Impact Of Exchange Rate Research Articles

The Impacts of the Interest Rate, the Exchange Rate, and the Market Index on the Stock Returns of the Brazilian Banks

Abstract This paper aims to analyze the impact of interest rate, exchange rate, and market on the returns and volatility of the stocks of banks listed on the Brazilian Stock Exchange. This analysis used two statistical models: the linear model estimated using Ordinary Least Squares and the ARCH/GARCH time series volatility models. The econometric studies considered the daily data of 15 financial institutions listed on the stock exchange during the period from January 2009 to December 2021. Regarding the market effect, the Ibovespa index for the period was considered; for the interest rate, the CDI (Certificate of Interbank Deposit) was used; and, about the exchange rate, the dollar rate was adopted as a reference. The results indicate that the distribution of stock returns is asymmetrical, with an elongated tail on the right. It was observed, based on the econometric model applied, that the daily returns of the shares are significantly influenced by the market, and the interest rate exerts the least impact on the returns. These findings are relevant to the scientific community exploring the topic and provide valuable insights for bankers, analysts, market investors, regulatory authorities, and society in the decision-making process. JEL classification numbers: C32, G00, G21. Keywords: Banking, Interest rates, Exchange rate, Bank stocks.

The impact of exchange rate and exchange rate volatility on tourism demand using disaggregated data

AbstractThe present study investigates the impacts of exchange rate and exchange rate volatility on inbound tourism demand in Mauritius, using annual data covering the period 1999–2019 and a panel autoregressive distributed lag model. In particular, we consider 17 major tourism markets for Mauritius. The sample is further divided into Eurozone (7 countries) and non‐Eurozone (10 countries) for additional insights. The results show that in the long run, both the exchange rate and its volatility have negative and significant impacts on tourism demand across the three samples considered, while income in the home country has a positive and significant effect on tourism demand. On the other hand, relative price is found to have a significant and negative effect on tourism demand only for the overall sample of 17 countries, while for both the Eurozone and non‐Eurozone, the impact is insignificant. The empirical results suggest that policymakers should give consideration to stronger monetary and fiscal regulations to increase tourism demand.

The Impact of Interest Rates, Exchange Rates and Inflation on Stock Returns on the LQ45 Index Listed on the Indonesian Stock Exchange

The research conducted aims to determine the significant influence of interest rates, exchange rates, and inflation on stock returns. The research sample used is companies that are consistently listed on the Indonesia Stock Exchange for the 2021-2023 period, totaling 30 companies. Sample determination using purposive sampling method. The data analysis technique used is multiple linear regression. The results of the study partially found that interest rates have a significant negative effect on stock returns, exchange rates have no significant effect, and inflation has a significant effect on stock returns. The results simultaneously show that together the independent variables have a significant effect on the dependent variable.

Pengaruh Nilai Tukar, Inflasi dan Pdb Terhadap Ekspor Non Migas Indonesia

This study aims to evaluate the impact of exchange rates and inflation on non-oil and gas exports in Indonesia, both partially and simultaneously. The research approach used is a quantitative approach, using multiple linear regression analysis method. The independent variables in this study include exchange rates (X1), inflation (X2), and GDP (X3), while the dependent variable is non-oil and gas exports. Data was obtained from secondary data sources with a time span of 2019-2022, and data collection techniques involved literature study and documentation. The results showed that partially, the exchange rate had no significant effect on Indonesia's non-oil and gas exports. Partially, inflation has a significant impact on Indonesia's non-oil and gas exports. Partially, GDP has an effect on Indonesia's non-oil and gas exports. The simultaneous test hypothesis shows that the exchange rate, inflation and GDP together significantly affect the dependent variable (non-oil and gas exports).

Exchange rates and trade balance dynamics: a quantile regression analysis

ABSTRACT This paper investigates how trade balances respond to fluctuations in exchange rates among the industrialized G10 and emerging BRICS countries, applying a nonlinear quantile regression methodology. By examining the entire conditional quantile process, we reveal diverse impacts of exchange rate dynamics on trade balances across its distribution. Specifically, our analysis highlights distinct effects: advanced economies experience short-term J-curve effects, while emerging markets display price and quantity effects. Furthermore, our study emphasizes the importance of differentiating between bilateral and effective exchange rates. We observe that effective exchange rates do not offer superior insights compared to bilateral rates, particularly evident in BRICS economies due to the dominance of the US dollar in global trade denomination. Our findings underscore crucial policy implications. Reducing reliance on the US dollar emerges as a pivotal strategy, particularly for developing nations. Conversely, for advanced economies, recognizing and leveraging the indirect yet substantial impact of exchange rates, specifically J-curve effects, could offer strategic advantages within policymaking.

