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In this article, we investigate the parameter estimation problem for reflected Ornstein–Uhlenbeck processes with mean reversion. Both estimates based on either continuously or discretely observed processes are considered. The explicit formulas for the estimators are derived using the least squares method. Under regular conditions, we obtain the strong consistency and establish the asymptotic normality for the estimators. Simulation results demonstrate that the performance of our proposed estimators for the drift parameters is superior to the moment estimators. The currency exchange rate data is used to illustrate the theoretical results. [ABSTRACT FROM AUTHOR]

This paper contributes to the literature by analysing shock propagation mechanisms between world uncertainty, exchange rates and country-specific commodity terms of trade. Using monthly data from 2008 to 2020 for eight commodity currencies' exchange rates, we analyse the impulse responses based on local projections. The study results show that a shock from the exchange rates which are net transmitters of shocks through the direct United States (US) dollar effect causes world uncertainty to rise and subsequently fall due to the indirect commodity terms of trade effect. Also, in response to world uncertainty shock, the exchange rates fall in the risk-on period and subsequently overshoot during the risk-off period when investors seek the safe haven of the dollar. The world uncertainty shock on the exchange rate is predominantly experienced in the economies that largely trade commodities with the US, particularly Russia and Canada. The study finds evidence that the dollar is a prime cause of world uncertainty. Hence, for policy implications, the study discusses that policymakers, investors, or traders pay attention to the dollar which is the main invoicing currency in the international market. [ABSTRACT FROM AUTHOR]

This paper examines the involvement of members of South Asian communities in cricket (in Bradford and Leeds, UK). The England and Wales Cricket Board (ECB) identified that despite the high level of interest in cricket within these communities, relatively few were participating in opportunities provided through ECB structures; instead, they were engaged in various forms of 'informal' cricket. Using data from a small-scale survey and group interviews, this paper speaks to issues of diversity and equality utilizing Rowe's theory of sporting capital framed with insights from Critical Race Theory (CRT). We argue that Rowe's model should be refined by incorporating the concepts of cultural competence and cultural wealth. Doing this can safeguard against deficit models of capital that stress what people lack rather than what they possess. This provides the sporting establishment with better insight to how their sport is perceived and engaged with by those outside the mainstream. [ABSTRACT FROM AUTHOR]

In this paper, we study the impairment in monetary policy caused by different forms of global financial cycles. We find that while both equity inflows and outflows cycles do exert influence over monetary policy, the bond inflows cycle does not have a significant impact. Further, we discuss the role of macroprudential policies in mitigating this impairment by using Difference-in-Difference with heterogeneous treatment effects which is robust to presence of heterogeneity across both time periods and groups. We find that FX-based policies such as Capital Restrictions on Foreign Exchange positions and Limits on Foreign Exposure alongside SIFIs and Loan Loss Provisioning are effective in reducing the impairment. [ABSTRACT FROM AUTHOR]

Foreign investment can mitigate the foreign exchange constraint of developing countries. It can also influence the economy's international competitiveness through appreciating or depreciating exchange rates. The exchange rate impact of domestic investment is also not straightforward and depends on some critical factors. These issues of investment often pose a policy dilemma. Against this backdrop, this paper assesses the relative impacts of foreign direct investment (FDI), domestic investment (DI), and external debt on India's real effective exchange rate and the rupee/dollar real rate for the liberalized regime for trade, investment, and exchange rates. The autoregressive distributed lag bounds testing approach to cointegration, followed by its error correction representation, finds that real exchange rate variations are associated with FDI, debt, DI, and some control variables. FDI and debt depreciate real exchange rates, indicating that these have not exacerbated the economy's international competitiveness. However, DI causes real appreciation. These findings are consistent across estimations involving alternative specifications of control variables. Offsetting impacts of FDI and DI is an interesting finding. This can stabilize the exchange rates by undermining appreciating or depreciating exchange rate trends. [ABSTRACT FROM AUTHOR]

We apply a time-varying parameter VAR (TVP-VAR) extended joint connectedness approach, in addition to the generalized connectedness approach, to understand the connectedness of crude oil futures price and exchange rates of major oil-dependent countries. We find time-varying nature of pair-wise and total connectedness that are usually elevated during events such as COVID-19, Brexit, European sovereign debt crisis and global financial crisis. Both joint and generalized connectedness approaches confirm that Japanese Yen and Russian Ruble are the leading net receiver of the shocks, though the two approaches provide mixed results for some other currencies. Moreover, there is strong evidence of time-varying and bi-directional shock transmissions between oil and foreign exchange markets. We also show that oil price volatility and gold price have predictive power on the connectedness. Lastly, we analyse the policy and portfolio implications. [ABSTRACT FROM AUTHOR]

We propose a novel extremal dependence measure called the partial tail-correlation coefficient (PTCC), in analogy to the partial correlation coefficient in classical multivariate analysis. The construction of our new coefficient is based on the framework of multivariate regular variation and transformed-linear algebra operations. We show how this coefficient allows identifying pairs of variables that have partially uncorrelated tails given some other variables in a random vector. Unlike other recently introduced conditional independence frameworks for extremes, our approach requires minimal modeling assumptions and can thus be used in exploratory analyses to learn the structure of extremal graphical models. Similarly to traditional Gaussian graphical models where edges correspond to the nonzero entries of the precision matrix, we can exploit classical inference methods for high-dimensional data, such as the graphical Lasso with Laplacian spectral constraints, to efficiently learn the extremal network structure via the PTCC. We apply our new method to study extreme risk networks in two different datasets (extreme river discharges and historical global currency exchange data) and show that we can extract interesting extremal structures with meaningful domain-specific interpretations. [ABSTRACT FROM AUTHOR]

