrast, the period of the Russia-Ukraine war revealed a tendency for countries less engaged in international trade to become more isolated, as seen by their greater distance from the network's centroid. Additionally, we developed the Systemic Contagion Index, which shows a heightened susceptibility to contagion among developed economies during both the COVID–19 and Russia-Ukraine war crises, underscoring the vulnerability of developed countries' currency networks in times of turmoil. This study provides valuable insights for investors and global businesses, offering guidance on assessing currency vulnerability and enhancing their strategies for hedging and managing risks amidst fluctuating market conditions, especially during the high inflation regime.

Analysis of Indian Foreign Exchange Markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) Approach

The objectives of this paper are to analyse the presence of multifractality in daily exchange rates of the US dollar (USD), British Pound (GBP), Euro (EUR), and Japanese Yen (JPY) relative to the Indian Rupee (INR) for a specific period (1999–2018) and to investigate the source of the observed multifractality in these exchange rates. The research examines the multifractal spectra of logarithmic returns (daily price changes) for the four currencies. To investigate the origins of this multifractality, we conduct two transformations on the return series: (a) random shuffling of the original time series of logarithmic returns which disrupts any long-range correlations within the data. And (b) application of phase randomisation on the unaltered series which aims to preserve frequency information while altering timing-related characteristics of the data. We then look at the impact of these transformations on the multifractality. Our findings indicate that all four exchange rates exhibit multifractal characteristics in their return series. The source of multifractality differs between currencies: The USD is primarily driven by the “fat tail” of the distribution (extreme fluctuations). For the GBP and EUR, a combination of long-range correlations and fat tails contributed to multifractality. The JPY is mainly influenced by the broad tail of the distribution (more frequent but smaller fluctuations). These results have implications for policymakers and market participants. Based on these findings, policymakers should consider the specific characteristics of each currency when designing risk management strategies or regulatory interventions.

COMPETITION AS A KEY PROPERTY OF THE AGRICULTURAL PRODUCTS MARKET

Competition in the agricultural sector results from the unity of conflicting factors: the maximum freedom of activity of market forces and the significant influence of the state on the processes taking place in the industry, which ensures the overall efficiency of social production. Regulation of competition in the agricultural market in developed countries is a developed and expensive system. Currently, it is impossible to provide the same robust support to the agricultural sector in the country, but the principles and methods used for this can be taken into account. Different types of competition are developing in the agri-food market. Intra-industry competition is possible only if production and sales costs are reduced and weak, technically backward enterprises are pushed out of the market. Interindustry competition leads to the redistribution of capital and other resources between industries, taking into account the rate of return. Participation in agriculture in this competition is only possible with state support due to the low speed of capital turnover and high capital intensity in this field. Intra-industry competition initiates technical progress, and inter-industry competition contributes to the structural development of the agricultural industry. To a certain extent, agricultural product markets are characterized by perfect competition, and food markets are characterized by monopolistic competition. It is emphasized that competition covers all spheres of commodity production, distribution, market exchange, and consumption. It manifests differently in each branch of the economy, which is determined by the specifics of their activity. Conducted studies of competition in the market of agricultural raw materials and food indicate the need to strengthen the competitiveness of domestic agricultural products and ensure consumer, quality, and price characteristics of agricultural products, raw materials, and food that are comparable to the world level, regardless of orientation to domestic or foreign markets. It is noted that competition in agriculture is characterized by many competitors on the market and obstacles in the production and sale of agricultural products.

Cryptocurrency, Gold, and Stock Exchange Market Performance Correlation: Empirical Evidence

