Exploring dynamic connectedness between energy and the forex market during global double shock: a wavelet analysis

Since it is one of the world's most significant financial markets, the foreign exchange (Forex) market has attracted a large number of investors. Accurately anticipating the forex trend has remained a popular but difficult issue to aid Forex traders' trading decisions. It is always a question of how precise a Forex prediction can be because of the market's tremendous complexity. The fast advancement of machine learning in recent decades has allowed artificial neural networks to be effectively adapted to several areas, including the Forex market. As a result, a slew of research articles aimed at improving the accuracy of currency forecasting has been released. The Long Short-Term Memory (LSTM) neural network, which is a special kind of artificial neural network developed exclusively for time series data analysis, is frequently used. Due to its high learning capacity, the LSTM neural network is increasingly being utilized to predict advanced Forex trading based on previous data. This model, on the other hand, can be improved by stacking it. The goal of this study is to choose a dataset using the Hurst exponent, then use a two-layer stacked Long Short-Term Memory (TLS-LSTM) neural network to forecast the trend and conduct a correlation analysis. The Hurst exponent (h) was used to determine the predictability of the Australian Dollar and United States Dollar (AUD/USD) dataset. TLS-LSTM algorithm is presented to improve the accuracy of Forex trend prediction of Australian Dollar and United States Dollar (AUD/USD). A correlation study was performed between the AUD/USD, the Euro and the Australian Dollar (EUR/AUD), and the Australian Dollar and the Japanese Yen (AUD/JPY) to see how AUD/USD movement affects EUR/AUD and AUD/JPY. The model was compared with Single-Layer Long Short-Term (SL-LSTM), Multilayer Perceptron (MLP), and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise–Improved Firefly Algorithm Long Short-Term Memory. Based on the evaluation metrics Mean Square Error (MSE), Root Mean Square Error, and Mean Absolute Error, the suggested TLS-LSTM, whose data selection is based on the Hurst exponent (h) value of 0.6026, outperforms SL-LSTM, MLP, and CEEMDAN-IFALSTM. The correlation analysis conducted shows both positive and negative relations between AUD/USD, EUR/AUD, and AUD/JPY which means that a change in AUD/USD will affect EUR/AUD and AUD/JPY as recorded depending on the magnitude of the correlation coefficient (r).

The model proposed in this paper, is a hybridization of fuzzy neural network (FNN) and a functional link neural system for currency exchange rate prediction. The TSK-type feedforward fuzzy neural network does not take the full advantage of the use of the fuzzy rule base in accurate input-output mapping and hence a hybrid model is developed using the functional link neural network (FLANN) to construct the consequent part of the fuzzy rules. The FLANN model is used to provide an expanded nonlinear transformation to the input space thereby increasing its dimension which will be adequate to capture the nonlinearities and chaotic variations in the currency exchange time series. Further hybridizing it with Fuzzy neural network will result in a significant accuracy in day ahead currency exchange rate prediction. Currency exchange rates between US Dollar (USD) and other four currencies such as Australian Dollar (AUD), Indian Rupee (INR), Japanese Yen (JPY), and Canadian Dollar (CAD) datasets are used to validate the efficacy of the proposed FLFNN.

In recent years, China has been gradually improving its international status. As far as monetary policy is concerned, China has been gradually promoting the internationalization of the RMB, aiming to reduce its dependence on the international financial market dominated by the US dollar and reduce the impact of the Federal Reserve's political measures on the domestic economy. Under the influence of global economic and financial market factors such as COVID-19, the international financial system dominated by the US dollar is unstable and dangerous, and the international financial system has become more volatile. In contrast, the implementation of this measure will have an impact on some international financial transactions, such as stock market price fluctuations, commodity prices and foreign exchange transactions. For a long time, the oil price has been dominated by the US dollar due to the linkage between the US dollar and oil, and has increased with the appreciation of the US dollar. However, the process of people's internationalization affected the oil price by changing this traditional logic and impacted the global status of the US dollar, thus reducing the oil price by triggering the decline of the US dollar. This paper would like to focus on elaborating the influence of RMB internationalization on international crude oil price fluctuation.