We examine the long- and short-term effects of foreign exchange on Indonesia's external debts. Employing an autoregressive distributed lag (ARDL) bounds testing on quarterly data from 2010 to 2019 and testing for effect asymmetry, we found a long-run cointegrating relationship between the two variables. We also found a slow adjustment to an equilibrium state following a shock. Foreign exchange demonstrates a positive long-run effect on Indonesia's external debt, while in the short-run the effect is negative. Furthermore, we found an asymmetry in the elasticities of external debt with respect to rupiah-to-US dollar exchange rate fluctuations. The positive effect of Indonesian rupiah volatility on Indonesian external debt would be more severe when the rupiah appreciates against the dollar compared to a situation of rupiah depreciation. Therefore, although a depreciation of rupiah against the US dollar under a floating foreign exchange regime adopted by Indonesia since 1997 would in the long-run increase external debt, the impact is moderate. Any short-run movement of Indonesia's external debt following a shock would be pulled back to its long-run equilibrium path. We recommend that Indonesia should maintain a floating exchange regime and allow rupiah to depreciate at a moderate rate in the long-run. [ABSTRACT FROM AUTHOR]

This paper aims to explore the relation between international competitiveness and currency internationalization by employing an analytical framework and applying it to RMB internationalization. Our results reaffirm that economic size, financial market development and network externalities are keys in currency internationalization. We also find that international competitiveness is a potential determinant of currency internationalization. However, a more comprehensively and fully measured index of international competitiveness than the GCI is needed to investigate the potential relation between international competitiveness and currency internationalization. The RMB could become an international reserve currency that is larger than the Japanese yen and the British pound sterling, but still lags far behind the US dollar and the euro by 2035. Given the network externalities and historical experience of currency internationalization, however, it will be a long and bumpy process for the RMB to become an international currency, particularly an international reserve currency. Exploring the relation between international competitiveness and currency internationalization; Reaffirming economic size, financial market development and network externalities as keys in currency internationalization; International competitiveness is a potential determinant of currency internationalization; The RMB could become an international reserve currency by 2035; RMB internationalization will be a long and bumpy process. [ABSTRACT FROM AUTHOR]

In this exploratory research, we examine the effect of economic and noneconomic indicators on the creation of Chinese Banking and Insurance Regulatory Commission policies using a VAR model. We find that CBIRC policies are predicted by State Council construction policies and policies set by the State Administration of Foreign Exchange. This indicates that the CBIRC is inward-looking, observing what other regulators are doing rather than responding to changes in the real and financial economy. This may be a product of market distortions due to China's unique blend of state-oriented and market-based institutions. [ABSTRACT FROM AUTHOR]

Foreign exchange (FX) options are studied in a new stochastic volatility model (the 4/2 stochastic volatility model), which includes, as special instances, the Heston model and the 3/2 model, for the exchange rate in combination with the Cox-Ingersoll-Ross (CIR) dynamics for the domestic and foreign stochastic interest rates. We allow the correlation between the instantaneous volatility and the dynamics of the exchange rate, whereas the interest rates in both domestic and foreign markets are assumed to be independent of the dynamics of the exchange rate. We provide a semi-analytical formula for the price of the European FX call option via Fourier inversion. Through the change of measure technique, we derived explicit expressions for conditional characteristic functions. Our model is computationally tractable, thereby the pricing procedure is accurate and illustrates more efficiency in comparison to the Monte Carlo simulation method. Finally, we perform calibrations on market data, demonstrating that our model fits the implied volatilities well and outperforms the Heston model with CIR interest rates. [ABSTRACT FROM AUTHOR]

Economic policy uncertainty (EPU) reflects more information related to exchange rate volatility than traditional macroeconomic variables do, and thus may have stronger predictive power in forecasting exchange rate volatility. Based on data from developed and developing economies (including Japan, the United Kingdom, the Euro Area, Brazil, the Russian Federation, India, and China), this paper provides in- and out-of-sample evidence that the EPU differential between two economies outperforms several macroeconomic predictors (for example, GDP growth and volatility of inflation growth) in forecasting exchange rate volatility, which is also supported by a Monte Carlo experiment. Moreover, the mechanism analysis shows that increased EPU differential is associated with increased foreign exchange trading activities and reduced bilateral trade, which helps explain the predictive power of EPU for exchange rate volatility. Furthermore, we find that EPU can predict both long- and short-run components of exchange rate volatility. Our main findings are robust after using alternative empirical proxies or controlling for endogeneity. [ABSTRACT FROM AUTHOR]