Investigating the Joint Impact of Exchange Rate and Foreign Direct Investment Inflows on Domestic Interest Rate in Nigeria

<p><span lang="EN-US" style="font-size: 14pt; font-family: 'times new roman', times, serif;">The sensitive nature of interest rate has spurred empirical interests on the factors that determine it. This paper examined the joint impact of exchange rate and foreign direct investment inflows on interest rate in Nigeria over the period from 1981-2022. The study made use of the auto regressive distributed lag (ARDL) bounds test and results of findings reveal that in both the short-run and the long-run the impact of the interaction between FDI inflows and exchange rate on real interest rate was negative and significant. Also, while credit to the private sector was found to have significant positive impact on real interest rate in both the time horizons, the impact of consumer price index was negative only in the short. Oil revenue was found to impact positively on real interest rate only in the long-run, but the impact of broad money supply was negative and significant in both the short-run and the long-run. The study suggests that policies to regulate domestic interest rate should focus on joint regulation of both exchange rate and FDI inflows and this requires a synergy between monetary and fiscal policies.</span></p>

Study on the Impact of RMB Exchange Rate on China's Industrial Structure Adjustment

This paper firstly summarizes the current situation of China's current industrial structure as well as the change of exchange rate system, systematically describes the research object of this paper, and outlines its main features. After that, this paper analyzes the impact of the real effective exchange rate of RMB on China's secondary and tertiary industries for the purpose of the study, takes into full consideration the main factors affecting the industrial structure, selects a large number of control variables, and completes the empirical analysis of China's overall as well as the eastern, middle and western regions by using the panel data of the country's 30 provinces in the 16-year period from 2005 to 2020. In addition, a variety of robustness tests were conducted to fully ensure the stability and interpretability of the model. It is finally concluded that the appreciation of RMB exchange rate will significantly benefit the development of China's tertiary industry, promote the industrial structure from the secondary industry to the tertiary industry, and complete the upgrade of industrial structure. Specifically, for every 1% increase in the real effective exchange rate of RMB, the proportion of tertiary industry in the GDP of the whole country, the east, the center and the west will increase by 0.7850%, 0.7171%, 1.0186% and 0.4873% respectively. Besides, this paper also verifies the indirect impact of the exchange rate on the industrial structure through the three paths of price effect, foreign trade openness and FDI, and verifies the existence of the intermediary effect. According to the empirical results, the price effect, FDI, and the increase of foreign trade openness will promote the advanced industrial structure of China. But both FDI and foreign trade openness are negatively correlated with the exchange rate, which is the core variable of this paper.

Determinants of Economic Growth of Nepal

The purpose of this paper is to analyse the impact of Foreign Direct Investment (FDI), Exchange Rate (EXR) and Consumer Price Inflation (CPI) to the Gross Domestic Product (GDP) growth in Nepal. Descriptive and causal comparative research designs were used to analyse the impact of FDI, EXR and CPI on economic growth of Nepal. The study has used 17 years' annual time-series data of FDI, GDP at current price, CPI, and EXR throughout the FY 2006/07 to 2022/23 in Nepal. The empirical results found that EXR and FDI have positive and significant impact on the economic growth of Nepal whereas the adverse effect of CPI on economic growth has been found. FDI and favorable EXR appearing as key drivers of economic growth, but rising prices could slow down it.