AimBody mass index (BMI) in Japan has increased over the past decades, leading to corresponding increases in the risks of complications such as type 2 diabetes (T2D). We modelled the impact of weight loss on the incidence of 10 specific complications and resulting healthcare costs in a Japanese cohort.Materials and MethodsWe adapted our value of weight loss simulation model to represent a cohort of 100,000 Japanese individuals aged 20–69 years with a BMI of 25–50 kg/m2. Complication prevalence data were from the Medical Data Vision electronic health record database, and costs were identified using a targeted literature review and the IQVIA claims database. The impact of weight loss was modelled from 2024 to 2029.ResultsTotal estimated direct medical costs associated with complications were 171.7 million US dollars (USD) or 25.6 billion Japanese yen (JPY) in 2024, projected to increase to 234.9 million USD (35.1 billion JPY) by 2029. A 10% or 15% lower weight across the population was estimated to be associated with a lower incidence of all complications, particularly sleep apnoea, T2D and hypertension. The resulting estimated cumulative cost reductions amounted to 34.6 million USD (5.2 billion JPY) for a 10% weight loss and 47.7 million USD (7.1 billion JPY) for a 15% weight loss over 5 years, largely arising from reductions in T2D.ConclusionsWeight loss in the Japanese population has the potential to drive major reductions in healthcare costs via prevention of complications associated with higher BMI and consequent reductions in costs associated with these complications. Greater weight loss is likely to be associated with greater cost reductions. Our analysis highlights the importance of prompt weight management support for people living with obesity.

The gross domestic product of Russia, expressed in US dollars, indicates problems in the Russian economy associated with the decline in oil prices on the world energy market and the consequences of the sanctions of the United States and the European Union against Russia. The crisis situation of the Russian economy has a negative impact on the income of the population of country, represented mainly by wages. However, an economist or investor may be optimistic about Russian economic development in the medium term. This optimism is related to the economic policy of the United States. The expansion of the United States economy within the global space, based on economic growth, requires maintaining inflation within the target level and weakening the US dollar. These tasks are solved with the help of soft monetary policy of the US Federal Reserve System. The reduction of interest rates by the US Federal Reserve System against the background of inflation of the target level and the devaluation of the US dollar will contribute to economic growth in the United States, because it will lead to the depreciation of public debt, lower consumption of imports, increase in exports and trade balance, growth of production, income, consumption. The economic policy of the United States, which contributes to the devaluation of the US dollar, will also reduce the US dollar against the ruble. The optimistic view of investors-economists on the Russian economy is due to a significant strengthening of the ruble against the US dollar. Consequently, in the medium term, the gross domestic product and wages of citizens of Russia, expressed in US dollars, will significantly increase, and the purchasing power of the national currency of the country will also increase. This growth may continue until the next election of a new President of the United States in november 2020. After the election of the new President of the United States, there is a high probability of sanctions against Russia and of decline in oil prices in the world energy market in accordance with the future economic policy of the United States – two main reasons for the sharp strengthening of the US dollar against the ruble, which will cause a deeper economic crisis in Russia in the medium and long term.

This study aims to analyze the difference in the exchange rate of the Indonesian rupiah against two foreign currencies: United States dollar and Australian dollar before and after large-scale social restrictions for foreign nationals as of January 1, 2021. The research method used in this thesis is quantitative research. with a descriptive approach. Using the exchange rates of the Indonesian Rupiah (IDR), United States Dollar (USD), and Australian Dollar (AUD) by obtaining data through the Bank Indonesia (BI) website, in the form of a January 2021 report. Analysis conducted on paired sample test, with research results showing no significant differences, it can be concluded that foreign exchange rates in each country are stable and improving

PurposeThis paper aims to examine the relationship between exchange rate and oil prices in Algeria over the period 2004Q1–2019Q4.Design/methodology/approachThe nonlinear autoregressive distributed lag method is used to capture the potential asymmetric relationship among oil prices and the exchange rate. Frequency domain spectral Granger causality test is also applied to investigate the causal linkage between the two variables. The wavelet coherence is applied to analyze the evolution of this relationship both in time and frequency domains.FindingsThe empirical results reveal evidence of long-run asymmetric effects of oil price on Algeria’s real effective exchange rate (REER), implying that an increase in oil price causes a real exchange rate to appreciate, while a decrease in oil price leads to a real exchange rate to depreciate. More specifically, it is found that the impact of negative oil price shocks is higher than the one associated with positive shocks. The spectral Granger causality results further indicate that there is unidirectional causality running from oil price to REER in both medium and long run. The wavelet coherence findings provide evidence of some co-movement between the REER and oil price and point out that the oil price is leading real exchange rate in the medium and long terms.Originality/valueThis study contributes to the literature by investigating the asymmetric impact and the time domain causal linkage between oil price fluctuations and real exchange rate in Algeria.