Commercial banks and currency kiosk bureaus provide exchange services throughout Ciudad Juarez. This study employs newspaper data to examine how the bank and kiosk sell-buy spreads are affected by border crossings, the bilateral peso per dollar exchange rate, and 90-day Mexico – U.S. treasury yield differentials. Sample data are from January 2009 through June 2016. Parameter estimation is carried out using a GLS ARMAX procedure. Empirical results indicate that bank spreads increase as the peso weakens. Exchange bureau spreads decrease as cross-border traffic flows increase. Currency kiosk spreads tend to widen as 90-day yield gaps become larger. [ABSTRACT FROM AUTHOR]

Exchange rate volatility, growing foreign corporate debt, and decreasing private investment ratio are among the consequences of financialization experienced by developing countries such as Mexico. The present work analyses the combined effect of these three factors using a Stock Flow Consistent (SFC) model. It analytically explores the balance sheet effect in the non-financial corporate sector; higher foreign debt would affect private investment after episodes of real currency depreciation. To explore such mechanisms, we simulate the commodity price cycle of the early 2000s alongside the shifts in the stance of the FED in the aftermath of the Global Financial Crisis. The scenario analysis points to a hysteresis of the Real Exchange Rate (RER) and an increase in foreign debt level. [ABSTRACT FROM AUTHOR]

The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger volatility and illiquidity. This paper is inspired by the recent success of using machine learning for stock market prediction. In this work, we analyze and present the characteristics of the cryptocurrency market in a high-frequency setting. In particular, we applied a machine learning approach to predict the direction of the mid-price changes on the upcoming tick. We show that there are universal features amongst cryptocurrencies which lead to models outperforming asset-specific ones. We also show that there is little point in feeding machine learning models with long sequences of data points; predictions do not improve. Furthermore, we solve the technical challenge to design a lean predictor, which performs well on live data downloaded from crypto exchanges. A novel retraining method is defined and adopted towards this end. Finally, the trade-off between model accuracy and frequency of training is analyzed in the context of multi-label prediction. Overall, we demonstrate that promising results are possible for cryptocurrencies on live data, by achieving a consistent $ 78\% $ 78 % accuracy on the prediction of the mid-price movement on live exchange rate of Bitcoins vs. US dollars. [ABSTRACT FROM AUTHOR]

This study analyses the relationship between equites and foreign exchange markets by employing a conditional value at risk (CoVaR) framework for developed and developing economies accounting for an upside or downside shock, greater or equal to their VaRs. The CoVaR of currency returns conditional on both, the local equity and SP500 index are significant and greater than their unconditional VaRs for most currencies. The ∆CoVaRs for currency market conditional on the local stock index are greater than those conditional on the SP500, showing that local stock index provides greater contributions to the shocks in currency returns compared to the SP500 index. Our findings have important implications for developing cross-market and cross-border hedging strategies. [ABSTRACT FROM AUTHOR]

This study aims to explore the educational foreign exchange and cooperation policy conceptual framework in China's education system from a historical policy retrospective analysis. Since reform and opening-up, China has issued a total of 151 pieces of educational foreign exchange and cooperation policy documents, including the cultural education policy, the technical educational policy, the overseas educational policy, and the foreign student policy. It is suggested that we need to carry out capacity building and improve the quality of education exchanges and cooperation with other countries; expand forms and paths and expand educational exchange and cooperation resources and optimize the project system and support education exchange and cooperation with foreign countries; enhance the strength of education and enhancing the influence of education on foreign exchange and cooperation. In conclusion, we need build a guaranteed system for educational exchange and cooperation with foreign countries. We will gradually lift the authority of foreign exchange and cooperation projects in education by category, promote the reform of qualification identification and management of institutions opening to the outside world in education, and improve the facilitation and speed of the management and service of opening to the outside world in education. [ABSTRACT FROM AUTHOR]

Chinese banks became major players in the global geography of finance. Yet studies of Chinese finance in Brazil focus on development ("policy") bank loans, overlooking commercial banks. This inhibits theoretical advancements beyond the idea that Chinese finance in Latin America is largely "resource-seeking" in nature. Meanwhile, studies of the internationalization of the renminbi focus on state-led policy mechanisms in leading international financial centers, overlooking the expansion of renminbi exchange by commercial banks on the peripheries of global financial networks. I triangulate data from the Brazilian Central Bank, Chinese bank reports, and qualitative materials to present the first comprehensive account of Chinese commercial banking in Brazil. Although they are not yet major players, they are becoming important suppliers of trade finance and currency exchange services. I argue this reinforces challenges to the theory that Chinese finance in Brazil is primarily resource-seeking, and emphasizes that currency-exchange services play a central role in the internationalization strategies of Chinese finance on the peripheries of global financial networks. [ABSTRACT FROM AUTHOR]

This article asks how Germany could have pursued a far-reaching 'National Industrial Strategy 2030' despite the fierce opposition of German industry. To resolve this puzzle—which realist-inspired and institutionalist analyses struggle with—it deploys a critical state theory attuned to the uneven and combined development of global capitalism. The twin challenge of China catching up and the US forging ahead has not only prompted German officials to develop a 'defensive-mercantilist' response; new qualitative and quantitative evidence indicates that it has also deepened conflicts within Germany's export industry. Small and large firms are divided over how to respond to the growing lead of US capital in the digital economy, and its major sectors have experienced Chinese inroads into high-tech manufacturing differently. I argue that the German state was/is able to advance its industrial strategy insofar as it reconciles these divergent interests. First, it has offered laxer EU cartel rules to big business and enhanced protection from digital oligopolies to the Mittelstand, in exchange for tighter foreign direct investment controls. And second, I suggest that it could win over the chemical and electrical industry, through selective state subsidies, to its plans to re-shore transnational value chains in the name of 'technological sovereignty'. [ABSTRACT FROM AUTHOR]

