Exchange Rate Sensitivity Research Articles

Exploring exchange rate sensitivity to crude oil futures: A study of selected global economies

Exploring exchange rate sensitivity to crude oil futures: A study of selected global economies

The Effect of Exchange Rates, Profitability and Solvency on Stock Prices: Mediated Effect of Dividend Policy (Study on Registered Consumer Goods Companies on the Indonesian Stock Exchange)

The share price of consumer goods companies listed on the Indonesia Stock Exchange fluctuated, which caused investors to experience difficulties investing in the capital market. A dividend policy is a policy in making decisions to distribute profits as dividends or withhold profits for business development; This is difficult for many company managers to do. This study aims to test and prove empirically the effect of exchange rates, interest rates, profitability, and solvency on stock prices mediated by dividend policy. This study uses a quantitative approach with a sample of consumer goods companies listed on the Indonesia Stock Exchange. The number of observations is 14 companies, with a research period of 5 years (2016-2020). Sampling using a purposive sampling method. Analysis of research data using multiple linear regression methods and path analysis. The study results show that solvency does not significantly affect stock prices directly or through dividend policy. In contrast, profitability significantly affects stock prices directly and through dividend policy. The results of the same test also show that the exchange rate measured using exchange rate sensitivity has a significant effect on the share price of consumer goods companies.

DYNAMICS OF OPTIMUM MONETARY POLICY IN A SMALL OPEN-ECONOMY: A NEW-KEYNESIAN DSGE MODEL FOR TURKISH ECONOMY

The purpose of this paper is to investigate the sources of business cycle fluctuations in a small open economy (SOE) using dynamic stochastic general equilibrium (DSGE) models and to assess the path of optimal policy decisions taken by the Central Bank of the Republic of Turkey (CBRT). To that purpose, the SOE-DSGE model is estimated using the Bayesian technique with Turkish data spanning the quarters 2003Q2–2020Q1. Based on the estimated model, the study finds that the explanatory power of the SOE-DSGE model for household, firm and central bank behavior decreases when consumer habit formation, price indexation and exchange rate sensitivity are included. Furthermore, technology, preferences, and risk premium shocks all have a significant impact on the Turkish economy. The CBRT, on the other hand, was principally concerned with price stabilization, interest rate smoothing, output and output growth stabilization, and nominal exchange rate stabilization, respectively. More importantly, the optimal monetary policy function implies that output growth should be better stabilized if exchange rate sensitivity target is ignored.

EFFECT OF EXCHANGE RATES, INTEREST RATES, PROFITABILITY, AND SOLVENCY ON STOCK PRICES MEDIATED BY DIVIDEND POLICY

The stock price of manufacturing companies listed on the Indonesia Stock Exchange fluctuates. It causes investors to experience difficulties in making investments in the stock market. A dividend policy is a policy in making decisions to distribute profits as dividends or withhold profits for business development. It is difficult for many company managers. This study examines and proves the effect of exchange rates, interest rates, profitability, and solvency on stock prices mediated by dividend policy. This study uses a quantitative approach with a sample of manufacturing companies listed on the Indonesia Stock Exchange. The number of observations was eight companies, with a research period of 4 years (2016-2019). Sampling using a purposive sampling method. Analysis of research data using multiple linear regression methods and path analysis. The results showed that solvency directly affects stock prices through dividend policy, while profitability only affects stock prices. The same test results also show that the exchange rate measured using exchange rate sensitivity and interest rates measured using interest rate sensitivity cannot influence the stock price of manufacturing companies. This study supports the signaling theory regarding the direct and indirect effects that lead to the company’s stock price. Measuring financial ratios can help companies to decide on dividend policies. Company managers must manage the company’s profitability and solvency appropriately to achieve the goals for shareholders’ welfare.

Amide proton transfer imaging in stroke.

Amide proton transfer (APT) imaging, a variant of chemical exchange saturation transfer MRI, has shown promise in detecting ischemic tissue acidosis following impaired aerobic metabolism in animal models and in human stroke patients due to the sensitivity of the amide proton exchange rate to changes in pH within the physiological range. Recent studies have demonstrated the possibility of using APT-MRI to detect acidosis of the ischemic penumbra, enabling the assessment of stroke severity and risk of progression, monitoring of treatment progress, and prognostication of clinical outcome. This paper reviews current APT imaging methods actively used in ischemic stroke research and explores the clinical aspects of ischemic stroke and future applications for these methods.