This study explores the dynamic nature of return, volatility and correlation transmission mechanism among Indian exchange rates relative to US dollar (USD), Great Britain pound (GBP), euro and Japanese yen. We make use of the dynamic conditional correlation (DCC) vector autoregressive multivariate generalized autoregressive conditional heteroskedasticity (VAR (1)-MVGARCH) model which is capable of capturing the interactive dynamics in the first moment and the second moment of the time series. Our empirical results point to a significant unidirectional return spillover from euro and Japanese yen to USD and bidirectional return spillover between GBP and Japanese yen. We also find evidence of significant volatility spillover effect from USD to GBP, euro and Japanese Yen and from GBP and Euro to USD. Moreover, we find that the time-varying conditional correlations between exchange rate changes dynamically over time and are widely distributed with higher volatility during the period of global financial crisis for all USD and other exchange rate pairs.

The shock of the conflict resurfaced after the Israeli military attacked Iran. The Iranian government is considering closing the Strait of Hormuz. The strait is the main route for shipping oil to and from the Persian Gulf. "Saudi Arabia, Kuwait, Iraq and Iran are completely locked in one small lane for exports," he said. As a result of the Israeli-Iranian attack, world crude oil prices continue to rise after the escalation of the conflict in the Middle East; (1). Brent crude oil prices are estimated to increase to 75 US dollars per barrel, up 2 percent; (2). The price of Brent oil fell to 69 US dollars per barrel after which the price rose again, above 70 US dollars per barrel; (3). The attack opens up the possibility of disruption of oil supply to various countries. The impact of the Israeli-Iranian war on the global economy: (1). Oil prices rise-Global logistics are stuck; (2). Israeli Panic Buying; (3). Iran that has sent a counterattack has made the Israeli government panic.; (4). Russia can profit; (5). The price of Brent crude oil as a global benchmark jumped from US$ 69.36 to US$ 75 per barrel; (6). International Flight Delays; (7). A number of international airlines canceled flights to Israel and avoided Middle Eastern airspace. Measuring the Impact of the Iran-Israel Conflict on the Indonesian Economy from the Escalation of the Israeli-Iranian Conflict, namely: (1). Brent crude oil prices recorded an increase of 0.21 percent to 87.29 US dollars per barrel, while West Texas Intermediate (WTI) oil also increased by 0.5 percent to 83.14 US dollars per barrel; (2). For Indonesia, the rise in world oil prices means that the Government needs to rack its brains to hold the price of fuel oil (BBM) to remain affordable for the public. Indonesia's anticipation in overcoming the impact of the Iran-Israel conflict: (1). The government will not increase fuel prices until next June; (2). The Iran-Israel conflict remains indirectly impacted because the attack between the two countries occurred near the Strait of Hormuz, which is one of the crucial logistics routes; (2). This conflict is likely to confront the Government of Indonesia with two dilemmas, namely between being forced to increase fuel prices or adjusting the fuel subsidy budget to contain price spikes.

The focus of this study is to examine the effects of economic shocks along with the crude oil price on gold prices in Asian countries. This study utilizes a regression analysis to measure the relationship between the macroeconomic indicators, crude oil price, and gold price in six selected nations from 1990 until 2022. The validity of the data was diagnostically checked by performing a VIF procedure, autocorrelation test, and normality test on residual, and data were analyzed via EViews software. The analysis showed mixed findings, however, a major variable that positively affects the fluctuation of the gold price is “the crude oil price” and it reflects global economic stability in the six countries. A sudden rise in crude oil prices might trigger conflicts in oil-exporting countries and limit access to material sources. This situation may force investors to move their funds into a safe-haven commodity like gold. The fluctuations in crude oil prices are not only a response to current market conditions but also alarming a lot more fundamental problems in an economy, which include approaching economic recessions, currency devaluation and a major financial crisis. For practical implications, this study suggests that policymakers pay extra attention to this commodity besides other economic indicators like inflation, interest and currency rates, and a GDP rate to ensure a sustainable economic condition. To the best of the authors’ knowledge, this study is the first that examines the economic shocks along with crude oil prices pre-and-post COVID-19 pandemic focusing on a few Asian countries.