This paper examines the correlation between three prospective investing options: the Bitcoin cryptocurrency price, gold, and the Dow Jones stock index. The main research question is whether there is a causal effect of gold and the DWJ on Bitcoin and how this effect varies on time. The study begins with a background analysis that explains the definitions and operation of cryptocurrencies, followed by a brief overview of gold and its derivatives. In addition, a historical review of stock markets is provided, with a focus on the Dow Jones index. Then, a literature review follows. Daily data from three separate periods are used, each spanning four years. The first period, running from October 2014 to September 2018, provides an overview of the introduction of official cryptocurrency price data. The second period, running from Oct 2018 to Sept 2022, captures more recent trends preceding COVID-19. The third period, from January 2020 to December 2023, is the whole COVID-19 period with the initiation, embedded, and terminal phases. Classical inductive statistical methods (descriptive, correlations, multiple linear regression) as well as time series analysis methods (autocorrelation, cross-correlation, Granger causality tests, and ARIMA modeling) are used to analyze the data. Rigorous testing for autocorrelation, multicollinearity, and homoskedasticity is performed on the estimated models. The results show a correlation of Bitcoin with gold and the DWJ. This correlation varies over time, as in the first period the correlation mainly concerns the DWJ and in the second it mainly concerns gold. By using ARIMA models, it was possible to make a forecast in a time horizon of a few days. In addition, the structure of the forecasting mechanism of gold and DWJ on Bitcoin seems to have changed during the COVID-19 crisis. The findings suggest that future research should encompass a broader dataset, facilitating comprehensive comparisons and enhancing the reliability of the conclusions drawn.

The Role of Secure Property Rights in Driving Economic Growth: A Review of Recent Evidence

This paper aims to briefly explain the factors contributing to economic growth, particularly emerging and developing economies, emphasizing the impacts of secure property rights. Tangible and intangible assets such as land and minerals, patents and copyrights offer the investors legal recognition that enhances investment, inventive activities and efficient market exchange. The review demonstrates how property rights reforms have positively impacted agricultural yields, credit facilities, and FDI in sub-Saharan Africa, Southeast Asia and Latin American countries. The paper also focuses on the impact of intellectual property rights on technological advancement, especially in knowledge-based societies. While the previous shows that there are gains in reforms in property rights, it has to be stated that there are still hurdles in the implementation of property rights reforms for the benefit of the more significant population due to the following: ? Finally, the paper reiterates the importance of efficient and precise laws and policies that will enhance the efficiency of the property rights to enhance the economic returns.

Russian-Chinese financial and economic cooperation: Comparative identification of the impulse response function

Subject. This article discusses the integration of Russia and China and the convergence of the economic systems of the two countries. Objectives. The article aims to identify promising areas of cooperation between Russia and China to create a common financial market and common exchange space, and analyze the impulse responses of the Russian and Chinese economies to various external and internal shocks. Methods. For the study, I used a regression analysis. Results. The article assesses the impulse responses of the Russian and Chinese economies to external shocks and identifies a synergistic effect that makes it possible to increase the validity and effectiveness of economic policies. The article also identifies the most promising areas for the development of relations between the two countries. Conclusions. At the present stage, economic and financial cooperation between Russia and China gets strengthening. In general, the results of empirical analysis correspond to theoretical expectations.

The Impact of Relationship Marketing Dimensions on Financial Indicators of Stock Exchange Market Companies

Successful businesses use a variety of tactics to accomplish their objectives, one of which is relationship management with investors and shareholders. Their best application in today’s business world is a long-term competitive advantage. One of the ways to create and retain this relationship is to use relationship marketing (RM). Various dimensions shape RM, which can be different in industries and markets. This paper aims to identify the effective RM dimensions in the capital market and examine the impact of these dimensions on the financial indicators of the capital market, which are important from both the perspectives of companies and investors, including stock liquidity, stock return, and capital cost. To identify the key dimensions, ranking based on their importance has been done using the analytic hierarchy process (AHP) method. A multivariable linear regression model has been employed to test the research hypotheses. Stock companies have been selected based on the screening method from the companies admitted to the Tehran Stock Exchange from 2019 to 2022. Based on the findings, it can be concluded that the coordinated management of various aspects of RM has the potential to enhance liquidity and stock returns while simultaneously reducing the cost of capital. Given the significance of these indicators, particularly in developing economies like the Iranian capital market, companies can leverage RM strategies in their interactions with shareholders to improve market conditions.

