Major Currencies Research Articles

Examining market synchronicity: spillover connectedness among commodity markets and exchange rates during crisis periods

We investigate the dynamic spillover connectedness between commodity markets (gold and crude oil) and exchange rates in seven of the world's most influential developed and emerging economies: China, Ukraine, Germany, the United Kingdom, Japan, Russia, and the United States. Utilizing an extensive daily dataset sourced from Bloomberg, we analyze key exchange rates and commodity markets, focusing on currencies and economic indicators of significant global economies. Our findings reveal significant spillover effects across markets, with major currencies playing central roles in transmitting volatility during crisis periods. Specifically, currencies like EUR/$ and GBP/$ exhibit substantial internal spillovers, reflecting robust interconnectedness within these markets. In contrast, commodities such as crude oil demonstrate a more insulated nature, transmitting fewer spillovers compared to exchange rates. Furthermore, our analysis during distinct crisis periods, including the Covid-19 pandemic, the Russia-Ukraine conflict, and the Israel-Palestine war, highlights evolving market dynamics amidst geopolitical uncertainties. Major currencies continue to play pivotal roles during crises, transmitting the highest total spillovers, while commodities like gold emerge as significant transmitters and receivers, underscoring their role as safe-haven assets.

Assessing the Effects of Exchange Rate Volatility on Zambia’s Economic Growth: Evidence from ARDL and NARDL Models

This study investigated the interplay between exchange rate volatility, inflation rates, and real interest rates on Zambia’s economic growth from 1992 to 2022, utilizing annualized time series data. The study was necessitated by the limited published literature and relatively varying findings on the variables’ relationships in resource-dependent countries, such as Zambia. Diagnostic tests, including stationarity and co-integration analyses, were employed to determine integration orders and potential long-run relationships. The linear and nonlinear autoregressive distributed lag models were employed to assess short- and long-run dynamics of the variables on economic growth. The results established a positive short-run relationship between inflation rates and Gross Domestic Product (GDP) growth in the linear autoregressive distributive lag model, while an inverse relationship was observed in the nonlinear autoregressive distributive lag model, suggesting that negative shocks in inflation rates had a highly significant positive impact on economic growth. Furthermore, interest rates exhibited a positive relationship with economic growth, further suggesting that positive shocks had a greater significant direct effect on economic growth in comparison to negative shocks in the short and long run, respectively. Finally, exchange rates in both models exhibited an inverse relationship with economic growth irrespective of positive or negative shocks in the long run, highlighting the adverse effect of exchange rate volatility on economic growth prospects in developing countries, such as Zambia. The speed of adjustment to convergence following any disruptions was determined to be 75.18% (ARDL) and 89.19% (NARDL), highlighting relatively fast speeds of adjustments from any short-run disruptions. Notably, some of the policy recommendations included regular assessments of exchange rate volatility influences on import prices, domestic inflation, and production costs in key sectors. Additionally, the implementation of currency hedging options and forwards as well as bulking of foreign exchange reserves will ensure the stability of exchange rates against other major currencies in various economic conditions.

New Dawn fades: Trade, labour and the Brexit exchange rate depreciation

This paper studies consequences of the large exchange rate depreciation occurring when the UK electorate unexpectedly voted to leave the European Union. Sterling plummeted, recording the biggest one-day depreciation of any of the world's four major currencies since Bretton Woods. The prospect of Brexit happening generated sizable differences in how much sterling depreciated against different currencies. Coupled with pre-referendum cross-country trade patterns, this generated variations in exchange rates facing businesses in different industries. The paper offers evidence of a cost shock from the prices of intermediate imports rising by more in higher depreciation industries, but with no revenue offset from exports. Workers were impacted by these increased cost pressures, not in terms of job loss but through relative real wage declines in higher depreciation, larger cost shock industries. This resulted in an aggregate fall in real wage growth of 3 to 3.6% cumulatively over the three years after the referendum.

A Study on the Preference of the Three Major Currencies of SDR as an International Financial Investment Currency: Focused on the CNY as an International Financial Investment Currency

A Study on the Preference of the Three Major Currencies of SDR as an International Financial Investment Currency: Focused on the CNY as an International Financial Investment Currency

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.