SENSITIVITY OF EXCHANGE RATE TO CBN MONETARY POLICY COMMUNICATIONS 2010-2020

Over the last decade, central bank communication has become an increasingly essential policy instrument for monetary authorities. This is due to the significant impact that central bank communication has on economic agents' expectations and, as a result, their economic decision-making. This study therefore investigated the sensitivity of Exchange rate to MPC communication from 1st January, 2010 to 30th June, 2020 series of test were carryout and EGARCH was chosen as the appropriate techniques in which dummy variable was used to capture the meeting days in the variance equation. Data of monetary policy were sourced from CBN website. The results of an EGARCH model show that the communications between central bank and the money market are considerably informative and therefore assist to reduce market ‘Exchange rates' volatility. The study has so concluded that the Communication from the Central Bank in Nigeria has an impact on the desired direction of Exchange. One policy implication of this conclusion is that it is clear enough about the desired policy orientation for the future that CBN communique substance of MPC meetings will guide the market in the proper way. This is consistent with the recognized literature, that if a central bank opens the foundations for monetary policy implementation up to the markets, it raises the odds of controlling agents' expectations. Therefor the study recommends that the meeting should be sustained.

Exchange Rate Sensitivity and the Net Foreign Asset Composition

AbstractMany currencies, especially from countries with negative net foreign assets, depreciate during financial turbulence. Using a panel of 26 currencies for the period April 2002 to December 2019, I show that the net foreign asset composition is related to the exchange rate sensitivity to global financial market uncertainty changes. Net foreign debt is associated with a higher sensitivity, whereas net equity and FDI are not. Ownership matters too, as this association is stronger for private net liabilities. In emerging markets, this vulnerability arises from net other investments, while G10 currencies are more sensitive the more private net portfolio debt the countries have.

Low duty cycle pulse trains for exchange rate insensitive chemical exchange saturation transfer MRI.

To introduce and validate a pulse scheme that uses low duty cycle trains of π-pulses to achieve saturation that is relatively insensitive to exchange rate yet linearly dependent on labile proton concentration. Simulations were performed to explore the exchange rate sensitivity of π-pulse trains and continuous wave chemical exchange saturation transfer (CEST) signals. Creatine phantoms with varying pH and varying concentrations were imaged to demonstrate pH insensitivity and concentration dependence of low duty cycle π-pulse saturation. Simulations show decreasing the duty cycle of π-pulse saturation decreases peak sensitivity to exchange rate, and this range of insensitivity can be tuned to different exchange rates through average B1 power. The range of insensitivity is unaffected by changes in relaxation and magnetization transfer, while the sensitivity of CEST signal maintains linear dependence on labile proton concentration. Under B1,avg = 0.48 μT, 30mM creatine with pHs ranging between 6.36 and 8.21 exhibited CEST contrast ranging between ~6 and 11% under continuous wave and ~4% across all pHs using 10% duty cycle π-pulses. Imaging these phantoms using duty cycles of 5, 10, 25, and 50% showed decreasing pH sensitivity with decreased duty cycle. Creatine phantoms with varied concentrations and pHs reveal that π-pulse train saturation exhibited stricter correlation to concentration at lower DCs. Low DC π-pulse train is an easy-to-implement way of providing labile proton concentration-dependent CEST MRI signal that is insensitive to exchange rate. This approach can be useful in studies where a change of chemical exchange rate may interfere with accurate assessments of physiology or pathology.

The Effects Of Exchange Rate And Interest Sensitivity, Managerial Ownership, And Institutional Ownership On Financial Distress

Financial distress is a situation where a company is unable to repay debts that are past due, both short-term debt and long-term debt. So that it can cause the company's operational activities to be disrupted and bankrupt. This study examines the effect of exchange rate sensitivity, interest rate sensitivity, managerial ownership, and institutional ownership on financial distress. The population in this study are all manufacturing companies listed on the Indonesia Stock Exchange from 2016 to 2018. From this population, this research used 62 manufacturing companies listed on the Indonesia Stock Exchange in the 2016-2018 period as samples. This research uses a logistic regression analysis method. The results showed that the variable of exchange rate sensitivity has a significant negative effect on financial distress. Interest rate sensitivity has a significant positive impact on financial distress, managerial ownership has no significant positive effect on financial distress, and institutional ownership has no significant positive effect on financial distress. This shows that companies need to pay attention to exchange rate sensitivity and interest rate sensitivity because of the higher the sensitivity level, the worse it will have on the company.

