US Dollar Exchange Research Articles

Pengaruh Faktor-Faktor Ekonomi Makro terhadap Jakarta Islamic Index (JII) Periode 2010-2019

This study aims to determine and analyze the influence of macroeconomic factors such as Gross Domestic Product (GDP), Inflation Rate, SBI Interest Rate, Rupiah / US Dollar exchange rate on the JII (Jakarta Islamic Index) Stock Price Index on the Indonesia Stock Exchange for the period 2010-2019. This study uses an associative quantitative approach which is intended to examine the relationship and influence between macroeconomic factors variables on the JII stock price index variable. Meanwhile, the analysis method used is multiple linear regression. The results of this study indicate that only the rupiah/US dollar exchange rate has a significant negative effect on the JII stock price index. While macroeconomic factors such as Gross Domestic Product, Inflation Rate, SBI Interest Rate have no significant effect on the JII stock price index.

An Exploration of the Relative Influence of the Determinants of the Mexican Peso - U.S. Dollar Exchange Rate

This article examines the impact over time of the government’s primary balance, remittances, foreign direct investment expectations, and real interest rates on the Mexican peso to US dollar exchange rate between 2003 and 2023, using monthly and quarterly data. An autoregressive distributed lag model with bounds testing and a Granger non-causality test are employed. The results indicate that, although the significance of all variables changes over time, foreign direct investment expectations and the government’s primary balance influence the exchange rate throughout the entire period. Foreign direct investment expectations and remittances exert the most persistent long- and short-run influence, respectively. The evolving significance across time of these determinants implies the need of a dynamic and adaptable policy framework to currency stability in Mexico.

Analisis Determinan Volume Impor Gandum di Indonesia

Wheat is one of the food commodities consumed by the Indonesian people. The need for wheat in Indonesia from year to year tends to increase but is almost entirely met through imports and makes Indonesia one of the world's largest wheat importers. Dependence on food commodities from the import side has a huge risk for national food security because in addition to the increasingly limited foreign exchange owned, there is also uncertainty in terms of quantity and price. The purpose of this study is to find out the factors that affect wheat imports in Indonesia. The variables in this study are foreign exchange reserves, international wheat prices, domestic rice prices, and the US dollar exchange rate. This study uses secondary data with a quantitative approach using 34 data. Data analysis techniques using descriptive statistical analysis and multiple linear regression analysis. The results of this study show 1) Foreign Exchange Reserves, International Wheat Prices, Domestic Rice Prices, and the US Dollar Exchange Rate simultaneously have a positive and significant effect on the Volume of Wheat Imports in Indonesia, 2) Foreign Exchange Reserves partially have a positive and significant effect on the Volume of Wheat Imports in Indonesia, 3) International Wheat Prices partially have a negative and significant effect on the Volume of Wheat Imports in Indonesia, 4) Domestic Rice Prices and the US Dollar Exchange Rate have no significant effect on the Volume of Wheat Imports in Indonesia.

US Dollar Exchange Rate Elasticity of Gold Returns at Different Federal Fund Rate Zones

We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are state-dependent and asymmetric under different market conditions. State dependency hinges on different short-term interest rate zones. To prove this point, we determine three distinct levels or zones of the effective federal funds rate using SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function of log changes in the nominal broad U.S. dollar exchange rate index for each of the obtained zones. Their relationship is consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also implies that gold is a safe-haven asset against the U.S. dollar exchange rate risk against a broad range of currencies. The substitution is weaker in the low-interest rate zone, more robust in the intermediate zone, and very pronounced in the high zone. We also perform a Markov switching test on the double-log function of gold prices and the exchange rate. The tests show a pronounced inverse relationship, i.e., substitution between assets, at normal market conditions. The relationship becomes significantly positive during episodes of financial distress, indicating complementarity between gold and U.S. dollar assets.

Fed Tapering: How Has Feds Announcement of Tapering Affected Consumers and Foreign Economy?