Impact of Exchange Rates on Returns in Share Market: A Case of Pakistan

The study focused on appraising the influence of exchange rates on returns in the share market: a case of Pakistan. Time-series data spanning 36 years (1980 to 2016) was utilized. To capture the impact of exchange rates on returns in the share market, a theory-based model consisting of six sub-models was planned and estimated through the recursive simultaneous-equations econometric estimation technique. As the data was time series, augmented Dickey-Fuller (ADF) tests were employed to assess the stationarity of the considered variables. The autoregressive distributed lag (ARDL) model was chosen due to some variables being found at different levels, such as me (0) and I (1). Bounds tests in the conclusion declared that the value of F-statistics expressed long-run associations among variables. The results revealed that share market returns were positively influenced by the exchange rate. The model also indicated that share market returns were significantly influenced by Foreign Portfolio Investment (FPI). Furthermore, National Savings (NS) demonstrated a positive and significant association with share market returns (SMR). The study's outcomes also illustrated that National Income (NI) had a positive and significant influence on SMR. The study encompassed well-expanded details and estimation techniques of various models and measures required in this type of research, especially when utilizing time-series data. Based on research findings, it was suggested that potential researchers reproduce this research to achieve a better and relatively well-conceived, well-estimated model on the topic. Additionally, it was recommended that public and private sector planners and researchers seek guidance not only on statistically significant exogenous variables but also on other explanatory variables for their effects on the endogenous variables.

The Impact of Exchange Rates and L/C Financing from Islamic Banks on Pakistan's Exports Between 2010 and 2022

The Impact of Exchange Rates and L/C Financing from Islamic Banks on Pakistan's Exports Between 2010 and 2022

The Impact of Inflation, Interest Rates, and Exchange Rates on the Jakarta Islamic Index (JII) Stock Price Index on the Indonesia Stock Exchange

The Impact of Inflation, Interest Rates, and Exchange Rates on the Jakarta Islamic Index (JII) Stock Price Index on the Indonesia Stock Exchange

The Role of Currency Fluctuations in Shaping Kenya’s Export Performance

This study explores the impact of exchange rates on Kenya’s export performance from 1990 to 2022. The study utilizes a causal research design and time series data to assess the influence of exchange rate fluctuations, volatility, and relative price levels on export volumes and their contribution to GDP. Descriptive statistics reveal considerable variability, with exports displaying slight positive skewness and exchange rates exhibiting a slightly left-skewed distribution. Unit root tests confirm non-stationarity in the level forms of exports, exchange rates, the export unit value index, and the price level ratio, which become stationary after first differencing, thus suitable for econometric modeling. The Vector Error Correction Model results indicate insignificant long-run effects of exchange rates, export unit value index, andprice level ratio on exports, despite significant short-run adjustments correcting deviations from the long-run equilibrium by approximately 73.4% per period. Short-run analyses show insignificant effects of lagged exchange rate andexport unit value index differences on exports, while price level ratio exhibits a marginally significant negative effect. The research emphasizes the necessity for stable exchange rates to foster a predictable export environment, crucial for attracting investments and sustaining economic growth. The study recommends diversification of Kenya’s export base, enhanced competitiveness through technological advancements and skill development, and creation of financial instruments to mitigate exchange rate risks. Strengthening export promotion initiatives and improving data collection and research are also advocated to support informed policymaking. The study’s findings are pertinent to policymakers, investors, and researchers, highlighting how currency fluctuations affect economic stability, job creation, and living standards.

The Asymmetric Impact of Exchange Rate on Inflation in Egypt Since 2013

The Asymmetric Impact of Exchange Rate on Inflation in Egypt Since 2013

Comparing the Performance of GARCH Family Models in Capturing Stock Market Volatility in India

In recent times, the prediction of stock market volatility has emerged as a central focus in the domain of financial econometrics. This paper presents an empirical analysis aimed at modelling the volatility of the Indian stock market, particularly focusing on the NSE NIFTY 50, by utilizing various GARCH models. The investigation explores the volatility of stock returns, considering the daily closing prices, and examines the influence of two external factors: Crude oil prices and the INR/USD exchange rate. The inquiry employs data encompassing the period from January 1, 2012, to December 31, 2022, for all three variables. The manuscript delves into an array of univariate GARCH models, encompassing both symmetric and asymmetric models, and assesses their performance by utilizing metrics such as the Akaike Information Criterion, Schwartz Bayesian Information Criterion, and Log Likelihood. To assess the predictive accuracy of these models, statistical error measures such as Mean Squared Error, Root Mean Squared Error, and Mean Absolute Error are employed. The findings strongly suggest that the EGARCH model is the most effective in predicting the variations of the NIFTY index. Furthermore, the research highlights the significant impact of exchange rates and crude oil prices in relation to the volatility of the stock market in India.

An Analysis of the Impact of Exchange Rate on Trade of BIMSTEC Countries

An Analysis of the Impact of Exchange Rate on Trade of BIMSTEC Countries

How Does RMB Exchange Rate impact Chinese Manufacturing Firms’ Embeddedness in Global Value Chains?