The research question of which firm-level factors make firms more vulnerable to exchange rate fluctuations during periods of crisis has rarely been explored by prior literature. Using a large sample of 1577 firms from 9 developed and 11 emerging countries, this study presents a comprehensive analysis of how firm-level factors affect firms' foreign exchange exposure before and during the COVID-19 crisis. The results provide evidence of a substantial increase in firms' linear exposure during the COVID-19 period. The cross-sectional analysis reveals that the effects of firm-level variables on exposure are more pronounced during crisis periods and are different from non-crisis periods. Firms that have effective asset utilization or large operating profit margins remain less exposed during times of stress. Contrary to hedging theory, firms that have high incentives to hedge such as firms with high financial leverage become highly exposed to currency fluctuations during crisis periods. The interaction analysis provides further evidence that firms with high leverage can limit their foreign exchange exposure during periods of crisis if they have high asset turnover or high operating profits. The results offer important practical implications to firms for risk management during periods of crisis. [ABSTRACT FROM AUTHOR]

We study the transmission of exchange rate shocks in the Turkish interbank loan market using high-frequency bank-level data. Our results suggest that interbank market plays a stabilizing role: following large domestic currency depreciations, banks with a higher share of foreign currency liabilities borrow more in the interbank market, with a higher but insignificant effect on borrowing costs. The results are stronger the larger the exchange rate shock is and the lower the capital adequacy or liquidity ratios of borrower banks. Interbank markets play a weaker stabilizing role for banks with higher short-term rollover risks. [ABSTRACT FROM AUTHOR]

This study conducts out-of-sample tests for returns on individual currency investment strategies and the weights on the universe of these strategies. We focus on five investment strategies: carry, momentum, value, dollar carry, and conditional FX correlation risk. The performances of our predictive models are evaluated using both statistical and economic measures. Within a dynamic asset allocation framework, an investor adjusts investment strategy weights based on the results of the prediction models. We find that our predictive model outperforms our benchmark, which uses historical average information in terms of statistical and economic measures. When the Sharpe ratio of the benchmark model is 0.52, our predictive model generates an economic gain of approximately 1.16% per annum over the benchmark. These findings are robust to the changes in investors' risk aversion and target volatility for portfolio optimization. [ABSTRACT FROM AUTHOR]

Financial dollarization is a prevalent and persistent phenomenon among emerging and developing economies. This paper uses data on deposit dollarization in 173 countries between 1975 and 2018 to present stylized facts on the speed of currency substitution, which has not previously been systematically measured. In doing so, the paper casts a wide net in defining what constitutes a currency substitution episode. Overall, when currency substitution happens, it happens fast: the share of total deposits that is denominated in foreign currency rises by 6.5 percentage points per year during an average episode. [ABSTRACT FROM AUTHOR]

Cryptocurrencies and tourism have gained traction worldwide in the last few years. However, no research has been conducted to understand the relationship between the two. This paper examines the impact of the volatility spillover effects (VSE) of cryptocurrencies on the tourism sector in India. Using monthly time-series data (from August 2015 to January 2021) of the selected cryptocurrencies and foreign tourist arrivals (FTA) and foreign exchange earnings (FEE) from foreign tourism, we assess the volatility (short and long-term) impacts of cryptocurrencies on tourism (through changes in the monthly number of FTAs in India and FEEs of India through foreign tourism). The study applies Multivariate GARCH models (BEKK-GARCH and mGJR-GARCH). The findings suggest that there is an existence of volatility connections between cryptocurrencies and foreign tourism in India. These findings have noticeable implications for policymakers to understand the importance of cryptocurrency and blockchain for tourism sector policies in India. [ABSTRACT FROM AUTHOR]

This article provides a glimpse of the unpublished work of Harriot's colleague Walter Warner. The main topic is the use of hydrostatic weighing and algebraic symbolism to determine the constitution of a mixture of metals. This was an important matter in the context of contemporary debates about currency and exchange. Recent discoveries have revealed the extent of Warner's writings in this field, and the involvement of other notable seventeenth-century figures, such as Charles Thynne, Henry Robinson, John Dury, Samuel Hartlib, Justinian Isham, and David Ramsay. Their work illustrates many facets of scientific enquiry at that time, such as the contemporary concepts of weight and density, and the introduction of the new symbolic algebra in Harriot's style. [ABSTRACT FROM AUTHOR]

China has presented one of the most noticeable growth experiences in economic history. High growth rates in the post-1978 reform period have been marked by deep structural changes in the Chinese economy. This paper aims to discuss China's long-term economic growth from a Kaldorian-Structuralist framework that emphasises the importance of a large, diversified and integrated industrial base as a central engine of economic growth that may prevent balance-of-payments constraints. This study applies input-output indicators to reveal key sectoral transformations of the Chinese productive structure and changes in interindustry linkages during the 1990s and 2000s. Results provide evidence that: (i) the Chinese sustained growth pattern has relied on a diversified and increasingly integrated domestic industrial production; and (ii) most sectors have been able to generate through exports enough foreign exchange to pay for import needs. [ABSTRACT FROM AUTHOR]