Reevaluating the linkage between trade openness and economic growth in Nigeria

This study reevaluated the linkage between trade openness and economic growth in Nigeria with data for the period of 1981 to 2022. The study employed Descriptive Statistics, Unit Root Test, Cointegration analysis, Regression Analysis (ARDL), Error Correction Model as the methods of analysis. The findings from the study showed that trade openness and external reserve impact positively and significantly on economic growth while exchange rate was found to be negative and significant. Also, findings from the error correction model showed that trade openness has a positive and insignificant impact on economic growth, external balance also has a positive significant impact on economic growth. Exchange rate on the other hand displays a negative insignificant impact on economic growth. The error correction term indicated that about 79 percent deviation in the previous year is corrected in the current year. The study therefore concluded that trade openness is a fundamental for economic growth in Nigeria and that external reserve crucial to funding of critical import necessary for domestic production. Furthermore, exchange rate of the naira showed that the economy will benefit more if the appropriate rate is prevalent in the market as this will make export to be attractive. A long run relationship was found among the variables used in the study. Based on the findings from the study we recommended that the government should engage more in international trade especially for key production inputs to boost domestic production. The government should also ensure that they maintain a healthy external reserve and ensure it is channel into the import of critical inputs. The true value of the exchange rate of the naira in relation to major currencies of the world should be targeted in order to make our exports attractive.

The dollar versus the euro as international reserve currencies

We begin by examining determinants of aggregate foreign exchange reserve holdings by central banks (size of issuing country’s economy and financial markets, ability of the currency to hold value, and inertia). But understanding the determination of reserve holdings probably requires going beyond the aggregate numbers, instead observing individual central bank behavior, including characteristics of the holding country (bilateral trade with the issuing country, bilateral currency peg, and proxies for bilateral exposure to sanctions), in addition to the characteristics of the reserve currency issuer. On a currency-by-currency basis, US dollar holdings are somewhat well explained by several issuer characteristics; but the other currencies are less successfully explained. It may be that the results from currency-by-currency estimation are impaired by insufficient sample size. This consideration offers a motivation for pooling the data across the major currencies and imposing the constraints that reserve holdings are determined in the same way for each currency. In this setting, most economic determinants enter with significance: economic size as measured by GDP, bilateral currency peg, and bilateral trade share. While one geopolitical factor (congruence in voting in the UN) is typically significant in the expected manner (with the exception of the US dollar), the other geopolitical factor (sanctions) does not enter with significance.

Advancing data honesty in experimental biology.

The ease with which scientific data, particularly certain types of raw data in experimental biology, can be fabricated without trace begs urgent attention. This is thought to be a widespread problem across the academic world, where published results are the major currency, incentivizing publication of (usually positive) results at the cost of lax scientific rigor and even fraudulent data. Although solutions to improve data sharing and methodological transparency are increasingly being implemented, the inability to detect dishonesty within raw data remains an inherent flaw in the way in which we judge research. We therefore propose that one solution would be the development of a non-modifiable raw data format that could be published alongside scientific results; a format that would enable data authentication from the earliest stages of experimental data collection. A further extension of this tool could allow changes to the initial original version to be tracked, so every reviewer and reader could follow the logical footsteps of the author and detect unintentional errors or intentional manipulations of the data. Were such a tool to be developed, we would not advocate its use as a prerequisite for journal submission; rather, we envisage that authors would be given the option to provide such authentication. Only authors who did not manipulate or fabricate their data can provide the original data without risking discovery, so the mere choice to do so already increases their credibility (much like 'honest signaling' in animals). We strongly believe that such a tool would enhance data honesty and encourage more reliable science.

Hedging crude oil and currencies fluctuations

Relying on the D-Vine copula model, this paper delves into the hedging capabilities of Brent crude oil against the exchange rate of oil-exporting and oil-importing nations. The results affirm Brent crude oil’s role as a safeguard and a refuge against the fluctuations of major currencies. Furthermore, we reaffirm that oil retains its robust hedging and safe-haven attributes during times of crisis, with currency co-movements across all countries exhibiting greater correlation than during the entire dataset. Additionally, our empirical findings highlight an unusually positive correlation between Brent crude oil and the Russian exchange rate during the Russia-Ukraine conflict, demonstrating that oil functions as a less effective hedge and a less dependable refuge for the Russian exchange rate in such geopolitical turbulence.