Impact of COVID-19 Crisis on Volatility Spillovers across Global Financial Markets: Evidence from Asymmetric GARCH Models

This study investigates the market volatility and asymmetric behavior in the commodity market, foreign exchange market, cryptocurrency, and stock markets by employing asymmetric GARCH models on the daily time series returns. The data covers the period from March 8, 2017, to March 17, 2023, and is divided in to three sub-periods: the entire sample period (March 8, 2017, to March 17, 2023), the pre-COVID-19 period (March 8, 2017, to March 10, 2020), and the during the COVID-19 period (March 11, 2020, to March 17, 2023). The empirical results show a high level of volatility persistence in all the financial markets during the COVID-19 pandemic. Additionally, the results indicate significant positive asymmetric behavior in the crude oil and stock markets during the pandemic. The findings further document that gold exhibits a strong resilience during the pandemic period, indicating its hedging ability during crisis periods. Moreover, the results suggest that the EGARCH model is the most appropriate model to capture the volatilities of the financial markets both before and during the pandemic. The findings of this study provide useful insights for investors and policymakers, enabling them to adopt effective strategies for investing in portfolios during crisis periods in the future.

Performance of power generation: A dynamic productivity and efficiency analysis

This study evaluates the performance dynamics of Oman's principal part of electricity generation. Emphasis is placed on capturing the influence of the COVID-19 pandemic on the industry's performance indicators. We utilised the Malmquist Index method to analyse the changes in overall performance indicators over time. This approach allows us to distinguish between efficiency and technology changes. In addition, we employed the analysis of variance approach to test hypotheses related to COVID-19. Data is collected from twelve electricity producers across Oman's power sector. These consist of companies listed on the Stock Exchange Market in Oman, accounting for about 60 % of the total electricity production in the Sultanate. The predominant findings indicate that COVID-19 detrimentally impacted the sector's aggregate performance in 2020 but had a swift recovery in 2021. The analysis of the sample firm's productivity indices verifies that the decline in productivity in 2020 due to the Pandemic is attributable to a decrease in average efficiency indices and a negative shift in the projected frontier. These are probable consequences of the recessionary effects caused by the Pandemic. Despite a considerable decrease in average efficiency scores, a positive change in the frontier has facilitated a rapid recovery in 2021. This recovery can be attributed to the implementation of advanced technical upgrades in particular enterprises, which began as early as 2018/2019, well before the onset of the Pandemic.

Effects of Selected Macroeconomic Variables on Market Capitalization of Nairobi, Kenya

This study examined the effects of selected macroeconomic variables on the market capitalization of the Nairobi Securities Exchange in Kenya during the period 2010- 2022, based on the Arbitrage Pricing Theory (APT) using quarterly data. The autoregressive distributed lag model technique was applied to test how market capitalization was affected by the macroeconomic variables. Gross domestic product, money supply, and inflation were stationary at the level while interest rate, market capitalization, and exchange rate became stationary at first difference. From the empirical results, no co-integration between market capitalization and exchange rate, money supply, interest rates, Gross domestic product, and inflation was found by use of bounds test. Money supply and inflation had a weak influence on market capitalization; interest rate, Gross Domestic Product, and first lag of the exchange rate were positive and affected market capitalization, while the exchange rate at the current level affected market capitalization negatively. It was concluded that macroeconomic variables affect market capitalization. The study recommends that the government need to put up relevant policies that increase gross domestic product. Policymakers need to consider macroeconomic variables during policy formulation on market capitalization.

Minimizing the reliability trade-off in wildfires risk mitigation

One of the major concerns of electric power utilities in recent years is mitigating wildfire risks. While different mitigations have been proposed and some are implemented, customer experience is less focused in some methods, and not even considered in some extreme methods. This paper focuses on minimizing such tradeoff: reliability vs. wildfire risk reduction. This paper first proposes a methodology to quantify the wildfire risk raised by electric distribution systems, utilizing the vegetation factor at proper locations as well as the probability of fault. An optimization framework is then developed in this work that considers system reliability improvement in decision-making while reducing the risk of wildfires. The means to achieve such optimization are reclosers and fuses: optimally locate them to minimize the wildfire risk while the negative impact on reliability is minimized. Both fuse-blowing and saving schemes are investigated in this work. Moreover, the temporary and permanent types of faults are taken into account by formulating their impact on the operation of reclosers and fuses in both fuse-blowing and saving schemes. The optimization framework utilizes the exchange market algorithm (EMA) to find optimal results. The effectiveness of the proposed approach is verified by utilizing a modified IEEE 123 node system.