China is the second largest global economy and Brazil's largest trade partner. Ever since the financial crisis of 2008, there has been deliberate intention on the part of the Chinese government to internationalize its currency. This study aims to investigate the perception of Brazilian companies regarding the internationalization of renminbi and its impacts on trade with China. We performed a qualitative research through a theoretical sampling, selecting nine major companies presenting relevant trade with China. The research shows that, by adopting renminbi, companies can reap economic benefits such as increase in trade and reduction in transaction costs, for instance. Some barriers have also been identified, coinciding with the literature review, such as lack of liquidity, reliability and independence of the Chinese monetary authority and other issues related to cultural differences. The companies interviewed support certain initiatives, such as entering into swap agreement and the adoption, by the Brazilian Central Bank, of renminbi in its international reserves. Finally, this study proposes financial cooperation agreements with China, aiming at reducing barriers on employing the Chinese currency and increasing business deals between both countries. [ABSTRACT FROM AUTHOR]

The 2008 financial crisis saw central banks introduce a variety of tools to shore up the financial system, including unconventional measures that made use of central bank balance sheets to directly shape markets. This paper argues that central banks increasingly rely on unconventional tools in noncrisis times to maintain confidence in an unstable financial system: in rich countries, outright asset purchase programs form the core of monetary policy, and in emerging capitalist economies, the sale and purchase of foreign exchange assets constitute the central mechanism of exchange rate policy. These interventions increasingly target 'market dysfunction,' as opposed to (a narrow interpretation of) monetary policy or the level of the exchange rate, suggesting a convergence in central bank operations around maintaining the plumbing of finance. Using two case studies – foreign exchange operations by the Reserve Bank of India and asset purchase programs by the U.S. Federal Reserve – the paper demonstrates a blurring of the boundaries between crisis and noncrisis interventions, and lends evidence to the concept of a de-risking state that guarantees liquidity. The paper concludes with a discussion of how a de-risking state exacerbates inequality, financial vulnerabilities and undermines meaningful action on pressing issues such as climate change. [ABSTRACT FROM AUTHOR]

In the 2010s, the Brazilian Central Bank (BCB) intervened massively with domestic non-deliverable forwards (DNDFS) to offset the reversal of the global financial cycle. This article aims to investigate why the BCB used these derivatives instead of selling its international reserves, how they affected the markets, and the limits of these interventions. The main benefit of DNDFs is that they preserve the international reserves of the central bank. Since market makers use these DNDFs to hedge their supply of foreign currencies in the foreign exchange markets, the central bank can affect these markets without spending a dollar. We present evidence that DNDFs were associated with an expansion of market makers' short dollar positions. DNDFs were also used to limit excessive currency volatility. We identified a subset of interventions aimed at offsetting excessive volatility and present evidence that the BCB could stabilize the markets on these occasions. However, DNDFs are not a panacea. If coupled with deregulated foreign exchange markets, frequent interventions may stimulate speculative activity against the domestic currency. Furthermore, they can be costly, and these costs increase the interest-bearing liabilities of the central bank, constraining the domestic policy space of the monetary authority. [ABSTRACT FROM AUTHOR]

Payments dollarization necessitates firms to take on a burden of currency exchange even for domestic transactions, which is regarded as an economy-wide efficiency loss. However, currency exchange, if seized by banks, can serve as a catalyst for financial development. Using a firm-level dataset from an original survey that reveals the prevalence of currency exchange due to payments dollarization, our study adopts the logit model approach to investigate firms' decisions on currency exchange methods. The empirical results confirm that firms' dependence on cash payment and their perception of price differences influence their decisions. Specifically, a high ratio of cash expenditure to total expenditure and their perception of money changers being competitive in price are associated with firms' preference of money changers to banks. Our findings suggest effective policy interventions for the promotion of currency exchange at banks, including disclosure of currency exchange rates by the central bank for firms' informed decisions as well as the concurrent promotion of non-cash payment methods. [ABSTRACT FROM AUTHOR]

The gains from international supply chains are highly affected by the exchange rate fluctuations in the foreign exchange market. Traditional forecasting methods have not been very useful, and as a result, business firms tend to use hedging or forward contracts to mitigate the exchange rate risk. This research focuses on using machine learning models to forecast the exchange rate for future decision-making in business. This paper uses both time-series data and the categorical data with the LSTM (Long Short-Term Memory) Neural Network Model to tackle both linear and non-linear data on monetary fundamentals and derives the best dates for invoicing in the international transaction using data of a manufacturing firm. Results show that using the predictions of the LSTM model to decide the invoicing dates for international transactions delivers foreign exchange gain with a better success rate than selecting random dates for both import and export. [ABSTRACT FROM AUTHOR]

In this study, we evaluate how both the definition of middle class and the dataset considered affect the estimated size of the middle class in sub-Saharan Africa. By considering the feasibility of a single definition of a middle class for all African countries based on the World Bank's PovcalNet database, we estimate the size of this segment for a selection of countries. As part of the regional analysis, we follow with a country and city case study for Kenya and Nairobi. In the case study, to show the complexity and dynamics involved in the measurement at a more disaggregated level, we add the dynamic of currency unit conversion. This statistical assessment, as an investigation into the accuracy of past and current estimates of the middle class in sub-Saharan Africa, is helpful for both assessing the growth of the middle class on the continent and its potential to attract foreign investment. [ABSTRACT FROM AUTHOR]