News intensity and asset returns: the case of currency volatility

ABSTRACT There are both theoretical reasons and empirical evidence for financial markets rewarding investors who put effort into acquiring relevant information. This article shows how a systematic approach of encoding text, ‘semantic fingerprinting’ can be applied to a set of news headlines from The Wall Street Journal to measure the ‘news intensity’ − the volume of relevant news − pertaining to three major currency indices: dollar, pound and euro. In a dataset that spans two decades, we find a persistently positive link between the ‘news intensity’ and the volatility of currency returns, that becomes significantly stronger in times of recession: ‘bad news’ tends to translate into higher volatility.

Exchange rates and fundamentals: Forecasting with long maturity forward rates

We show that in a popular model of exchange rate determination, the unobserved expected future exchange rate can be substituted with the observed forward exchange rate. This allows the derivation of a new error-correction forecasting model, which approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. Our out-of-sample forecasting results for major currencies are unprecedented. The forecasting model is simple, easy to replicate, and the data we use are available in real time and not subject to revisions.

Resistance to platformization: Palantir in the Norwegian police

ABSTRACT In 2016, the Norwegian police signed a contract with Palantir Technology for the provision of the surveillance platform Gotham, a platform that enables agencies to integrate data stored in different databases from internal and external sources. The project was to be ready for operation in 2018. In February 2020, the Norwegian Police Directorate announced the project had ended. When they signed off the contract, they had spent around NOK 100 million for nothing. Drawing on documents and interviews with police managers and officers involved in the Gotham project, we explore how platformization represented a conflicting institutional logic which collided with the dominant one and threatened established power structures. Platformization, understood as an organizational process, competes with professionalism and bureaucracy as established institutional logics in the police to control and coordinate work. The analysis of conflicting institutional logics stemming from socio-technical and material objects, reveals how police staff experiences of the symbolic, material and cognitive aspects of logics are of importance in domestication processes. The struggle for market dominance also fueled the conflict between established and new suppliers. The totalizing tendencies of platform policing may explain why the project went on for so long before it was terminated. To a certain degree, our findings show data becoming a major currency, and there is a calculative logic in this type of policing. Platform policing has user activity as its source, and non-use stops the business.

Implementation of the Public Procurement Act No. 8 of 2020: A Case of the Technical Education Vocational and Entrepreneurship Training Authority

The study evaluated the implementation of Public Procurement Act No. 8 of 2020 by public entities, focusing on the case of the Technical Education, Vocational, and Entrepreneurship Training Authority (TEVETA). This study aimed to assess the implementation of the Public Procurement Act No. 8 of 2020 at TEVETA. A descriptive research design was employed. The target population included Directors, Managers, specialists, and officers from the Finance, Audit, Procurement, and Information Communication and Technology (ICT) departments. Purposive sampling techniques were utilized to select seven (7) finance staff, two (2) Audit staff, and three (3) procurement staff. Data from Finance staff, Audit staff, and Procurement staff were collected using interview guides, while Information Communication and Technology staff participated in focus group discussions. Observation checklists and document analysis were also employed. The researcher personally conducted the administration of the guides and focus group discussions. The collected data were analyzed using descriptive statistics and presented in tables, charts, and graphs using Microsoft Excel. The study identified challenges in the implementation of the Public Procurement Act No. 8 of 2020 at TEVETA, leading to non-compliance with the existing public procurement law. It was found that the electronic government procurement system (e-GP) was not implemented due to a lack of capacity among procurement professionals. There was a lack of interaction between procuring entities and the Zambia Public Procurement Authority (ZPPA) to organize training workshops, seminars, and conferences on interpreting and implementing the Public Procurement Act. Challenges were also noted in implementing section 12 of the Public Procurement Act No. 8 of 2020 related to the use of the market price index. The study highlighted that the quarterly market price provided by ZPPA was susceptible to price fluctuations and the depreciation of the Zambian currency against major currencies. Consequently, the study concluded that the Public Procurement Act No. 8 of 2020 was not effectively implemented at TEVETA. It was recommended that ZPPA and TEVETA collaborate to enhance the capacity of procurement professionals for effective interpretation and implementation of the Public Procurement Act. Additionally, it was suggested that the quarterly market price index (MPI) be reviewed monthly due to price fluctuations and currency depreciation compared to major currencies.