Public holidays effects on volatility in Shanghai stock exchange market

Public holidays effects on volatility in Shanghai stock exchange market

UKRAINE’S MONETARY POLICY UNDER MARTIAL LAW

The relevance of the research is due to the change in the monetary policy regime of the National Bank of Ukraine (NBU), which consists in the transition from inflation targeting with a floating exchange rate to a fixed exchange rate as the nominal anchor of monetary policy under martial law. Such a plan to change the monetary policy regime was carefully calculated and outlined in the NBU's Monetary Policy Guidelines for the Duration of Martial Law. The timeliness and effectiveness of the NBU's monetary policy decisions enabled it to mitigate the impact of the military shock on the macro-financial stability of the national economy. The purpose of the article is to consider the theoretical and practical aspects of the NBU's monetary policy under martial law. Methodology. The study uses a systematic method of cognition to determine the sequence of application of monetary policy instruments to smooth out monetary shocks of the wartime period; an abstract-logical method to understand the future monetary policy strategy based on the abandonment of the fixed exchange rate regime and a gradual return to inflation targeting; and a statistical method to analyse the dynamics of monetary indicators of the national economy. Results. The paper presents the main principles of the NBU's monetary policy under martial law. The first shock from the war led to changes in the conduct of monetary policy and a shift to unconventional instruments of its regulation. The gradual adaptation of the economy to the new conditions determined the NBU's further steps to ease monetary policy and move to greater exchange rate flexibility. Practical implications. The practical significance of the research results is to assess the conditions for the transition from the key policy rate-based inflation targeting regime as the main monetary policy instrument to the use of foreign exchange interventions as the main operation in the foreign exchange market under martial law. Value / Originality. The originality of the article is due to the need to identify the prerequisites for the transition to a new monetary policy strategy in a wartime economy. Conclusions. The NBU's timely response to the negative phenomena associated with deteriorating inflation expectations, multiple exchange rates and pressure on international reserves helped prevent the development of a currency and financial crisis in Ukraine. Despite the active hostilities, the NBU is trying to find options that will allow it to conduct an effective monetary policy in the face of a full-scale invasion and unprecedented internal and external shocks. Internationally, Ukraine has exceeded expectations and the NBU has shown a high degree of responsibility, professionalism and creativity in the conduct of monetary policy. Increased confidence in the central bank is a valuable resource in times of martial law.

Determinants of India's cotton export performance: An empirical analysis

Cotton export performance plays a critical role in bridging the gaps in India's soaring trade deficits and helps in maximizing the overall gains from international trade. We examine the impact of macroeconomic determinants on India's cotton export performance using data from 1990 to 2020. To assess the long-run and short-run impacts on cotton export performance, an autoregressive distributed lag (ARDL) model has been deployed. The findings reveal that yield and export price have had statistically positive significant impact on India's cotton export performance over the long-run and short-run. However, the resulting estimates of market size and exchange rate do have a mixed effect on cotton export performance over the period. Moreover, our results offer some important policy implications for the stakeholders including the farmers, exporters, and government to enhance Agri-product competitiveness.

Investigating the price volatility spillover effects in the poultry industry inputs market and the egg market in Iran: using the multivariate DCC-GARCH model

BackgroundThis paper investigates the effects of price volatility spillover in the poultry industry’s input markets, including soybean meal, day-old chicks and corn, and the foreign exchange market as an independent market, on the wholesale egg market in Iran. The experimental investigation is based on dynamic conditional correlation (GARCH-DCC). It is one of the most powerful and accepted methods for studying market volatility, whose representation is based on conditional variance. On the other hand, eggs are one of the main food items in the food basket of Iranian households, playing an important role in ensuring part of the food security of the country. However, the price volatilities of its inputs, which make up more than 70% of egg production costs, cause the instability of its price and the confusion of the producers of this sector. This is although in the relevant literature, there is little research on the issue of volatility spillover effects on agricultural product markets, especially in the country.ResultsThe findings show that any shock in the input market leads to volatility and instability in the market; on the other hand, these volatilities maintain their stability. In addition, there is a spillover of exchange market volatility into corn and soybean meal input markets.ConclusionsIn that context, this article emphasizes the knowledge of market relationships and their consequences, thereby suggesting appropriate policies to control and support the domestic poultry industry.