This articles purpose is to investigate the Federal Reserves tapering decision and how it affects consumers behavior and the foreign economy. To generate a prediction of how tapering changes consumers behavior, we recorded the dates that FOMC has made announcements and used them to create a regression analysis with the US treasury yield. To make sure our statistical inference is reliable, we analyzed different types of treasury bonds, which include 1 year, 3 years, 5 years, 10 years, and 30 years. We also utilized the real-interest rate and Chinese Yuan to US dollar exchange rate to analyze the correlation between interest rate and exchange. The purpose is to give a rough understanding of how tapering could affect foreign economy. When we are concluding the analyzed result, a counterintuitive finding appears. When the Fed announces a tapering or tightening decision, we should expect an increase in the interest rate. However, the interest rate decreases whenever the Fed decides to taper. On the other hand, as the interest rate falls, we should expect a depreciation of the dollar and a decrease in the price of Americas goods and services. It shouldve benefited foreign economies, but instead, it worsens them and causes their currencies to further depreciate. Altogether, the results suggested that the Feds tapering decision will change consumers behavior and unavoidably decline other countries' economies.

Environmentally clean and dirty energy equities during extraordinary global conditions

I examine which extraordinary international events coincide with pronounced changes in the equity markets for some of the world’s largest publicly traded suppliers on opposite sides of the global energy mix — oil and environmentally clean energy companies. First, I adapt an intuitively appealing non-parametric filter to empirically timestamp unexpected and prominent increases and decreases in a wide range of global indicators relevant to the international energy market. Then, I use such extraordinary conditions to characterise the performance of oil and environmentally clean energy equities, and their relationships. My findings suggest that jumps in the global stock market, international crude oil market shocks, and the US dollar real effective exchange rate, are the indicators that define the financial landscape during which considerable gains, losses, and instability across both types of energy markets materialise. In contrast, major elevated uncertainties related to geo-political risk and climate policy reflect relative stability in the equities of both oil and environmentally clean energy companies. Although these results imply that both energy assets are potentially lucrative hedging strategies for investors to exploit during heightened geo-political and climate policy uncertainties, clean energy equities offer market participants the option to combine profit maximising and sustainability objectives while minimising global energy security risks.

Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention

Most countries in the world use foreign exchange intervention, but measuring the success of the policy is difficult. By using a narrative approach, I identify interventions when the central bank manages to influence the exchange rate based on pure luck. I separate them from interventions when the central bank actually impacted the exchange rate. Because intervention records are daily aggregates, an intervention might appear to have changed the direction of the exchange rate, when it is more likely to have been caused by market news. This analysis allows to have a better understanding of how successful central bank operations really are. I use new daily data on Bank of England interventions in the 1980 s and 1990 s. Some studies find that interventions work in up to 80 % of cases. Yet, by accounting for intraday market moving news, I find in adverse conditions, the Bank of England managed to influence the exchange rate only in 8 % of cases. I use natural language processing to confirm the validity of the narrative approach. Using lasso and a VAR analysis, I investigate what makes the Bank of England intervene. I find that only movement on the Deutschmark and not US dollar exchange rate made the Bank intervene. Also, I find that interest rate hikes were mostly a tool for currency management and accompanied by large reserve sales.

The Impact of Gross Domestic Products (GDP), US Dollar Exchange Rates and Money Supply on Indonesian Salt Imports From 2003 To 2022

International trade is an important aspect of a country's economy. International trade is the exchange of goods, services, or other factors of production across national borders. One example of international trade is exports and imports. Export and import activities have a close relationship with demand and supply. In this study, we will examine one of the important aspects of international trade, namely imports. Indonesia, as a country that has a wide coastline and a large water area, still needs to import salt from other countries to meet the salt needs in Indonesia itself. Therefore, research will be conducted on salt imports in Indonesia as influenced by Gross Domestic Product, US Dollar Exchange Rate, and Money Supply. In this study, there is a period of twenty years, from 2003 to 2022. The number of observations in this study is eighty because there are four variables with a research data period of twenty years. The objectives of this study are 1) to analyze the effect of GDP, the US Dollar Exchange Rate, and the Amount of Money in Circulation simultaneously on Salt imports in Indonesia in 2003–2022, 2) to analyze the effect of GDP, the US Dollar Exchange Rate, and the Amount of Money in Circulation partially on Salt imports in Indonesia in 2003–2022, and 3) to find out the variables that have the most dominant influence on Salt Imports in Indonesia in 2003–2022. The results of this study show that GDP and the amount of money in circulation have a positive effect on salt imports in Indonesia in 2003–2022, and the US dollar exchange rate has a negative effect on salt imports in Indonesia. Gross Domestic Product has the most dominant influence on the Salt Import variable, among other variables.