The study investigates the Tanzania manufacturing sector's growth with a view to provide empirical lessons from macroeconomic factors with limited political regimes reflections. A vector error collection model was used to assess the influence of foreign direct investments (FDI), inflation (INF), export of product (EXP), power supply (PS), government expenditure (GoE), nominal lending interest rate (IRL), population growth rate (PGR) and exchange rate (EXR). The estimated value of the coefficient measuring the speed of adjustment toward long-run equilibrium is statistically significant and negative, implying that 41.6% of the short-run shocks can be corrected back to the long-run equilibrium immediately in the following year so has to prevent the model from explosion. Signs of INF, PS and IRL in the model estimation conform to expectations. Moreover, reducing production costs, increasing the trade openness, attracting FDI, offering appropriate government incentives and management of the foreign exchange rate have potentials of boosting the Tanzania's economic growth. Thus, the government in collaboration with other stakeholders should work toward making the Tanzania manufacturing sector's growth more competitive by creating conducive business environment that will lead to multiplier effects. [ABSTRACT FROM AUTHOR]

This paper establishes a direct link between (anti) herding behavior in currency markets and investor sentiment, proxied by a social media based investor happiness index built on Twitter feed data. Our analysis of daily data for nine developed market currencies suggests that the foreign exchange market is generally characterized by strong anti-herding behavior. Utilizing the quantile-on-quantile (QQ) approach, developed by Sim and Zhou (2015), we show that the relationship between investor sentiment and anti-herding is in fact regime specific, with anti-herding behavior particularly prominent during states of extreme investor sentiment. The effect of sentiment on anti-herding is generally stronger in extreme bullish sentiment states, while average sentiment is associated with less severe anti-herding. The findings lend support to the behavioral factors for asset pricing models and suggest that real time investor sentiment signals can be utilized to monitor potential speculative activities in the currency market. [ABSTRACT FROM AUTHOR]

We analyse how macroprudential policies in a panel of emerging economies affect spillovers from changes in long-term government bond yields in the United States. We show that a tightening in foreign exchange (FX) related macroprudential policy tools, in particular, limits to FX positions, helps to temporarily shield emerging economies from interest rate spillovers. No such effect is observed for non-FX related macroprudential actions. [ABSTRACT FROM AUTHOR]

Hayek contends that good money is not available when the central bank is under political pressure, and the government dictates its decisions. As an illustration, the Central Bank of Iran, in accordance with the government's concern, has actively interfered in the currency market to maintain the value of the money. This attempt was weakened by the U.S. sanctions. In another vein, legislators modified Combatting the Smuggling of Commodities and Foreign Exchange Law to tighten the freedom of currency exchange. The law imposes severe penalties on those who keep, carry, and sell currencies that do not fall within the definition of legal currency exchange. This paper contends that although such measures might temporarily suppress demands, they are unlikely to make a controllable currency market. Based on Hayek's theory of money, the government's budget deficit and unrestrained printing of money have also exacerbated the situation that promotes bad money. [ABSTRACT FROM AUTHOR]

The paper deals with the application of stochastic optimization principles for investment decision making. The authors present the investment management system based on an adequate portfolio model. For optimal portfolio construction and stock selection, the method of stochastically informative expertise and ranging is used. Investment portfolios in equity and currency markets are formed considering investor risk tolerance and risk preference level, as well as an individual utility function. Investment portfolios are constructed according to three criteria: return, risk, and reliability. The markets of Germany, the USA, and China, as well as foreign exchange markets, are analysed. The results reveal the efficient investment possibilities in the mentioned markets, allowing to reach investment return substantially exceeding market index return. Along with that, an innovative stochastic clustering methodology for investment assets is proposed. The obtained results are of great value for individual as well as institutional investors and are a suitable means to form efficient investment strategies in financial markets. [ABSTRACT FROM AUTHOR]

We investigate the influence of moves in oil prices on exchange rates of Indonesia, Malaysia, the Philippines, Singapore and Thailand (the ASEAN-5 countries). We disentangle oil shocks, representing them by three components: demand shock, supply shock and risk shock, and examine their impact on the ASEAN-5 exchange rates by employing high-/low-volatility Markov regime-switching regressions for the period 2006 to Beckmann, Czudaj, and Arora 2020. We find that demand shocks make forex rates increase for net oil-producing as well as net oil-consuming economies. The impacts of supply shocks on forex rates for most economies are rather low. The risk shocks lead to depreciating effects on the ASEAN-5 currencies, supporting the notion that the open-oriented nature of ASEAN-5 economies makes them susceptible to constant fluctuations in the global oil market. We study interactions between the price of crude oil and exchange rates of the ASEAN-5 economies. We decompose changes in oil price into demand-, supply- and risk-driven components. We show non-linear interrelations between movements in forex rates and price of oil. Demand shocks appreciate forex rates for both net oil-producer and net oil-consumer economies. Supply-driven moves in oil prices exercise a marginal influence on forex rates for most countries. Risk shocks have depreciating effects on the ASEAN-5 exchange rates. [ABSTRACT FROM AUTHOR]

