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This research is meant to analyze the Volatility spillover between the energy commodity market future (Crude Oil, Coal, and Palm Oil) with the Indonesian JKSE stock market and IDR-USD exchange rate. The data used is daily data taken from May 2013 until September 2023 by BEKK Diagonal Model. This research found that there were different patterns in asset pairs in relation to pre-pandemic and pandemic. Crude oil and palm oil had a positive relationship before pandemic and during the pandemic coal and the exchange rate had a positive relationship. Meanwhile, after the COVID-19 pandemic, no covolatility spillover was found. An increase in covolatility spillover from exchange rate asset pairs was found during the pandemic. This research also shows the potential for portfolio diversification for each asset pair through optimal portfolio weights. Understanding volatility movements and interdependencies in commodity futures, stock markets, and exchange rates is important for proper investment management, and this research can help investors make appropriate decisions. [ABSTRACT FROM AUTHOR]

The current situation of the Romanian economy must be understood beginning from the analysis of the main measures of fiscal-budgetary policy applied over the last years by the public authority. In general, the Romanian fiscal policy (before and after accession) was procyclical. However, we continue by presenting some of its characteristics for the past years when we underwent the last ascending phase of the economic cycle. Actually, Romania's GDP exceeded constantly the potential level, and the demand surplus became predominant, generating inflationary pressures. Maintaining the expansionist level of the fiscal policy, in the conditions of a positive deviation of GDP, as of 2017, and opting-out regarding the structural deficit target contributed to affecting the stability of public finances, on short-and medium-term. Romania entered into an extremely difficult economic context, generated by the pandemic, with an extremely narrow fiscal space which limited a lot the possibilities of combating the effects of the pandemic. In this paper we analyzed a period limited to the year 2020, because we consider this time as marking the end of an economic cycle in a period of peace and economic calm, as another is about to begin based on the new realities. [ABSTRACT FROM AUTHOR]

This article examines how the ongoing Ukraine-Russia war has affected the valuation of five European Union currencies: the Polish Zloty, Hungarian Forint, Czech Koruna, Swedish Krone, and Romanian Leu. Using high-frequency time series data and advanced statistical models, we analyze a 522-week period from 1 January 2013, to 24 February 2023, with 24 February 2022, as a key focal point. The Russia-Ukraine war had varying effects on the currencies of non-Eurozone countries. Poland, Hungary, and Sweden experienced significant impacts, while Czechia and Romania remained relatively stable. Our research also highlights the stability of the Euro as a reserve currency, which attracts investors during times of crisis and protects participating economies from currency fluctuations. Additionally, our analysis underscores the distinct impact of war on these currencies, influenced by their unique political, economic, and financial structures and strengths. [ABSTRACT FROM AUTHOR]

This paper delves into the pricing behavior of Albanian exporting firms, analyzing their response to market conditions and exchange rate fluctuations. Drawing inspiration from Krugman's seminal work in 1986, on pricing to market dynamics, the study investigates whether Albanian firms employ similar adaptive pricing strategies observed in larger economies. Recent empirical research suggests that such practices are prevalent in small, open economies like Albania, contrary to earlier assumptions. Utilizing a linear econometric model and quarterly data spanning from 2005 to 2023, the analysis aims to ascertain the extent to which Albanian exporting firms act as price setters in response to market dynamics. Through rigorous empirical analysis, including descriptive statistics, unit root tests, ARDL cointegration analysis, model estimation, hypothesis testing, and robustness checks, the study provides insights into the relationship between pricing behavior and exchange rate movements. The findings highlight the significance of adaptive pricing strategies in global markets and offer implications for policymakers, businesses, and academic researchers. Policymakers can use these insights to formulate effective economic policies, while businesses can make informed decisions regarding pricing strategies and currency risk management in the global marketplace. Moreover, this study contributes to the econometrics and macroeconomics literature, paving the way for future research into pricing behavior and exchange rate dynamics. Overall, it serves as a foundational resource for informed decision-making and further academic inquiry into pricing behavior and exchange rate dynamics in emerging economies like Albania. [ABSTRACT FROM AUTHOR]