Turkey Paper and Paper Products Sector Import Forecasting with Artificial Neural Networks

The paper and paper products sector is a crucial component of the Turkish economy, characterized by significant interactions with various other sectors. Türkiye imports substantial amounts of paper, playing a vital role in the growth and sustainability of this sector. Accurate import forecasting is essential for strategic planning and resource management. This study aims to forecast the imports of the Turkish paper sector for the period from April 2023 to March 2024 using two artificial neural network (ANN) models: Multilayer Perceptron (MLP) and Radial Basis Function (RBF). The dataset, obtained from the Turkish Statistical Institute (TurkStat), covers 219 months of data from 2005 to 2023. The dependent variable is Türkiye’s monthly import value of paper and paper products, while the independent variables include the monthly average US Dollar exchange rate, monthly imports of Türkiye, the Manufacturing Industry Production Index, the Paper Production Index, and the monthly exports of paper and paper products from Türkiye. The MLP model forecasts that the monthly imports of paper and paper products will range between 270 to 300 million USD, while the RBF model predicts values between 268 and 321 million USD. These findings underscore the efficacy of ANNs in providing accurate and reliable forecasts. This study addresses a gap in the literature by applying ANN methods to forecast imports in the paper and paper products sector, presenting a novel approach that can assist companies in making better-informed decisions regarding inventory management, production planning, and marketing strategies. By leveraging the advanced computational power and pattern recognition capabilities of ANNs, the study aims to enhance the strategic planning processes in the paper and paper products industry. The traditional methods often used in trade data analysis and forecasting are limited in capturing the complex and non-linear relationships present in economic data. This study's application of ANNs offers a significant advancement by utilizing models that can better handle such complexities. The accuracy of the MLP and RBF models highlights their potential as valuable tools for economic forecasting, providing insights that are crucial for optimizing supply chain operations and improving market responsiveness. The results indicate that companies can achieve better operational performance and increased customer satisfaction by effectively forecasting future import requirements. The originality of this study lies in its methodological approach, utilizing ANN models to forecast import values in a sector where traditional methods have been predominant. This innovative approach not only contributes to the existing body of knowledge but also offers practical applications for businesses within the sector. The detailed analysis of the data, combined with the robust modeling techniques employed, provides a comprehensive framework for understanding the dynamics of paper imports and making strategic decisions based on accurate predictions. In conclusion, the study demonstrates the significant success of artificial neural networks in predicting import values for the Turkish paper and paper products sector. The findings provide valuable information that can aid companies in strategic planning, enhancing their ability to manage inventory, plan production, and develop effective market strategies. The research contributes to the literature by filling a gap with its innovative approach, offering new perspectives and practical applications for improving decision-making processes in the industry.

IMPACT OF FED RATE ON US DOLLAR - INDIAN RUPEE EXCHANGE RATE

Through this study, we attempt to understand the dynamics of Indian Rupee fluctuations against US Dollar that have been caused by the fluctuations in the Fed Rate. We tried to understand how the Fed Rate influence the Indian rupee - US Dollar exchange rate movements. After research work done via secondary method, we have observed that factors like differential interest rate, differential inflation rate, differential money supply in both the markets, differential output growth rate of both the countries, among others, are important factors which impact the fluctuation in the fed rate that accounts for approximately 91% variance of the Dollar-Rupee exchange rates and explain the exchange rate dynamics to a large extent. A few factors that were earlier considered to be important are not as significant as expected.

Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar

This paper analyzes the realized volatility and jumps of five-minute returns for the Korean won–US dollar exchange rate from June 2010 to April 2021. If standard normal distributed jump statistics are used, the jump probabilities of Korean won–US dollar are lower when jump occurrences are frequent, and the jump returns for Korean won–US dollar will be considerably underestimated. However, if we utilize maximum outlying jump statistics, the jump probabilities of Korean won–US dollar are much higher. Furthermore, if we include periodicity filters such as median absolute deviation (MAD), shortest half scale (ShortH), and weighted standard deviation (WSD) in the maximum outlying jump statistics, the five-minute returns of Korean won–US dollar have considerably lower jump probabilities. Thus, the jump probabilities of Korean won–US dollar returns depend on whether standard normal distributed jump statistics or outlying jump statistics are used with periodicity filters such as MAD, ShortH, and WSD, in jump periods. Therefore, outlying jump statistics with periodicity filters such as ShortH and WSD ought to be used to obtain more consistent jumps probabilities for volatility and frequent jumps in the foreign exchange rate returns of 2010–2021.

