Factors Determining the Exchange Rate Movement under a Partial Capital Mobility Regime

This paper studied the impact of inflation rates and US Dollar exchange rates in Indonesian stock market return volatility in the period of 2002-2012. Daily data of stock market return, inflation rates and US Dollar exchange rates were used to estimate the daily volatility of the stock return. The data of stock market price, inflation rates and US Dollar exchange rates were taken from Yahoo Finance, Indonesia statistics bureau and central bank of Indonesia, respectively. The result showed that both inflation rates and US Dollar exchange rates did not have a significant impact on the Indonesian stock market return volatility. Inflation rates contributed 0.03% change in daily stock market return volatility whereas a 1% appreciation of Rupiah contributed to a 0.0000001% change in daily stock market return volatility. This research finding was different from the result in Nigeria where Yaya’s & Shittu’s (2010) research had the same variables. Inflation rates and US Dollar exchange rates were to examine the impact on Nigeria stock market index return volatility.

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.

The purpose of the article is to establish the main trends in the development of the market of fuel and energy resources in the agricultural sector, to build a model for calculating the retail price of diesel fuel in Ukraine, depending on world oil prices and the US dollar exchange rate. Research methods. In the process of research, the dialectical method of scientific cognition, analysis and synthesis, system generalization (establishment of the basic tendencies of development of the market of fuel and energy resources in the agricultural sector, formation of conclusions) is used; analytical alignment of the trend (linear) (identifying the trend in the dynamics of demand for gasoline and diesel fuel) were used; world oil prices and retail prices for gasoline and diesel fuel in Ukraine); correlation and regression analysis (quantitative measurement of the degree of influence on the price of diesel fuel of both individual factors and their combination; construction of a regression model for calculating the retail price of diesel fuel in Ukraine depending on world oil prices and the US dollar exchange rate). Research results. The main trends in the development of the market of fuel and energy resources in the agricultural sector of Ukraine have been established. The degree of influence of both individual factors and their combination on the price of diesel fuel has been determined. A regression model is built for calculating the retail price of diesel fuel in Ukraine depending on world oil prices and the US dollar exchange rate. A short-term forecast of the price of diesel fuel in Ukraine has been carried out. Scientific novelty. Based on the establishment of the main trends in the development of the market of fuel and energy resources in the agricultural sector, an econometric model based on multiple linear regression has been built, which allows determining the relationship between the retail price of diesel fuel in Ukraine and the world oil price, as well as the dollar exchange rate. Practical significance. Conclusions, suggestions and practical recommendations can be used in the development of investment projects in agriculture and the formation of state programs for the agricultural sector development. Tabl.: 4, Figs.: 4. Refs.: 14.

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.

The economy of Botswana heavily relies on mineral exports (mainly diamond exports), which are largely dependent on the exchange rate. And, the US Dollar is one of the most important currencies in the basket of currencies to which the Botswana Pula is pegged. Therefore, this paper seeks to empirically establish the baseline characteristics of the Botswana Pula (BWP) and the US Dollar (USD) exchange rate and to identify the most plausible probability distribution from the skewed generalized t (SGT) family that can be used to model the log-returns of the daily BWP/USD exchange rates for the period January 2001 to December 2020. The SGT family is a highly versatile class of models that can capture the skewness and kleptokurticity that are inherent in financial time series. Four probability distributions are considered in this study: skewed t, skewed generalized error, generalized t and skewed generalized t. The maximum likelihood approach is used to estimate the parameters of each model. Model comparison and selection are based on the Akaike information criterion (AIC) and Bayesian information criterion (BIC). The results of the study show that the daily BWP/USD exchange rate series is nonnormal, negatively skewed heavy-tailed. It is also found that, based on the values of both the AIC and BIC, the model that gives the best fit to the data is the skewed t, which is closely followed by the skewed generalized error distribution, while the generalized t gives the worst fit. Keywords: Pula/US Dollar exchange rate, log returns, Generalized t distribution, Skewed generalized error distribution, Skewed generalized t distribution, Skewed t distribution, skewness, kurtosis, maximum likelihood

This study intends to decide the impact of world gold costs, world oil costs, and the US dollar (USD) conversion scale on the Indonesian Composite Record (IHSG) during the period 2013-2022. The strategy utilized in this study is the Quantitative Clear Technique utilizing auxiliary information from finance yippee, list mundi, BPS, and IDX for the years 2013-2022. The information examination strategy utilized in this exploration incorporates exemplary supposition tests, different direct relapse investigation, speculation testing (T-test and F-test), and coefficient of assurance (R2) test. The aftereffects of this exploration demonstrate that the factors of world gold costs and world oil costs don't altogether influence the IHSG during the period 2013-2022. The USD swapping scale variable essentially affects the IHSG during the period 2013-2022. In addition, the IHSG is significantly influenced by the global oil and gold prices, as well as the USD exchange rate, from 2013 to 2022. The results of the coefficient of determination (R2) test show that the IHSG can be affected by world gold prices, world oil prices, and the USD exchange rate as a whole by 64.1%

This article aims to analyze the dynamic relationship between stock market returns and exchange rate movements for emerging countries (Brazil, Argentina, Mexico and India), from January 2005 to December 2021, using Markov Switching Vector Autoregressive model, with regime change. The impact of exchange rate movements on stock returns is not statistically significant in all emerging countries. This reveals that fluctuations in US dollar exchange rates do not have a strong influence on the dynamics of stock market returns during normal and turbulent periods. On the other hand, the impacts of stock returns on exchange rate movements are significant only for the Brazilian and Mexican markets.