This paper studies the economy of Hong Kong through the lens of a small open economy DSGE model with a currency board exchange rate commitment. It assumes flexible prices and a banking system that provides credit to entrepreneurial household firms; the money supply is fully backed by reserves under the currency board. We estimate and evaluate the model by Indirect Inference over the sample period of 1994Q1-2018Q3; we find that it matches the data behaviour as represented by a VAR. We examined the economy's volatility using bootstrapping of the model innovations, under both the estimated currency board model and a standard alternative regime with floating exchange rate and a Taylor rule; we found that Hong Kong welfare is higher in the currency board, which substantially reduces output volatility. [ABSTRACT FROM AUTHOR]

Due to its essential role in communication among diverse individuals and human communities, the cultivation of interculturality is among the foremost aims of educational domains. Short-term study abroad can be one way to help students develop interculturality. However, there is a lack of a clear picture regarding the multidimensional impact of short-term study abroad on individuals' intercultural development. There also seems to be no clear consensus on the adequacy of influential intercultural competence models in terms of capturing intercultural development through short-term study abroad. In that regard, we traced an individual's multidimensional intercultural development as part of a year-long study abroad programme. We tested and relied on two major models for the analysis of qualitative data: Milton J. Bennett's developmental model of intercultural sensitivity and Darla K. Deardorff's pyramid model of intercultural competence. We revealed that the participant, following her study abroad period, displayed an increasing alignment with ethnorelativism and cultivated more sensitivity in social justice although there were equivocal socio-political issues in her statements. In addition, her host language skills enabled her to gain richer insights into local practices. Lastly, we problematised the adopted models in terms of linguistic competence, macrocontextual features, and nonlinear and concurrent intercultural developments. [ABSTRACT FROM AUTHOR]

The historic allocation of $650 billion in Special Drawing Rights (SDRs) from the International Monetary Fund (IMF) provided countries with an immediate infusion of international reserves. It was the largest debt-free support low- and middle-income countries received to respond to the crisis triggered by the COVID-19 pandemic. This article provides an overview of what SDRs are, how they can be used by countries, how they were used, and the relationship between high-income countries and SDRs. The four main ways to use SDRs identified are (1) to supplement existing reserves, (2) to exchange them for hard currency, (3) for fiscal uses, and (4) for IMF debt relief. Data show that between August 2021 and March 2022 ninety-eight low- and middle-income countries proactively used SDRs at least one way; thirty countries in at least two ways, and ten countries in at least three ways. This allocation increased the fiscal space for developing countries despite the uneven distribution based on IMF quota shares and no downsides were identified for advanced economies that made no use of their allocation. Given the ongoing crisis and additional shocks from Russia's war in Ukraine and monetary tightening in advanced economies, new allocations of SDRs can help close the gap in the available fiscal space developing countries have to address these challenges. [ABSTRACT FROM AUTHOR]

This research assesses the impact of global monetary shocks stemming from quantitative easing policies in advanced economies on exchange rate volatility in emerging markets. Using panel ARDL (Autoregressive Distributed Lag) model, an asymmetric effect is detected showing that increases in quantitative easing have a significant impact on exchange rate volatility, whereas subsequent tapering does not. Moreover, the Fragile Five economies experience spikes in exchange rate volatility that are more than double what is detected in other emerging markets. Finally, the impact of foreign exchange intervention to offset the effect on volatility is significant across emerging markets and is, once again, larger in the Fragile Five economies. The results are supported using panel VAR (Vector Autoregression) estimations. [ABSTRACT FROM AUTHOR]

The fate of British finance following the Brexit referendum revolves around the 'resilience or relocation' debate: will the City of London continue to thrive as the world's leading financial centre or will the bulk of its activity move to rival hubs after departure from EU trading arrangements? Despite extensive commentary, there remains no systematic analysis of this question since the Leave vote. This paper addresses that lacuna by evaluating the empirical evidence concerning jobs, investments, and share of key trading markets. Contrary to widely-held expectations, the evidence suggests that the City has been remarkably resilient. Brexit has had no significant impact on jobs and London has consolidated its position as the chief location for financial FDI, FinTech funding, and attracting new firms. Most unexpectedly, the City has increased its dominance in major infrastructure markets such as over-the-counter clearing of (euro-denominated) derivatives and foreign exchange—although it has lost out in the handling of repurchase agreements and share trading. Based upon this evidence, the paper argues that London's resilience is mainly a function of its status as a crucial 'agglomeration peak' of global finance which shelters its unique ecosystem from the typical pressures of capital flight. [ABSTRACT FROM AUTHOR]

This paper estimates the exchange rate exposure of Chinese listed firms across industries and tests whether their risk exposure to foreign exchange rates is shaped by macroeconomic news. Using a sample of 2321 Chinese listed firms from 2007 to 2020, we use six alternative models to estimate firms' exposure to foreign exchange risk and their variations following macroeconomic news. We find that the risk exposure to foreign exchange rates significantly responds to macroeconomic news. The response is larger to news about GDP and international trade, and the response is particularly strong during the times of the Global Financial Crisis, the US-China trade war and the outbreak of COVID-19. Across different currencies, firms are more sensitive to the US dollar exchange rate risk. Across different industries, firms in technology-intensive industries are more sensitive to foreign exchange risk. Overall, the findings in this paper shed light upon the risk management of multinational firms in emerging markets. [ABSTRACT FROM AUTHOR]