Purpose: The purpose of this study is to analyse numerous aspects affecting residential property price in Malaysia against macroeconomics issues such as gross domestic product (GDP), exchange rate, unemployment and wage. Design/methodology/approach: The hedonic pricing model has been adopted as econometric model for this research to investigate the relationship between residential property price against macroeconomics indicator. The data for residential property price and macroeconomic variables were collected from 1991 to 2019. Multiple linear regression had been adopted to find the relationship between the dependent and independent variables. Findings: The result shows that the GDP has a significant positive impact on residential property price, while exchange rate has no significant impact although it was positive. In addition, the unemployment rate has a significant impact on the residential property price and has a negative relationship. Similar to the wage that shows the negative relationship with residential property prices. Moreover, during the pandemic COVID-19 in Malaysia, this research shows a more transparent view of the relationship between residential property price and the macroeconomic issues of GDP, exchange rate, unemployment and wage. Originality/value: The findings of this research found that macroeconomics issue cannot be eliminated due to Malaysia is a developing country, and there will always be an issue that will happen, but the issues can be reduced to maximise the advantages, e.g. during COVID-19, the solution to fight against COVID-19 were crucial and weaken the macroeconomics issues. [ABSTRACT FROM AUTHOR]

Using an ARDL‐ECM model, we estimate the aggregate and sectoral elasticities for Argentina. We confirm that the income elasticities of exports are lower than those of imports. When we control by real labor costs, exchange rate volatility, the black‐market exchange rate and domestic absorption, the difference between income elasticities is reduced but remains statistically significant. In the sectoral breakdown, the higher the technological intensity in the industry, the higher the income elasticities. Agro‐based, textile, automotive, process, and engineering products have price elasticities two or three times the magnitude of aggregate elasticity. [ABSTRACT FROM AUTHOR]

The aim of this study is to assess the impact of GDP, currency exchange rates, and inflation rates, both separately and jointly, on the stock price of the mining companies included in the Jakarta Islamic Index in 2017 to 2022. The panel data analysis used in this study is a study approach, and uses E-Views 12. Estimate findings show that the stock price of the companies included in the Jakarta Islamic Index is significantly influenced by the exchange rate. The price of the index's mining business stocks was significantly affected by the rise in the dollar exchange rate. However, under certain circumstances, the rate of inflation studied is within a stable range, that is, below 10% per year, so the inflation rate is relatively ineffective. Although there is progress in real-sector investment, the limited influence of GDP may be due to the slow rise in investment in capital markets. As a result, the influence of GDP variables on the stock price of mining companies is only small. [ABSTRACT FROM AUTHOR]

Countries where the volume of remittances received represents a significant proportion of their gross domestic product usually face short‐term pressures on their exchange rates that are unrelated to their economic fundamentals. In this article, we analyze how a remittance payment system involving the central banks of the source and destination countries of such remittances could mitigate the pressures on the exchange rate in the receiving country. To quantify the possible effect of such a system, we make an estimate for the case of Guatemala. We also consider the other benefits this system might provide for recipient economies. [ABSTRACT FROM AUTHOR]

This study examines the relationships between inflation, interest rates, and US dollar exchange rates from 2013 to 2023. The main objective is to evaluate the value of the US dollar (USD) and understand how key economic indicators interact. Using advanced quantitative analysis, we identify patterns that define these variables. A macro model incorporating the natural logarithms of the USD Index (USDX), Federal Funds Rate (FFR), and Consumer Price Index (CPI) addresses time-related and growth factors. By tracking inflation, interest rates, and dollar fluctuations, we gain insights into the factors influencing the US economy. The findings highlight the slow adjustment of inflation towards long-term stability and reveal significant causal relationships among the variables. As global financial conditions evolve, this study offers relevant insights for policymakers, economists, and market participants on navigating the dynamics of inflation, interest rates, and exchange rates in today's economic landscape. [ABSTRACT FROM AUTHOR]

