Exchange Rate Changes Research Articles

Study on the Impact of RMB Exchange Rate Changes on China-Japan-Korea Commodity Trade

With the development of economic globalization, the connection between countries has been continuously strengthened. The Chinese government is currently implementing a series of policies to adjust the import and export structure, cultivate the international competitiveness of import and export enterprises, and promote the steady growth of foreign trade.
 This paper investigates the relationship between RMB exchange rate fluctuation and commodity trade between China, Japan and South Korea through theoretical and empirical analysis. Firstly, the paper sorts out the mechanism of exchange rate changes affecting trade, and then discusses the trade process and development prospects of China and Japan and South Korea. The empirical analysis is based on the PLSR partial least squares model to investigate the relationship between exchange rate changes and China-Japan-Korea merchandise trade. The empirical results show that GDP has a low impact on the trade between Japan and Korea and China, and in contrast, for every 1% increase in the real exchange rate, the import and export volume decreases by 0.4% and 0.14%, respectively, with a positive contribution relationship. That is, the devaluation of the RMB will boost the import and export commodity trade between China, Japan and Korea. Finally, for the impact of RMB volatility on trade, the author gives appropriate advice to local governments.

Asymmetric effect of real exchange rate changes on poverty: The role of remittances and the informal sector

The objective of this study is to analyze the asymmetrical effects between the real exchange rate and poverty in some Maghreb countries through the remittances channel and the informal sector channel. We aim at answering the following question: to what extent does the variation of the real exchange rate contribute to explain the evolution of poverty through the channels of remittances and the informal sector? To do so, we applied the NARDL technique on data for three countries (Algeria, Tunisia, and the Maghreb) over the period from 1980 to 2018. The results show that real exchange rate depreciations have a larger positive effect on poverty through remittances. The results are expected to be of considerable importance for developing countries in designing exchange rate and inflation policies that affect the poverty levels of their populations through the remittance mechanism and the size of the informal sector.

The Link between Bitcoin Price Changes and the Exchange Rates in European Countries with Non-Euro Currencies

This paper contributes to the literature dedicated to the interlinkages between cryptocurrencies and currencies by investigating whether Bitcoin price movements affect the exchange rates of a sample of nine European countries with non-euro currencies. By resorting to the novel unconditional quantile regression, we show that there is a statistically significant link between Bitcoin price movements and changes in nominal exchange rates. In normal market conditions, an increase in the price of Bitcoin can be associated with an appreciation of the currencies from our sample, while during the COVID-19 pandemic, the relationship inversed. In addition, we find heterogeneities in this relationship, depending on the level of change in the nominal exchange rate. The results emphasize the relevance of Bitcoin price movements to the conduct of monetary policy through the exchange rate channel and that investors in cryptocurrencies and various financial assets denominated in the currencies from our sample can benefit from diversification by including both types of assets in their portfolios.

Analyzing and measuring the impact of monetary policy on the economic growth of the Algerian economy during the period (1990-2020)

This research aims to analyze and measure monetary policy on the rate of economic growth through a set of independent variables during the period (1990-2020). We have dealt with the theoretical framework of the study and an analysis of the most important developments and monetary tools, as well as the econometric study based on Granger's causality model and estimating the model's coefficients using the VAR model and conducting the appropriate statistical tests. The study concluded that there is a causal relationship in only one direction between the growth of the gross domestic product (GDP) and the changes in exchange rates in Algeria during the study period, while there is no causal relationship from the money supply to economic growth, due to the limited impact of monetary policy on the Algerian economy, As well as the nature of the Algerian economy, which remains linked to the extent of improvement in fuel prices in international markets during the study period.

How do socially responsible investment and macroeconomic indicators interact with each other The case of selected developing countries

Purpose- Sustainability is a multidimensional concept that expresses not only sensitivity to environmental policies, biodiversity and climate change, but also corporate governance principles and human rights. Accordingly, socially responsible investment is a kind of investment considering not only financial criteria but also environmental, social and corporate governance factors as well. In today's world, both the increase in social chaos, disasters and epidemics all over the world reveal the importance of addressing the issue of sustainability at the institutional and even governmental level and taking urgent action. In this context, sustainability indices have been created in many international stock markets since the end of the 1990s, which are created according to various criteria. These indices follow the companies that comply with the concept of sustainability. Today, many developing country stock markets also have sustainability indices. In this study, the interaction between the change in the sustainability index and macroeconomic indicators in developing countries was examined in order to be able to set forth the significance of the impact level of sustainability on the economy in the developing countries. Methodology- Within the scope of the subject, the importance of adapting to sustainability in the developing countries and the activities carried out are also discussed. Within the analysis, the annual percentage change in the sustainability index in seven selected developing countries and macroeconomic indicators such as change in consumer price index and change in dollar-based exchange rates were examined for the period of 2015-2022 by the panel data methodology. Findings- According to the findings, the impacts of changes in exchange rates and consumer price index on the sustainability indices are statistically significant. While exchange rates have negative effect, consumer price indices have positive effect on the sustainability indices. Conclusion- Findings are expected to reveal the supportability and importance of sustainability in the developing countries and shed light for future research that this issue needs and worth to be investigated more deeply. Keywords: Sustainability, socially responsible investment, macroeconomic indicators, developing countries, panel data. JEL Codes: C23, G15, Q50