This paper analyzes the home bias of Korean resident bond investors, as their overseas bond investments have rapidly increased after 2000. For this purpose, we introduce the Won/invested currency swap basis (interest rate differential adjusted FX swap return) and the Won/invested currency uncovered basis (interest rate differential adjusted expected FX spot return) along with the interest rate gap based on CIP and UCIP respectively in order to address the return factors in detail. The model coefficients are estimated by the static pooled OLS and the dynamic system GMM over the period of 2002–2018 and 2009–2018 respectively. With these estimation results, we have obtained the following implications. First, it is expected that the level of home bias will decline as Korean resident overseas bond investments increase, as the factors that have traditionally caused home bias continue to mitigate. Second, when Korean residents invest in overseas bond markets, the FX risk has partially hedged at the country level. This suggests that the rapid in/out flows for overseas bond transactions make a significant impact on the FX swap rates as well as spot rates. Third, both groups of investors have taken into heavy consideration both the FX swap basis (or the FX uncovered basis) related to the invested currency/USD as well as to Won/USD. Our findings suggest that the policy makers need to reconsider their conventional monitoring methods which are focused on the Won/USD transactions. [ABSTRACT FROM AUTHOR]

In this article, we develop an identifiable multi-factor stochastic volatility model for international portfolio choice problems in complete and incomplete markets. Allowing for stochastic covariance between financial asset returns and foreign exchange rates, optimal investment strategies are derived in closed form and welfare losses arising from suboptimal investment strategies are analysed. Moreover, we provide a two-step procedure for estimating as well as calibrating the model parameters and use this ansatz to illustrate optimal investment decisions for the S&P 500, the German blue chip index DAX, and the USD/EUR foreign exchange rate. We find, both theoretically and empirically, that the model satisfies various well-known stylized facts of equity and foreign exchange rate markets and that investors who invest myopically or ignore derivative assets can incur substantial welfare losses implying strong evidence for significant welfare benefits from international diversification across different asset classes. [ABSTRACT FROM AUTHOR]

The dissemination of sports culture is not a unilinear or unilateral phenomenon. It depends on how the recipients perceive and react to it in the context of their lives. This study aims to shed light on the complex political, social, and cultural processes that led to the acceptance and popularization of baseball in Korea. In the era of imperialism, various modern sports cultures spread in the Korean society, but baseball emerged as the most popular. Baseball was initially introduced to Korea as a by-product of US and Japanese expansionism during the Korean Enlightenment period (1876–1910) and the Japanese colonial period (1910–1945). However, baseball's germination during the Enlightenment period lay in the self-awareness of Koreans willing to embrace it as a cultural product of Western modernity, realizing its potential to meet the physical and cultural needs of their society. Additionally, during the Japanese colonial period, baseball functioned as a channel for expressing both nationalism and youthful masculinity, being popularized in the Korean society. The international exchange between US and Japanese baseball, which was developed with active recognition of baseball acceptance within the Joseon society during the Japanese colonial period, became the vital momentum driving the popularization of Korean baseball. [ABSTRACT FROM AUTHOR]

This article provides a new framework to evaluate the status of Renminbi internationalization. It proposes that the trading patterns of a currency in the global foreign exchange market embody the currency's position in the international monetary system. Based on foreign exchange trading data provided by CLS Group, the article constructs a ranking of major international currencies including the Renminbi. It finds that the Renminbi shares more similarities in foreign exchange trading patterns with the established global currencies like the US dollar and the Euro than with those regional currencies. The article also explores the policy implications that the new evaluation approach provides. [ABSTRACT FROM AUTHOR]

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs for the period of 1979–2016. We employ a dynamic model averaging approach to reduce model selection uncertainty and to identify time-varying probability to include regressors in our models. Our results show that smaller sizes models accounting for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a growing impact of foreign trade and monetary policy news on the euro/dollar exchange rate following the global financial crisis. Overall, our results point to the existence of selective attention in the case of most currency pairs. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to examine Bangladesh's performance as an outsourcing destination from the perspectives of buyers and suppliers involved in a representative US apparel company which has outsourced from Bangladesh. This study employed a sequential mixed method research design which consisted of quantitative evaluation and qualitative interviews. The sample was comprised of three buyers and three suppliers in the Phillip's Van-Heusen (PVH). From the results of quantitative evaluation, it was found that Bangladesh has a greater advantage in the cost and quality clusters than Vietnam. The interviews revealed that the US buyers have some concerns in geographic location, trade restrictions, country's political situation, warranty policies, and currency exchange situations. To strengthen Bangladeshi capability, Bangladeshi government's investment to improve facilities, nomination of supplier's backward linkage, improvement of manufacturing capacity, running improvement programs, negotiation to reduce tariff, and building mutual trust between buyers and suppliers were suggested. These diagnosis results provide the US buyers and the Bangladeshi suppliers with not only valuable information on the current status of Bangladesh's performance but guidance to successful strategies for improvement of outsourcing performance. [ABSTRACT FROM AUTHOR]