THE EFFECTS OF EXCHANGE RATE AND INTEREST SENSITIVITY, MANAGERIAL OWNERSHIP, AND INSTITUTIONAL OWNERSHIP ON FINANCIAL DISTRESS

Financial distress is a situation where a company is unable to repay debts that are past due, both short-term debt and long-term debt. So that it can cause the company's operational activities to be disrupted and bankrupt. This study examines the effect of exchange rate sensitivity, interest rate sensitivity, managerial ownership, and institutional ownership on financial distress. The population in this study are all manufacturing companies listed on the Indonesia Stock Exchange from 2016 to 2018. From this population, this research used 62 manufacturing companies listed on the Indonesia Stock Exchange in the 2016-2018 period as samples. This research uses a logistic regression analysis method. The results showed that the variable of exchange rate sensitivity has a significant negative effect on financial distress. Interest rate sensitivity has a significant positive impact on financial distress, managerial ownership has no significant positive effect on financial distress, and institutional ownership has no significant positive effect on financial distress. This shows that companies need to pay attention to exchange rate sensitivity and interest rate sensitivity because of the higher the sensitivity level, the worse it will have on the company.

An Analyses of Exchange Rate Volatility: A Case of Sane Countries

The sensitivity of exchange rate to an economy has made the study of its volatility essential and that motivated this study in SANE countries. Using GARCH models under different error distributions and monthly data spanning a period of 2016-2020, findings of our study show that exchange rate is volatile in each of the countries sampled. We also found that while some models in each country exhibit mean reversion, others show none mean reversion. The asymmetric parameters of the models show that exchange rate volatility in SANE countries exhibits both positive and negative shocks. Finally, our findings show that other error distributions perform better than the traditional Normal distribution. We therefore recommend that monetary authorities in each of the SANE countries should fine tune their policies on exchange rate to ensure stable and realistic exchange rate regimes which do not hurt the macroeconomic environment. We also suggest that in modelling exchange rate volatility, each country should explore several error distributions so as to avoid biased outcomes.

Portfolio Balance Approach to Asymmetries, Structural Breaks and Financial Crisis: Testing a Model for Nigeria

This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September 1997 to September 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the impact of the 2008 global financial crisis on the PBT to determine its stability after the crisis. The full sample results show that the PBT holds for Nigeria and asymmetries and structural breaks matter in the nexus between stock price and exchange rate. However, the impact of stock price on exchange rate diminished in the long-run with the advent of the 2008 global financial crisis, thus eroding the relative consistency of the PBT after the crisis. The sensitivity of the Nigerian exchange rate to stock price changes calls for the strengthening of the stock market performance through relevant policies including the enhancement of portfolio diversification and risk-hedging assets. The role of asymmetries should not also be jettisoned in predicting exchange rate with stock prices to obtain accurate forecast results.

The Analysis of Fundamental Variables and Macro Economic Variables in Predicting Financial Distress

Financial distress is a condition where the company is experiencing financial difficulties prior to bankruptcy. This study aims to identify and explain the influence of the fundamental variables and macroeconomic variables in predicting the probability of financial distress. Based on the eight variables used, current ratio, debt to assets ratio, return on equity and total asset turnover ratio is a fundamental variable. While the sensitivity of inflation, exchange rate sensitivity and interest rate sensitivity included in macroeconomic variables. The population in this study are all porperti and real estate company listed on the Stock Exchange in 2014-2018. The sample selection using purposive sampling technique, acquired 23 companies in the sample with the five companies in the category of financial distress and 18 companies in the category of non financial distress. The analytical method used is logistic regression and sensitivity analysis. The results showed that the variable current ratio, debt to assets ratio, total asset turnover ratio, inflation sesnitivity, exchange rate sensitivity and interest rate sensitivity did not significantly affect the probability of financial distress. While return on equity significantly negative influence on the company’s financial distress.

Asymmetric Exchange Rate Effects on Cross-Border Freight Flows between the United States and Canada

This paper investigates possible asymmetric influences of the exchange rate on cross-border freight flows between the U.S.A. and Canada. Linear and nonlinear autoregressive distributed lag models are used to test for the existence of long-run asymmetric effects of 1) currency appreciation and depreciation and 2) exchange rate volatility changes on trade flows by truck, rail, air, vessel, and pipeline. This paper provides evidence that both currency value and exchange rate volatility affect the U.S.–Canada freight flows in an asymmetric manner. The long-run results of the nonlinear models show that exchange rate is found to be significantly associated with the bilateral trade flows between the U.S.A. and Canada. Exchange rate volatility tends to be significantly associated with trade flows in the nonlinear models, while its effects are insignificant in most cases in the linear models. These findings suggest that the conventional linear specification may mislead the asymmetric effects of exchange rate uncertainty on cross-border freight flows. It is also found that exchange rate sensitivities of U.S.–Canada trade flows by transport mode can differ significantly from those of aggregate trade flows. The information derived from disaggregate trade data can be useful for traders and shippers to develop a long-term strategic plan for infrastructure investment and service expansion.