Exchange Rate Management Policies Options Towards Strengthening the Naira for Economic Transformation

Close to two decades, the Nigerian Naira has witnessed tremendous fall in its value against major currencies in the global market, giving rise to fast climbing inflation rate and its attendant consequences. Effort by various governments at federal and state levels to remedy the Naira and ensure its stability have shown no signs of fruitfulness. The Central Bank of Nigeria (CBN), at different times, has adopted several measures in this regard including currency devaluation, stringent monetary and fiscal policies, Naira redesign, and the newest, being the effort to collapse into one, the parallel exchange market. These measures, from all indications, were unable to stem the tide of the Naira fall. This study, therefore, adopts a narrative review of economic and finance literature to suggest policy options that could redeem the Naira and strengthens its exchange value in the global market. Inputs from scholarly literature were sought and reviewed around issues such as the working mechanisms of the foreign exchange market, continuous demand and consumption of foreign made goods, and short- and long-term monetary policies. The measures to restore the value of the Naira were then suggested in the paper. Keywords: Exchange rate; Naira fall; Currency Devaluation; Monetary Policy; CBN

Spillover effects of Ruble’s turmoil on foreign exchange markets after the invasion of Ukraine

ABSTRACT Russia’s invasion of Ukraine significantly impacted the global economy. This study examines the asymmetric spillover effects of dramatic fluctuations in the ruble on other currencies when Western countries imposed economic sanctions on Russia. Under the sanctions, the ruble showed not only a large depreciation but also a large appreciation. Using hourly data from late February to mid-March 2022, we explore their effects on 10 major currencies. We find that a large depreciation caused a depreciation in the European currencies. This might reflect the fact that sanctions on Russia damaged European economies, which relied heavily on Russian energy. However, we also find that a large appreciation led to a significant depreciation of the Chinese yuan (CNY) and a significant appreciation of the Swiss franc (CHF). The CNY depreciated by 0.2% and the CHF appreciated by 0.8% when the ruble appreciated by 10%. Noting that a large appreciation occurred because of Russia’s large-scale interventions in the foreign exchange market, this implies that the Russian government defended the ruble at unprecedented scales by selling CNYs and purchasing CHFs. A rise of new bipolarized world currency regimes caused a new spillover effect on economic partners after the invasion.

Safe Haven Currency Attribute of RMB

With the continuous progress of RMB internationalization, RMB has shown the attribute of safe haven currency. This paper discusses the exhibition of RMBs attribute of safe haven currency and the causes behind it in some special risk aversion periods recently by comparing RMB with other major currencies. The process of RMB internationalization has an important impact on the exhibition of RMBs attribute of safe haven currency. Although convertibility and high liquidity are necessary conditions for a safe haven currency, we also see that in some special circumstances, proper control is helpful for enhancing the safe haven currency attribute of RMB.

A virtuous debtor: South Korea in the Eurocurrency market, 1969 – 1984

This article examines the case of South Korea, in which the external private debt management leveraged the symbiosis of the authoritarian regime and the neoliberal policies in a less-developed country. In the pursuit of post-war growthamship, against the meddling of allies with official loans, the military government turned to the Eurocurrency market, an offshore market for major currencies to meet the triple goal of diversifying foreign reserve sources, financing the heavy-chemical industrialization, and underpinning the diplomatic struggle against North Korea. The dependence on the Euro-capital empowered technocrats at the Economic Planning Board to manage the sovereign borrower’s external indebtedness. Against the neo-mercantilist policy, they introduced price stability measures and maintained low debt-service-ratio so as to appease international banks and international financial organizations. Their success enabled the military government to eschew the debt crisis of 1982 and bolstered the legitimacy of the military government. In return, the technocrats resorted to the authoritarian rule to implement market-oriented policies against the labor the neo-mercantilist interests. Drawing on multi-archival sources, this article engages to the burgeoning scholarship on the relations between international banks and authoritarian regimes by analyzing the external debt-driven neoliberal turn in the developing world.