Purpose. The purpose of this study is the development of the methodological approach for estimation the impact of agri-food exports on the monetary sphere of Ukraine in order to substantiate the prospective directions of the export potential of agricultural products as the factor in ensuring the currency security of Ukraine. Methodology / approach. The following methods were used: literature review in determining the main trends in the export of agricultural products based on the analysis of publications; economic and statistical analysis to assess the impact of key factors on the formation of the export potential of agricultural products and its impact on exchange rate formation; ARDL modelling, Dickey-Fuller, and Engle-Granger tests to estimate the impact of different factors on exchange rate changes. Results. The paper highlights the immediate and delayed influence of selected factors on the dynamics of the exchange rate in Ukraine, showing that the export of food products and raw materials for their production can significantly strengthen the national currency in the long-run. The continuous growth in food exports contributes to a slower appreciation of the exchange rate, which ultimately leads to a stronger national currency. Therefore, the strategy of focusing on increasing food exports can play a vital role in bolstering the Ukrainian currency in the long-run by exerting a positive influence on the exchange rate dynamics and contributing to the overall economic stability. Originality / scientific novelty. The study contributes to the understanding of the complex interplay between war, food security, and economic stability. The novelty implies the ARDL model of the influence of agricultural exports on the currency and exchange rate sphere of the Ukrainian economy. Additionally, the analysis adds new dimension to the discussion on the strategic importance of the agricultural sector for foreign exchange reserves and currency accumulation. Practical value / implications. The practical value is that understanding the relationship between export volumes, global prices, and exchange rate movements can help in predicting and managing currency fluctuations more effectively. By identifying the time frames for the return of exchange rate shocks to their long-term equilibrium and the impact of various factors on currency valuation, the study aims policy-making processes at ensuring currency security for the state.

Abstract The Zimbabwean banking sector has experienced several tumultuous challenges since 2000. This is owing chiefly to the political and economic challenges the country has experienced. Poorly conceived and ill-timed policies have also wreaked havoc in the Zimbabwean banking sector. Financial consumers have sometimes lost their savings to hyper-inflation or overnight policy changes in Zimbabwe. The change in currencies is a good example of how financial consumers have seen their deposits and savings at banks and other related financial institutions eroded to nothing. In 2018, the Reserve Bank of Zimbabwe (RBZ) issued a directive for all banks to convert all deposits made prior to October 2018 from the United States (US) dollar denomination to the Zimbabwean dollar (bond notes and coins). This was done on an exchange rate of one US dollar as to one Zimbabwean dollar, yet in reality, the local currency had been devalued. The RBZ directive left individuals and corporates reeling from exchange losses. The directive was akin to a heist and many people lost trust and confidence in the Zimbabwean banking sector. While many financial consumers suffered in silence, some decided to take their banks to court, demanding a reimbursement of their deposits in the currency in which they deposited or alternatively, the equivalent of the original deposit using the correct exchange rate. This article examines the role of the courts in upholding the rights of financial consumers in the Zimbabwean banking sector in the light of the Penelope case. It also discusses how the Zimbabwean courts could assist in preserving the sanctity of the bank-client relationship among banks and financial customers. In addition, the article explores the role of the courts in challenging unjust laws that affect financial consumers' investments in banks. The strengths and weaknesses of the Zimbabwean banking regulatory framework are further discussed to assess if it is robust enough to protect financial consumers. The article recommends that the courts should objectively set aside unjust laws in the interest of justice to enable banks and other financial institutions to honour their contractual obligations. Policymakers should not adopt poor policies that infringe upon financial consumers' rights. Keywords: Banking, consumer protection, financial consumer, deposits, exchange rate, courts, contractual obligations.

This study empirically examined the threshold effect of exchange rate pass-through (ERPT) on inflation in Kenya, while augmenting the exchange rate depreciation in the monetary policy rate using the Taylor rule. The monthly time series data spanning January 2005 to November 2023 was collected for analysis, in which the non-linear threshold autoregressive (TAR) model was employed as the main econometric model. This study's ERPT results reveal that, exchange rate depreciation has positive and significant effect on inflation only when it raises above the monthly threshold level of 0.51 %. In contrast, the Taylor rule analysis results reveal that the exchange rate depreciation has a positive and significant effect the monetary policy rate regardless of the threshold level of 0.67 %. Therefore, keeping domestic currency depreciation below a monthly growth rate of 0.51 % will control the pass-through effect on inflation, and the exchange rate depreciation at any level should always act as a reaction function for the monetary policy rate setting. This study also found that the relationship between exchange rate depreciation and inflation, as well as monetary policy rate is non-linear, which implies a greater pass-through effect when exchange rate depreciation is high. Therefore, we recommend the monetary authority in Kenya to pay attention to the depreciation of the exchange rate depreciation at any level when adjusting the policy rate to tame inflation.