PREDIKSI FINANCIAL DISTRESS : RASIO KEUANGAN DAN SENSITIVITAS MAKROEKONOMI PERUSAHAAN SEKTOR PRIMER

ABSTRACTThe objective of this research is to analyze the ability of macroeconomic proxied by the sensitivity of exchange rate and interest rate, and the ability of financial ratios proxied by current ratio (CR); return on assets (ROA); total asset turnover (TATO); debt to asset ratio (DAR); and sales growth (GROWTH), in predicting financial distress in primary sector companies in Indonesia. The population was 42 primary sector companies in Indonesia from the agricultural sector and mining sector listed on the Indonesia Stock Exchange. By employing a purposive sampling technique, the sample consisted of 39 companies, i.e., 9 agricultural companies and 30 mining companies in the 10 years range of the study from 2008 to 2018. Data were analyzed using logistic regression analysis. Results showed that ROA and DAR variables can be used to predict a company's financial distress. However, the exchange rate variable proxied by exchange rate sensitivity, interest rate variable proxied by interest rate sensitivity, CR, TATO, and GROWTH cannot be used to predict financial distress.Keywords: financial distress, financial ratio, and sensitivity of macroeconomc

환율과 경상수지의 구조적 변화와 정책방향 (Structural Factors Behind Foreign Exchange Rate and Current Account Balances and Policy Directions)

환율과 경상수지의 구조적 변화와 정책방향 (Structural Factors Behind Foreign Exchange Rate and Current Account Balances and Policy Directions)

Sensitivitas Makroekonomi dan Moneter Terhadap IHSG

This study aims to examine the sensitivity of the dollar exchange rate of the dollar (USD), inflation rate, SBI and the money supply against the Composite Stock Price Index. The study sample used Monthly data in the period January 1, 2008 to January 1, 2018, which data was obtained from the monthly report of Bank Indonesia. The research method used is a quantitative approach, namely Error Correction Model (ECM) with E-Views software. The results showed that the dollar (USD) exchange rate was sensitive to the Composite Stock Price Index, SBI was not sensitive to the Composite Stock Price Index, the money supply was sensitive to the Composite Stock Price Index and the inflation rate was sensitive to the Composite Stock Price Index DOI: https://doi.org/10.26905/afr.v2i1.3018

Practical Applications of For Style Factors, One Size Does Not Fit All

Practical Applications Summary In For Style Factors, One Size Does Not Fit All, from the Winter 2017 issue of the Journal of Investing, Melissa R. Brown (of Axioma) argues that investment managers who use factors to generate alpha should consider those factors’ performance across time and geographic location to determine the appropriateness of the associated risk. Not all factors are compensated over time, and risk-only factors (e.g., leverage, liquidity, and exchange rate sensitivity) can add significant risk to a portfolio. Brown draws on annualized returns for several major factors from 1999 through 2016 in the United States, Europe, and Japan to illustrate the wide variety in factor returns over time and region. Ultimately, she argues that one size does not fit all in factor investing; investors must first define their goals before selecting factors to include in their portfolios. TOPICS:Analysis of individual factors/risk premia, portfolio construction

Exponential Scaling of Water Exchange Rates with Ion Interaction Strength from the Perspective of Dynamic Facilitation Theory.

Water exchange reactions around ionic solutes are ubiquitous in aqueous solution-phase chemistry. However, the extreme sensitivity of exchange rates to perturbations in the chemistry of an ionic solute is not well understood. We examine water exchange around model ions within the language of dynamic facilitation theory, typically used to describe glassy and other systems with collective, facilitated dynamics. Through the development of a coarse-grained, kinetically constrained lattice model of water exchange, we show that the time scale for water exchange scales exponentially with the strength of the solute-solvent interactions.

EXCHANGE RATE AND STOCK PRICES INTERACTIONS IN KAZAKHSTAN

This study employs a sample from 1st October, 2007 to 31st December, 2017 from Kazakhstan Stock Exchange (KASE) to investigate the nature of the interaction between exchange rate sensitivity and stock market. First, we test the stationarity of time series using the ADF and PP tests. Additionally, the Johansen and Juselius cointegration procedures were employed for the bivariate as well as multivariate cases. Results of research demonstrated stationarity in differences of the time series and absence of long-run relationship between the variables in bivariate model. When the model is extended to incorporate money supply and reserves, results detect the evidence of cointegration. Moreover, Granger causality tests demonstrate strong bidirectional relationship between exchange rate and stock prices in Kazakhstan. Policy wise, the results suggest that monetary authorities in Kazakhstan in achieving their exchange rate policy objective could take into consideration stock market development.