The impact of exchange rate changes on the trade balance: Evidence from Saudi Arabia vs her major trading partners

This study aims to analyse the short- and long-term effects of real exchange rate changes on the bilateral trade balance between Saudi Arabia and its major trading partners. The study used the aggregated and disaggregated panel data for the analysis. The autoregressive distributed lag (ARDL) model in error correction is used to analyse the short and long-term relationship between exchange rate and trade balance. It was discovered that the real exchange rate (RER) had no appreciable impact on the trade balance over the long run using the panel data linear ARDL model. The first leg of RER is determined to have a very negative short-term impact on the trade balance. However, the non-linear ARDL model, which took into account non-linear trade balance adjustments in reaction to exchange rate fluctuations, demonstrated a significant and adverse long-term link between the two variables. It shows that depreciation leads to the deterioration of the trade balance. Finally, the study extends the analysis to disaggregated data country-wise. The results of the linear ARDL model revealed that 3 out of 13 cases have significantly short-term relationships. Still, it is observed that no specific short-term patterns are in line with the J-curve hypothesis. The investigation discovered evidence for the J-Curve and the new definition of the J-curve using the non-linear ARDL model in three of the 13 cases. The study concluded that Saudi Arabia must not rely on devaluation as a policy instrument to improve its trade balance. It should maintain its fixed exchange rate for extended periods.

Improvement of the Fama-French Five Factors Model in Terms of The US Dollar Index

Contemporarily, the Fama-French Five Factors (FF5) model is a well-known asset pricing model, which establishes a model with five fundamental factors of market in order to explain the return of stocks and has an excellent performance in the market. This paper attempts to improve the FF5 factors asset pricing model by introducing the macroeconomic factor of the exchange rate. Primarily, the monthly circulating market value, monthly book market value ratio, monthly profitability, and monthly total asset growth rate of all U.S. stocks are selected. The method in this paper calculates and processes it and obtains the time series of the FF5 basic factor. Afterwards, we use the monthly variation extent of the US dollar index to represent exchange rate changes to improve the model, select 22 representative stocks from U.S. stocks to test. Subsequently, the advantages and disadvantages of the new model are compared with the FF5 model. According to the analysis, the new model has enhanced the ability to interpret the yield of most stocks and greatly enhanced the ability to interpret the stocks of large international companies. These results shed light on guiding further exploration of asset pricing model.

Exchange Rate Changes and the J-curve Effect: Asymmetric Evidence from a Panel of Five Emerging Market Economies

Using the symmetric and asymmetric specifications of the pooled mean group estimator, we attempted to scrutinise the possibility of the J-curve effect in the case of Brazil, Russia, India, China and South Africa. In addition to both real effective exchange rate changes and nominal effective exchange rate changes, the possible impact of domestic and foreign demand pressures on the trade balance is also estimated. Incorporating a quarterly data set spanning from 2000Q1 to 2020Q2, the results based on the symmetric and asymmetric model establish no evidence of the J-curve phenomenon. However, when asymmetric possibilities are considered, appreciation is found to deteriorate the trade balance relatively by a greater magnitude whereas the impact of currency depreciation is insignificant. In addition, no asymmetric evidence has been reported concerning the effect of domestic and foreign demand. However, a hike in the former deteriorated the trade balance whereas an increase in the latter improved it in both linear and non-linear frameworks. JEL Codes: F4, F41, F42

Development of mL-scale pseudo-perfusion methodologies for high-throughput early phase development studies

Small-scale devices enable rapid development and optimization, and while many exist for fed-batch cultures, there are few comparable devices for high cell density perfusion cultures. To address this gap, pseudo-perfusion methodologies were developed in microwell plates at mL-scale capable of achieving many of the specific characteristics of perfusion culture, including high cell density, cell retention and increased productivity. Pseudo-perfusion was achieved via sedimentation or centrifugation of 24 microwell plates prior to media exchange 1–2 times daily, generating separation efficiencies higher than 90%. Media exchanges commenced on day 3 and achieved perfusion rates of 0.5–1.8 vessel volumes per day (VVD). Pseudo-perfusion methodologies resulted in maximum viable cell densities (VCDs) of up to 42 × 106 cells mL-1, 4.2-fold greater than fed-batch cultures. Volumetric productivities increased by 1.9-fold, generating industrially relevant productivities. Similar performance was observed between sedimentation and centrifugation methodologies, with minor deviations attributed to elongated manipulation times and lower packed cell density prior to separation when sedimentation was used. The microwell plate (MWP) experiments were validated at the 5 L scale and showed comparability in metabolite and growth profiles. The work presents the development of a robust tool for high-throughput development studies which is sensitive to changes in media composition and exchange rate, which could be reliably used for initial screening of high cell density perfusion cultures.