The study examines the co-movement between oil price and macroeconomic indicators such as exchange rate and stock indices of major oil importing countries. We differ from previous studies by examining the macroeconomic dynamics of major oil-importing countries during all economic cycles across different frequencies, using wavelet coherence analysis. We use nominal price rather than real price to make the results more meaningful for traders and institutional investors. Our analysis is based on 3012 observations covering the period 2003-14 for fifteen major oil importing countries. Wavelet coherence analysis indicates a high coherence between oil price and macroeconomic indicators across all the countries during the financial crisis. The nominal exchange rates tend to have a negative relationship with benchmark oil prices except Japan in the long run and South Korea in the medium run. Stock indices tend to have a positive relationship with benchmark oil prices in both long and medium run. S&P is leading the oil price, whereas SSE50, Nikkei 225, NIFTY, KOPSI, DAX, CAC, IBEX, FTSSI, FTSEMIB, AEX, TWSE, XU 100, LQ45 and BEL 20 are lagging the oil price in the long run. In the medium term, except for NIFTY, oil price is leading the stock market index. Overall, the results indicate that the oil price and stock indices of the major oil-importing countries are correlated in the long and medium term, but not in the short term. The lead–lag relationship between oil price and macroeconomic indicators are observed to change across frequency and time. While exchange rate offers diversification benefits, stock market indices provide no diversification avenues, since the pattern of co-movement of stock market indices and oil prices are similar across all oil importing countries. The results have implications for individual traders and institutional investors while designing their portfolio for short, medium and long term time horizons.

The economies of West African Monetary Zone (WAMZ) countries have recorded a long trend of currency devaluation and hiking instability in oil prices. We estimated the covariance of currency devaluation and volatilities in global oil prices caused by the COVID-19 outbreak on WAMZ economies from January 30 to December 30, 2020. The BEKK model was estimated for analysis. The results from generalized autoregressive conditional heteroskedasticity (GARCH) show that all variance equation coefficients, are significant, suggesting strong volatility transmission and spillovers between the COVID-19 outbreak and oil price shocks on the economic performance of WAMZ. The estimates obtained for both current and lagged gross domestic product (GDP) equations are relatively similar. Consequently, all WAMZ economies weakly responded to shocks arising from fluctuations in international oil prices, volatility of inflation rate, and excess devaluation caused by the COVID-19 outbreak. The instabilities in oil prices and devaluation caused by the COVID-19 outbreak had decelerating consequences on the output growth of WAMZ economies. The estimated covariance effects of oil price shock and currency devaluation are negative for all countries in the study. A 1 percent devaluation-oil price shock caused by the COVID-19 pandemic resulted in negative output growth rates of 1.3 percent, 1.12 percent, 1.1 percent, and 1.09 percent in Nigeria, Sierra Leone, Ghana, and The Gambia, respectively.

Growth in the intensity of the inverse relationship between the US dollar exchange rate and the Brent crude oil price has been observed over the last decade. This may be linked, among other things, to the growing role of commodities as an alternative investment instrument at times of excess liquidity and low interest rates on global markets. This analysis examines monthly data from January 1982 to September 2010. Since 2002 the direction of the relationship in the Granger causality sense has been from the dollar exchange rate to the oil price. A weakening of the dollar of 1% causes the Brent oil price to rise by 2.1%. The contrary movements in the Brent oil price and the dollar exchange rate are a factor dampening the impact of sharp fl uctuations in the dollar price of oil on “non-dollar” economies, including the Czech Republic. This dampening effect was clearly visible in the period of sharp oil price growth in 2007 and 2008.

BackgroundThis study was performed to estimate the annual direct cost incurred by dry eye patients, which includes expenses for treatment and drugs, as well as the cost of punctal plugs.MethodsThe study group consisted of 118 dry eye patients aged 20 years or older who visited any of the 15 medical care facilities that participated in this prospective cohort dry eye study. We estimated annual direct costs from outpatient medical records and survey questionnaires obtained from patients.ResultsOf the total patients enrolled, 10 were men and 108 women, and their average age was 64.1 ± 11.2 years. The number of hospital visits made by patients was 5.8 ± 3.6 per year. Among those who used ophthalmic solutions, the numbers of bottles used per year were as follows: 32.1 ± 20.8 bottles of hyaluronic acid ophthalmic solution (87 patients), 53.1 ± 42.2 bottles of artificial tears (40 patients), and 33.2 ± 23.2 bottles of over-the-counter eyedrops (15 patients). In patients with punctal plugs, 4.1 ± 3.9 plugs were used annually. The annual drug cost was 32,000 ± 21,675 Japanese yen (323 ± 219 US dollars). The clinical cost was 16,318 ± 9961 Japanese yen (165 ± 101 US dollars). The total direct costs including punctal plug treatment amounted to 52,467 ± 38,052 Japanese yen (530 ± 384 US dollars).ConclusionAlthough treatment modalities for dry eye in Japan were different from those in the US and in European countries, the direct cost of dry eye patients in Japan was comparable with that reported in those countries. Considering the high prevalence of dry eye, the direct cost of this chronic condition may be significant.

This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.