Capital Market Reaction to the Strengthening of the Rupiah Exchange Rate against the US Dollar Exchange Rate

The purpose of this study is to analyze the response of Indonesian capital markets to differences in average abnormal returns and average trading volume activity before and after the strengthening of the IDR/USD exchange rate. This study is a quantitative study using the event study method. The sample used consists of the stocks included in the LQ45 index. the most active stocks with a large daily trading volume. Hypothesis testing and paired t-test. The results of the hypothesis test show that: there is no significant difference in the average abnormal returns before and after the strengthening of the rupiah against the US dollar because are sig. (2-tailed) value of 0.417 > 0.05; there is no significant difference in the average trading volume activity before and after the strengthening of the rupiah against the US dollar because sig. (2-tailed) value of 0.080 >0.05. Keyword: Market Reaction; Event Study; Abnormal Return; Trading Volume Activity; Exchange Rate

Analisis Pengaruh Nilai Tukar Dolar Amerika Serikat, Inflasi, Dan Produksi Terhadap Ekspor Ikan Hias Provinsi Jawa Timur

This study aims to determine and analyze the effect of the United States dollar exchange rate, inflation, and production on ornamental fish exports in East Java province. The researchers' strategy for this study is quantitative research, and they use statistical formulas to aid in the analysis of the data and information collected. The information used in this study is a subset of secondary data collected from organizations or organizations related to it and then reprocessed. The Central Bureau of Statistics of East Java and the Ministry of Marine Affairs and Fisheries are the organizations involved in this research. The Ministry of Marine Affairs and Fisheries of East Java and the Central Bureau of Statistics are the organizations involved in this research. Documentation, or finding information about a subject or variable in the form of notes, books, papers or articles, journals, etc., is a strategy used to collect data for the study. Ordinary Least Squares (OLS) conducted using SPSS software is an analytical technique used to assess the impact of the US dollar exchange rate, inflation, and production on ornamental fish exports in East Java Province. The results of this study show that the BLUE test conducted on export variables has no correlation, statistical analysis shows that simultaneously exchange rate variables, inflation, production affect ornamental fish exports, partial analysis reveals that exchange rates have little influence on ornamental fish exports, partial analysis shows that ornamental fish exports are significantly positively affected by inflation. Partial analysis on ornamental fish production has a significant impact on ornamental fish exports.

Финансовое заражение российского фондового рынка от европейского в период пандемии COVID-19

This paper investigates the transmission of financial contagion from the European to the Russian stock market during the COVID-19 pandemic. Financial contagion refers to the spread of instability and shocks across individual countries, sectors, or markets during a crisis, where the relationship between returns and volatility of different assets goes beyond normal interactions. Using the construction of extended autoregressive models, we test the contagion of the RTSI composite index from the EURO STOXX 50 index, with the US dollar exchange rate and the spot price of Urals crude oil serving as control variables. The calculation of the moving coefficient of variation in assets prices allows us to distinguish the pre-crisis, crisis and post-crisis periods, for which three separate autoregressive models are built. The contagion of the Russian stock market from the European stock market in these models is identified in two ways: 1) based on the growth and significance of estimated coefficient for the tested variable (STOXX 50 index return) during the crisis; 2) through an increase in the contribution of the tested variable to the explained variance of the dependent variable (RTSI return). In addition, we tested contagion based on the method of central co-moments of the distribution of returns, skewness and volatility of the tested and dependent variable. The analysis has convincingly demonstrated the existence of a financial contagion effect from the European stock market to the Russian stock market in the short term — strengthening of the impact of the European STOXX 50 index on the Russian RTSI index in the acute phase of the pandemic. Understanding the factors contributing to the spread of market shocks in the context of financial globalization can help policymakers to implement effective financial regulatory measures and maintain long-term financial stability in line with national interests. For investors, it helps to identify potential risks and opportunities, enabling optimal hedging and diversification response strategies.

Revenue Dependence Analysis of the Domestic and Foreign Manufacturers of Goods in the Field of Information and Communication Services on the Rate of Foreign Currency

Payments for goods and services between Russian consumers and foreign suppliers are made in US currency. Dollar to ruble exchange rate is constantly changing, that creates difficulties in forecast estimates of trade transactions and affects the competitiveness of domestic producers. In this paper, the authors built regression models and determined the closeness of the relationship between the US dollar exchange rate and the revenue of foreign and domestic producers of goods in the field of information and communication services in order to compare the terms of trade and assess the competitiveness of domestic producers. As a result, of the study, it was found that the revenue of foreign companies, manufacturers of goods in the field of information and communication services directly depends on the US dollar rate. On the contrary, the US dollar exchange rate is an insignificant factor for the revenue of domestic companies. This distribution makes trade conditions unequal and jeopardizes the competitiveness of the domestic producer. The conducted studies indicate the need to increase the real level of the weighted average rate of import customs duty to the optimal size, since only at the optimal level of the analyzed rate, domestic companies will be able to be in equal economic conditions.