Empirical Study on the Currency Exchange Market. Determinants on the Exchange Rate of the U.S. Dollars and the Japanese Yen by the Regression Analysis.

It is widely known that in the exchange rate market there are three factors influential to determine the currency exchange rate between the related countries in theory; i.e., the interest rate, inflation, and expectation on the exchange rate. This paper aims to find how the exchange rate between U.S. dollar and Japanese Yen, both of which are widely recognized as major currencies in the international financial market, are affected by the four key variables selected here in this paper related to these three factors under the recent inflationary economic environment; i.e., interest rate yield of the two year treasury bond, inflation rate, and the two moving average of the exchange rate to be considered as rational expectation on the movement of the exchange rate. As result it is our discovery that the selected predicator variables have been influential to the daily volatility and monthly movement of the exchange rate of the Japanese Yen /US $ with evidence the two different models of the regression analysis are able to show the exchange rate are significantly correlated with these four key variables and strongly affected by them. Also, over 30-month study period, the interest rate parity or the purchasing power parity did not hold because of the strong US dollar and the continuous increase in interest rate yield during the rapid inflation in the US economy.

Investments: classic instruments of the stock exchange or cryptocurrency

The article is devoted to regular analysis of the advantages and disadvantages of various investment tools, namely investing in classic securities of the world stock market or in cryptocurrencies on different platforms. Note that there is very little research on the chosen topic in the Ukrainian scientific environment, and the need for them is growing every day, since practical actions must be based on a theoretical basis. Technological progress is constantly accelerating, currently most of the world's money is concentrated in electronic accounts and wallets. The purpose of scientific work is to analyze the risks and opportunities caused by the chosen direction of investment. The issue of centralization of capital investments on stock markets and cryptocurrency exchanges is considered. The history of the creation of centralized stock markets and decentralized crypto-platforms is traced. The article analyzes the dynamics of growth of the total amount of shares on the New York Stock Exchange and the dynamics of growth and decline of the price of one bitcoin in recent years. The article also analyzes the changes in the Ukrainian stock exchange over the past three years and explains how the situation has developed in the world and separately in the country affects investment and the state of the main joint-stock companies of Ukraine. The actions that led to the stabilization of the stock exchange after the full-scale invasion of Russia and COVID-19 are considered. The study compared two major currency exchanges: the US New York Stock Exchange and the Binance cryptocurrency exchange. It is also indicated how the world's largest stock and cryptocurrency markets reacted to the state of war in Ukraine and ways to help fight against the aggressor country. The largest fraudulent cyber-thefts on the world's cryptocurrency exchanges are analyzed and the amounts of lost funds in millions of US dollars and in the same crypto-coins that were stolen are indicated. Unlike cryptocurrency exchanges, the article describes that stock exchanges have not been robbed of millions of dollars. A SWOT analysis of the advantages, disadvantages, threats and opportunities of investing in instruments of classic stock exchanges and crypto-platforms was carried out. Comparing all the above-mentioned aspects, conclusions were drawn regarding the reliability of the respective exchange and the investment of monetary units of the subjects in the appropriate direction.

ESTIMASI RISIKO PASAR PADA DATA RETURN KURS HARIAN DENGAN VALUE AT RISK MENGGUNAKAN MODEL–MODEL VOLATILITAS GARCH

Volatility is a critical tool in analyzing financial data. GARCH models are common tools widely use to forecast financial data volatility. This research discusses the measurement of market risk using the Value at Risk volatility model GARCH, IGARCH, and EGARCH for the USD major currency pairs which consist of seven currency pairs with the observation period July 2016 – September 2022. The results of the analysis show that the calculation of returns does not comply with the normal distribution, so the estimation of losses using the normal distribution VaR can be biased, instead this research used student’s t distribution error. The test results show that the IGARCH volatility model at a confidence level of 99% and 95% proves to be valid after the Kupiec test and Conditional Coverage Test are carried out on all tested currencies. Meanwhile, risk measurement using the EGARCH model is invalid on the EUR/USD, USD/CHF and AUD/USD exchange rates. Besides that, risk measurement using the SGARCH model is invalid on the EUR/USD and AUD/USD exchange rates.