Research on the Implementation of Purchasing Power Parity Strategy in Chinese Market

Purchasing Power Parity, a calculation or a strategy that could be used in measuring and comparing the different exchange rates between two countries, and in order to go more in-depth on deciding whether to trade to make profits in each time period. Our research is based on the last twenty years changes in exchange rates, inflation rates, and interest rates, to compare G10 countries different purchasing power to the Chinese market to obtain the forecasting on this strategy whether it makes a positive return or not with further future details and recommendations within this strategy. First, we collect all the data needed for this research by going through different authoritative websites to download the data records that are sufficiently provided. Then, we apply the specific formulas that were used to measure the exact purchasing power parity values among countries to have an overview of cumulative Profits and Loss graphs; to interpret the ups and downs over twenty years in different samples from the past. The actual research is developed into two samples, in the sample and out of the sample, to ensure the correct direction we are focusing on. Overall, we conclude a few main points to be careful within PPP, a brief comparison between advantages and disadvantages, and other considerations throughout the whole trading process.

The effect of natural gas discoveries in Israel on the strength of its currency

AbstractIn light of the natural gas discoveries in the Mediterranean Sea and their impact on the Israeli economy, I must assess the change in the exchange rate and its impact on the foreign exchange market. There are numerous positive social impacts resulting from the gas discoveries including optimising Israel's energy security and its move to cleaner energy. However, not all of the consequences of discovering natural resources may be positive. One possibly negative outcome could be the well‐known phenomenon called the “Dutch disease” in which the discovery of a natural resource can cause a country's currency to spike. To investigate whether the strengthening of the Israeli currency in recent years is a symptom of the “Dutch disease” I used daily and intraday event study methodology to explore the changes in the real exchange rate of the Israeli shekel and the US dollar between 2008 and 2017, according to announcements related to the gas discoveries published during this period. In addition, I examined whether an increase in the real exchange rate was a result of the publication of announcements about natural gas harming the manufacturing and industrial sectors. I found that announcements related to gas discoveries did affect the real exchange rate and caused an appreciation of the Israeli shekel. Investors could analyse the announcements and achieve an abnormal return in the foreign exchange market. In addition, investors' expectations of an appreciation in the real exchange rate causes damage to various manufacturing and industrial sectors.

Effect of Exchange Rate Volatility in Chinese Export and Import

The Federal Reserve and the European Federal Reserve enacted monetary measures to ameliorate the economic crisis as a result of COVID-19. China's import and export commerce will be impacted by the consequent exchange rate adjustments. The data used for this article includes changes in exchange rates, imports, and exports before and during the outbreak. It also examines the impacts of policy, import and export regulations, transportation costs, and other factors of exports on imports and exports. Additionally, it checks to see whether contractual effects cause J-curves in the short- and long-term for changes in currency rates and import/export movements. This paper provides empirical experience for the changes in imports and exports caused by the CNY exchange rate policy in the future based on the analysis of China's import and export data in these two regions caused by changes in exchange rates of Europe and US dollar against CNY over past 12 years.

International Capital Flows and Dynamic Changes in Pfizer Stock Prices: A Long-term Perspective

The stock and exchange rate markets play central roles in domestic and international trade. Since volatility of either one of them can bring significant impact to any business. It is essential to find how changes in exchange rate influence the stock market so that policymakers can build appropriate regulations to boost the national stock market, and investors may invest by taking the minimum risk. This paper selects the stock of a well-known multinational firm, Pfizer, and the US dollar index from October 27, 2005, to September 5, 2019. It applies the ADF test to validate the stationarity of the sample data, the VAR model with IRF to investigate whether the increasing exchange rate brings a positive effect on Pfizer's stock return or not, and the ARMA-GARCHX model to study whether the volatility of exchange rate is significant to changes of Pfizer's stock return in the long run. The study's findings indicate that the exchange rate volatility does not have a long-term relationship with Pfizer's stock price.