ANALYSIS OF FACTORS AFFECTING THE DEMAND FOR MONEY IN INDONESIA

Demand for money is defined as people's tendency to save money for various purposes, such as transactions, anticipation, and speculation. Many factors related to economic, social, political and psychological conditions influence the demand for money. This research aims to evaluate the impact of various variables on money demand in Indonesia from 2018 to 2023. This research uses an Error Correction Model (ECM), which can measure short-term and long-term correlations between the variables studied. The money supply (M2) is the dependent variable of this research, and the independent variables are interest rates, inflation and the US dollar exchange rate against the rupiah. The results show that except for inflation, all independent variables influence money demand significantly in the long run. In the short term, only the rupiah exchange rate has a significant influence on the demand for money.

Application of deep learning algorithms in predicting the exchange rate of Chinese yuan against the US dollar

This paper mainly studies the feasibility of using deep learning algorithms to predict the exchange rate between the Chinese yuan and the US dollar. Firstly, this study chooses the Long Short Term Memory Network (LSTM) as the main algorithm, which is a deep learning model suitable for processing time series data. Then, the study collects a large amount of data, including historical exchange rate data, macroeconomic indicators, and political events that may affect exchange rates. These data provide sufficient information for the model to learn and predict exchange rate fluctuations. The study found that the deep learning model can accurately predict the volatility of the RMB US dollar exchange rate by contrasting the calculated results of the pattern with effective exchange rate record, and its predicted results have high stability. Deep learning has great potential in the field of exchange rate forecasting, providing more accurate predictive information for financial transactions.

Extension and Revision of Monetary Policy Transmission Mechanisms and Domestic Real Investment in Nigeria: A Time Series Study Between 1981-2015 by Lucky Anyike Lucky & Uzah Cheta Kingsley.

The study by Lucky Anyike and Uzah Cheta Kingsley examines the impact of monetary policy on domestic real investment in Nigeria, using Gross Fixed Capital Formation to Gross Domestic Product ratio as a proxy for domestic real investment. The study uses various independent variables, including the maximum lending rate, credit to private sector as a percentage of GDP, naira to US dollar exchange rate, savings rate, monetary policy rate, prime lending rate, and Treasury bill rate. The authors conclude that monetary policy has a significant effect on the domestic real investment rate. The extension of this paper examines the impact of both monetary and fiscal policy on domestic real investment in Nigeria, while also considering the influence of political biases and the fact that a significant portion of fiscal policy spending may be allocated to current expenditures rather than capital expenditures. While mainstream economic theory suggests that fiscal policy should have a positive effect on real investment rate, this theory may be challenged in Nigeria due to the specific context and allocation of fiscal resources. We also examine the effect of monetary policy on domestic real investment rate in Nigeria by incorporating additional variables in our analysis.

What causes US equity market sector volatilities during the coronavirus pandemic?

ABSTRACT This paper seeks to identify key variables contributing to sectoral stock market volatilities in the US under the enduring pressure of the COVID-19 pandemic, using a broad array of candidate factors. We adopt a Beta-Skew-t-EGARCH model to capture the time-varying dynamics of the individual sectoral return volatilities. The empirical analysis is performed via an elastic-net regularized regression model. We find that trading volume, volatility of broad US dollar exchange rates, coronavirus infection rates, VIX, Google search trends, US economic policy uncertainty, and the initiation of vaccination programmes are the most common determinants of sectoral volatility.

Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate

This study examines the time-varying effects of uncertainty shocks identified using the external instrument method on the broad-based movement of commodity returns since the early 1990s. We employ a vector autoregression augmented dynamic factor model with time-varying parameters and stochastic volatility to extract a common factor from 43 commodity returns. We find that uncertainty shocks reduce commodity returns across the board through this common factor and that their effects vary significantly over time, with a tendency to grow much stronger during recessions. Furthermore, uncertainty shocks often lead to dollar appreciation, so they can potentially account for the seemingly negative correlation between commodity returns and strength of the US dollar.