How Does RMB Exchange Rate impact Chinese Manufacturing Firms’ Embeddedness in Global Value Chains?

Interrogating the Asymmetric Impact of Exchange Rate on Agricultural Output in Nigeria

The agricultural sector is vital to the Nigerian economy. It serves several functions including food supply for the populace, a source of income for a sizable section of the domestic labour force, a supplier of raw materials for industrial production, and provision of foreign exchange revenues to the economy. However, due to the country’s abundance of natural resources like crude oil, the agriculture sector is vulnerable to the fluctuations in the exchange rate caused by international financial markets. This analysis looked at how changes in the value of the naira relative to dollar affects agricultural production. In order to contribute to the current body of literature for the time period between 1981 and 2021, this study employed the Dutch Disease Syndrome theoretical framework through the use of the non-linear autoregressive distributed lag (NARDL) method for Nigeria. This research shows that while the long-term effect of the exchange rate on agricultural output in Nigeria is symmetrical, the short-term effect is asymmetrical. However, in more specific terms, the symmetrical effect of the exchange rate in the long run revealed that exchange rate appreciation increased real agricultural GDP by approximately 8.8 percent compared to exchange rate depreciation which had only increased real agricultural GDP by 0.11 percent. Consequently, since exchange rate exerted positive impact on agricultural production in the long run, it is suggested that the Nigerian government explores the increased competitiveness of the agricultural sector in its economic diversification efforts. In other words, the agricultural sector could provide an avenue to expand the revenue base of the government, but for a more beneficial effect on the agricultural sector in particular and the economy in general, more focus should be placed on policies that would enhance appreciation of the Naira such as reducing imports of agricultural inputs and produce.

Unraveling the Nexus of Economic Factors: Analyzing the Impact of Trade, Energy Consumption, Electricity Generation, Exchange Rate, and Urban Population on Consumer Price Index in European countries

The dynamics of consumer price index (CPI) and its influencing factors lie at the heart of economic stability and growth. In this comprehensive research paper, we investigate the multifaceted relationship between consumer price index (CPI) and a set of critical independent variables, including trade (T), primary energy consumption (PEC), electricity generation (EG), exchange rate (ER), and urban population (UP). This research examines a cross-sectional sample of 20 European countries using panel ordinary OLS regression and fixed- and random-effects models for the period of 2000–2020. The findings of this research suggest that there is a notable inverse relationship between Primary Energy Consumption and CPI. The coefficient associated with Primary Energy Consumption carries a negative sign and demonstrates statistical significance at the 5% level and urban population, exchange rate and Electricity generation show positive significant impact on Inflation, while trade does not have any significant impact on inflation.

NAVIGATING ECONOMIC TIDES: ASSESSING THE IMPACT OF EXPORTS, EXCHANGE RATES, AND CORRUPTION ON INDONESIA'S FOREIGN EXCHANGE RESERVES

One indicator that reflects the stability of the economy in a country is foreign exchange reserves. Foreign exchange reserves serve as the savings and accumulation of a country's income over a specific period. This research study is conducted with the aim of elucidating the phenomena and the impact of exports, exchange rates, and corruption on foreign exchange reserves. The ECM model analysis is employed because it is suitable for the type of data used, namely time series data from 1998 to 2022. The results of this research indicate that, from a long-term perspective, the main factors influencing foreign exchange reserves are exports and corruption, while in the short term, exports and exchange rates are the primary factors affecting foreign exchange reserves.

Analysis of the Impact of Exchange Rate on Price Level in Nigeria

The study focus on Analysis of the Impact of Exchange Rate on Price Level in Nigeria from 1988 to 2016 with variables as Inflation, exchange rate, tariff rate, import and interest rate. The research employed the Dynamic Ordinary Least Square (DOLS) regression method with the pre-test of Augmented Dickey Fuller (ADF) unit root test. The regression result showed a negative and insignificant relationship between exchange rate and inflation, tariff rate was negative and significant in relationship with inflation, while import was positively and insignificantly related to inflation, interest rate was having a positive but not significant relationship with inflation. We recommend that moderate or realistic tariff rate be negotiated among trading partners. Also local production of goods for export that will counter the negative impact of import to avoid imported inflation and strict monitoring of the activity of CBN and commercial banks in exchange rate dealing to avoid unnecessary and unproductive use of dollars.