Exchange rate risk management of foreign trade enterprises

Global economic integration is expanding worldwide, and each country's potential and extent of exchange rate volatility will become more significant with changing national policies. As a result of engaging in import and export business, foreign trade enterprises have a large volume of foreign currency transactions and holdings. Foreign trade enterprises in every country need to raise their awareness of exchange rate risk management. Import and export enterprises must avoid exchange rate risks in various ways to ensure minimum losses and maximum profits. This article examines how foreign trade enterprises can manage exchange rate risk in a way that enables them to avoid exchange rate risk and thus ensure stable business returns. Following a logical relationship and structure, it uses the literature research method to introduce how companies need to respond to changes in exchange rates internally. It also introduces how companies can control exchange rate risk through financial instruments.

Gain or Loss from this Turn’s Rate Hike: Evidence from Tesla and USD Index

A series of grave problems caused by energy scarcity and environmental pollution have gradually become the focus of governments and automobile manufacturers, and all countries agree that energy saving, and emission reduction are the inevitable directions of the future development of industrial automobile technology. As a global pioneer of new energy pure electric vehicles, Tesla has created a new concept of using Internet thinking to produce cars. At the same time, under the influence of the epidemic disturbance and the conflict between Russia and Ukraine, the supply and demand of global commodities such as crude oil and grain are tense. In addition, the Fed has raised interest rates for three rounds since June 2022, leading to rising inflationary pressure in the global market. Rising cost pressure in industries with a high degree of global value chain integration (such as automobiles, batteries, and mechanical equipment) and Tesla's earnings are also affected by exchange rate fluctuations. This paper uses the VAR model to explain the dynamic relationship between the exchange rate of USD/offshore RMB and Tesla stock price, establishes the ARMA-GARCH model to predict and analyze how the change of exchange rate affects the volatility of Tesla stock returns, and predicts the impact on industrial enterprises like Tesla.

Tác động của giá dầu, tỷ giá, tăng trưởng kinh tế đến lạm phát tại Việt Nam

This study provides new insight into the asymmetric relationship between oil price (OIL), the exchange rate (REX), economic growth (GDP), and inflation (INF) in the Vietnamese economy, using quantile-on-quantile regression developed by Sim and Zhou (2015) for the period 2000-2021. Our results demonstrate that there exists a strong and positive interaction between GDP, OIL, and INF over the sample period. Similarly, REX has both positive and negative impacts on INF in the middle and high quantiles ofINF’s distribution. These findings suggest that changes in oil price volatility, GDP, and exchange rate are sensitive to the inflation rate in Vietnam in different market conditions, which are significant policies for the Vietnamese government, policymakers, and market participants to reduce inflation in Vietnam.

인민폐 환율변동이 중국의 수출상품 구조에 미치는 영향

인민폐 환율변동이 중국의 수출상품 구조에 미치는 영향

Trade competitiveness and the aggregate returns in global stock markets

Using the change in the real effective exchange rate (REER) to reflect trade competitiveness, we examine its role in the cross-section of global equity returns. The changes in REER negatively affect stock market returns. The REER effect is robust after controlling for known risk factors and market characteristics. Furthermore, it remains pervasive across different periods and subsamples. Our findings support the conventional wisdom that appreciating currency harms trade values, consequently dampening a firm's stock market performance.

Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies

We compare the effects of the US macro news on the exchange rates of carry trade target currencies and safe-haven currencies in the post-GFC period. Relying on the data of 5-min changes of exchange rates, we find significant responses of currencies to the surprises of the US macro news. The significance of responses was similar between the two types of currencies during the normal periods, but were weaker for target currencies in the turmoil periods. Furthermore, the turmoil periods witnessed more diverged effects of macro news between carry trade target currencies and safe-haven currencies.

Interest rate, foreign exchange and stock performance in a dual banking industry: evidence from Saudi Arabia

PurposeThis study aims to extend the literature by extensively investigating the impact of foreign exchange and interest rate changes on the returns and volatility of bank stocks in Saudi Arabia, which is the largest dual banking industry.Design/methodology/approachThis study employs the generalized autoregressive conditional heteroscedasticity (GARCH) model on stock returns of four fully Islamic Saudi banks and eight conventional Saudi banks.FindingsThe results showed that the foreign exchange rate return has a positive impact on Saudi conventional bank returns, while it has an adverse impact on Saudi Islamic bank returns. Moreover, a higher interest rate return has a positive impact on Saudi bank stock returns implying that the assets side is more sensitive to changes in interest rates than the liability side. Finally, higher foreign exchange and interest rates volatility increases the volatility of Saudi bank returns, where the former has the largest significant impact. Therefore, Saudi regulators should pay more attention to the risk management of their banks because this could threaten the stability of their financial system.Originality/valueTo the best knowledge of the author, this is the first study that tries to extensively analyze the joint impact of foreign exchange and interest rates on bank stock returns and volatility in Saudi Arabia by applying the GARCH model. The study uses a long data set from 2010 to 2019 that includes all Saudi banks and employs four measures of interest rates to increase the robustness of the results.