The Central Bank of Turkey’s policy to decrease the nominal interest rate has caused episodes of severe fluctuations in Turkish lira exchange rates during 2022. According to these conditions, the daily return of the USD/TRY have attracted the risk-taker investors’ attention. Therefore, the uncertainty about the rates has pushed algorithmic traders toward finding the best forecasting model. While there is a growing tendency to employ sophisticated models to forecast financial time series, in most cases, simple models can provide more precise forecasts. To examine that claim, present study has utilized several models to predict daily exchange rates for a short horizon. Interestingly, the simple exponential smoothing model outperformed all other alternatives. Besides, in contrast to the initial inferences, the time series neither had structural break nor exhibited signs of the ARCH and leverage effects. Despite that behavior, there was undeniable evidence of a long-memory trend. That means the series tends to keep a movement, at least for a short period. Finally, the study concluded the simple models provide better forecasts for exchange rates than the complicated approaches.

This study aims to determine the money supply, interest rates and exchange rates against inflation. This research data uses secondary data with the time series method obtained from the North Maluku Bank Indonesia (BI) and North Maluku Central Statistics Agency (BPS) from 2010-2020. The method used in this research is multiple linear regression. Based on the results of the study showed that the simultaneous testing showed that of the three variables, there was no effect. Based on the above findings that inflation is mostly influenced by interest rates, if interest rates rise it will increase inflation. Because interest rates have the most dominant contribution in increasing inflation, therefore the monetary authority must try to maintain interest rates for inflation stability.

The information base of the study is the time series of the daily exchange rate of the currency pair USD/JPY, the US 10-year Treasury bond (TB 10), the Japanese government bond 10-year (JGB 10), the volatility index (VIX) of the Chicago Board Options Exchange (CBOE), which calculated by Bloomberg. Study period: December 1, 2015 (the date the Federal Reserve raised interest rates, which initiated a new regime - began easing its ZIRP zero interest rate policy) to December 29, 2023. The relationship between monetary policy and the currency pair USD/JPY is evaluated using 3 approaches: 1) a rally dynamic system based on the standard theory of nonlinear differential equations aimed at eliminating psychological noise (1/f noise, pink noise, trend noise with spectrum capacity); 2) regression of instrumental variables with heteroskedasticity aimed at managing unobservable sources of variability; 3) an event tracking method to measure anomalous asset price response, analyzing the daily price action of USD/JPY to detect market-related fluctuations in the exchange rate and separate the impact of general market trends from related differences in interest rates. The study found that the US Federal Reserve's (Fed’s) monetary policy only occasionally affects the USD/JPY exchange rate, and it changes mainly when monetary policy deviates from expected future trajectories. Within the studied period, this happened only 3 times: growth on December 16, 2015; emergency rate reduction due to COVID-19 on March 15, 2020; and the first increase of 75 basis points on June 15, 2022 (the article estimates the impact of each of these episodes on the exchange rate). Statements by the Fed on monetary policy affect the price dynamics of the USD/JPY pair in the short term (since short-term psychological expectations play a decisive role in shaping the dynamics of the currency market), but not often (if the statement on monetary policy is consistent with market forecasts, it is practically will not affect exchange rates). The Fed’s adoption of tools such as "forward guidance" and official statements to inform the future course of monetary policy indirectly affects the price dynamics of USD/JPY. The price action of USD/JPY was driven by the fundamentals of the difference in interest rates between the US and Japanese bonds, which are influenced by the monetary policy of the US Federal Reserve and the Bank of Japan (BoJ). In 2023, it could be hard to attempt to challenge FX intervention except to curb “excess volatility and disorderly movements in exchange rates” like the Minister of Finance’s (MoF) 2022 intervention.

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

The EU and China are among the largest economies affecting the global economy and each other. The paper aims to determine the structure and trends in the trade relations between the EU and China from the perspective of trade imbalances. Net export index (–29% in 2021) and the difference between export and import growth rates (–9% in 2016-2021) were calculated as the indicators of competitiveness of the economies relative to each other. Correlation coefficients and regression models were used to estimate the effects of several factors on the net export index. The EU has a surplus in services trade with China (21% of the trade), but it does not cover a much larger bilateral merchandise trade deficit (–36%), which exists in most member states. Machinery and vehicles are the most important traded items. The net export index shows that the European Union is more competitive than China in nonfuel minerals, food, vehicles, pharmaceutical products, intellectual property, computer, travel, and sea transport services. The effect of the real exchange rates on the trade imbalances is not robust due to the large difference in regression coefficients for the real exchange rates based on consumer prices and unit labor costs. In recent years, the trade balance was not significantly affected by industrial output growth trends in the EU and China (except for the COVID-19 pandemic crisis when the relative competitiveness of China in its trade with the EU improved at least in the short run).