The present study is devoted to the modelling and forecasting of the primary economic indicators of Ukraine, utilising econometric methodologies, with a particular focus on trend models. In the context of globalisation and economic instability, the study of the relationships between macro-economic variables is of particular relevance. This paper undertakes an analysis of the impact of such factors as the hryvnia/US dollar exchange rate, inflation, exports and imports on gross domestic product. The application of regression analysis enabled the identification of significant economic interdependencies and the determination of key variables with predictive value for the assessment of economic growth. The employment of the Python programming language enabled the processing of statistical data, the construction of multivariate regression models, and the forecasting of future macro-economic trends. The present study combines both theoretical and practical aspects of economic process analysis, which is realised by using multivariate regression to assess the relationships between gross domestic product, minimum wage, inflation and the national currency exchange rate. A significant finding is the existence of a close relationship between the exchange rate and gross domestic product, as evidenced by the high coefficient of determination of the model (R-squared = 0.98), indicating a strong explanatory power. The findings indicate that an augmentation in the US dollar exchange rate by one hryvnia results in a surge in gross domestic product exceeding 213 million UAH, under the assumption of constant factors. Furthermore, the study employed correlation analysis to identify the most significant variables. The strong correlation between the gross domestic product and key economic indicators, including the minimum wage (correlation coefficient of 0.99) and the consumer price index (correlation coefficient of 0.87), underscores their significant influence in shaping economic trends. The utilisation of trend analysis and data approximation through the employment of polynomial functions has facilitated the projection of gross domestic product and exchange rate growth in the 2025-2030 period. This suggests the possibility of stable economic development, even in the context of challenging macro-economic conditions.

Did the Bundesbank react to the US dollar exchange rate?

In this chapter we turn to a fundamentals-based approach to modelling the nominal exchange rate which is closely associated with PPP, namely the monetary approach to the exchange rate. However, although various guises of the monetary approach — most notably the flexible price and sticky-price approaches — rely on PPP as a long-run construct, their motivation is quite different since they view the exchange rate as the relative price of two monies (i.e. assets), rather than purely the relative price of commodities. Interpreting the exchange rate in this way yields important insights into why floating exchange rates are more volatile than underlying economic fundamentals. This may be illustrated by referring to table 4.1, where the coefficients of variation of three series are presented for a number of representative countries. The series are: the log of the bilateral US dollar exchange rate; the log of the ratio of the country’s consumer price index (CPI) to the US CPI; the difference between the country’s three month euro-interest rate and that of the US (interest rates are expressed as proportions).1

Investment using the capital market is one of the investments that are in demand by every country. By maintaining a stable political condition and currency value, it can indirectly make investments in a country last longer. The same is the case with the economic conditions in Indonesia during the covid-19 pandemic. Indonesia is really struggling how to maintain the country’s economic conditions so that it continues to run during the pandemic which generally make people’s lives and economy decline. One of the conditions that describe this economic condition can be seen from the inflation rate and also the rupiah exchange rate to us dollar. The purpose of this study is to analize the effect on inflation and also the value of the US dollar exchange rate on the stock price of an Islamic Banking. Where in this study will conduct research on BRI Syariah which has long existed in the Islamic Capital Market (Jakarta Islamic Index). This study intends to examine the effect of inflation and the rupiah exchange rate to US dollar on the stock price of BRI Syariah. The method used is the Uji Classic assumtion test, including the Normality test, multicollinearity test, Autocorrelation test and heteroscedasticity test. Meanwhile, in analyzing the data using SPSS 21, the resulths of multiple linier regression where obtained because the significance value was 0,00 which is smaller than 0,05. This means that inflation (X1) has an effect on the stock price (Y) of BRI Syariah while the significance value of the US Dollar Exchange (X2) 0,202 > 0,05, this means that the US Dollar Exchannge rate has no effect on the stock price of BRI Syariah (Y).

Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve over time in a very general fashion. Our key findings are that: (i) the well-documented weak out-of-sample predictive ability of exchange rate models may be caused by poor performance of model-selection criteria, rather than lack of information content in the fundamentals; (ii) the difficulty of selecting the best predictive model is largely due to frequent shifts in the set of fundamentals driving exchange rates, which can be interpreted as reflecting swings in market expectations over time. However, the strength of the link between exchange rates and fundamentals is different across currencies.

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.

Trading in commodities such as precious metals and crude oil is vital to the economy. Frequent exchange rate fluctuations have led to constant changes in commodity prices since 2000. Using quantile regression, this paper examines the impact of oil prices and the US dollar exchange rate on gold, silver, platinum, and palladium from January 1, 2013 to 5 May 2023. Oil prices positively affect precious metals returns, and positive and negative oil price shocks are asymmetric. Exchange rate movements negatively affect precious metal returns. In addition, gaps in the existing literature are filled by analyzing the effects of oil prices and the exchange rate on precious metals before and during COVID-19. This paper provides substantial evidence for revising the impact of the crisis.

This paper examined the predictability of daily exchange rates by identifying the factors that affected the duration of pattern, as well as estimating the probability of escape from the current variation pattern of exchange rates. Survival analysis technique was applied to 12 major daily currency/dollar exchange rates for the period from January 1999 to September 2012. The results show that the US dollar exchange rate is stable against major currencies and has a cyclical pattern, with both the appreciation and depreciation phases containing almost the same number of events. The cumulative probability for the persistence of an exchange rate cycle for five days decreased sharply to 5%. Interestingly, the study confirmed that the duration of declining interest rates, the duration of declining stock prices, and whether the first day of the present cycle follows a non-business day have major statistically significant effects on the duration of an exchange rate pattern.