Bu çalışmanın amacı Türkiye için pay senedi piyasaları ve makroekonomik değişkenler arasındaki ilişkileri incelemektir. Bu amaçla çalışmada Borsa İstanbul 100 endeksi (BIST100), tüketici fiyat endeksi (TUFE), politika faiz oranı ve döviz kuru (Dolar/TL) değişkenleri, Ocak 2000 – Ekim 2023 dönemi için aylık frekansta ele alınmıştır. Çalışmada değişkenler arasındaki ilişkileri zaman serisi yöntemleri ile incelemek için Toda - Yamamoto ve Fourier Toda-Yamamoto nedensellik testleri kullanılmıştır. Sonuçlar Türkiye’de politika faizinden pay senedi piyasalarına tek yönlü nedensellik ilişkisi, TUFE ve Dolar/TL arasında çift yönlü nedensellik ilişkisi ve BIST100’den Dolar/TL’ye tek yönlü nedensellik ilişkisi olduğunu göstermektedir. Politika faiz oranı ve Dolar/TL döviz kuru ile TUFE ve BIST100 arasından nedensellik ilişkisi bulunamamıştır. Hem TY hem de FTY nedensellik analizinden elde edilen bulguların paralel olması seçili değişkenlerin Fourier eğilimlere sahip olduğunu kanıtlamaktadır. Buradan hareketle politika faiz oranındaki bir değişim BIST100’ü etkilemekte iken BIST100’deki bir değişim Dolar/TL’yi etkilemektedir. Bu bulgular yatırımcılar, politika yapıcılar ve araştırmacılar için yeni bilgiler sağlamaktadır.

This study aims to answer the following research question: Are the Capital Asset Pricing Model (CAPM) and International Capital Asset Pricing Model (ICAPM) valid in the Istanbul Stock Exchange (ISE)? No broad agreement has been reached in the literature on this question, yet. Using an unbalanced panel of daily stock returns of companies in the BIST-30 index and as of BIST-100 index from March 2010 to February 2019, this paper seeks to provide new evidence on this discussion and explores whether the risk-expected return relationship is linear. In the empirical framework, panel regression analysis methodology is employed. Our findings indicate that both linear CAPM and linear ICAPM models are valid in ISE. Moreover, it is observed that the ICAPM outperforms the CAPM in explaining the stock returns for both indices. This outperformance is especially more pronounced for BIST-30 than BIST-100. Depending on these findings, investors can easily prioritize BIST-100 over BIST-30 when constructing portfolios to reduce risk in the Turkish market, given the fact that exchange rate-relevant diversification is greater in BIST-100.

This study investigates the impact of exchange rate changes on trade flows among East Asian countries spanning 1990–2021, using pooled mean group estimator, within the framework of panel data analysis. Findings indicate that world income, trade openness, and the real effective exchange rate strongly affect trade balance, and that the real depreciation of exchange rate exerts strong positive benefits on trade flows in the long run. The study also infers that trade openness and real effective exchange rate had strong influence on exports and imports for Hong Kong, Japan, and South Korea in the short run. However, the depreciation of their currencies discouraged imports in the long run. More so, world income strongly affects the exports and imports of Hong Kong and Japan, while trade openness is advantageous for all the countries. The study recommends the continuation of the prevailing trade-growth pattern, and the existing bilateral pegged exchange rate policy with their trading partners.

Abstract The core objective of this article is to explore the viability of uncovered interest parity and to reconnoiter major determinants of domestic interest rates of the Pakistan and China economies. It is imperative to study the interest rate parity that assistances to comprehend that exactly how exchange rate and domestic interest rate influence foreign interest rate of two economies in emerging trends in international trade. The World Development Indicators is main source of data gathering, and it ranges from 1980 to 2023 for the analysis of both models. This study considers two models, Engle–Granger causality has been applied in Model 1, to analyze the uncovered interest parity, and findings indicate that the exchange rate of each country has no effect on the interest rate of the other country. However, Model 2 investigates the main determinants of domestic interest rate and their long-run associations for Pakistan and China. To capture the long-run association, ARDL estimation technique has been deployed, and findings show the long-run relations and co-integration among the policy variables of both countries. In Pakistan, consumer price index and exchange rate hold positive linking with the domestic interest rate; however, output level is adversely correlated. The error correction term is 91%, confirming the rapidity of equilibrium adjustment when a shock occurs. Regarding the Chinese economy, consumer price index and exchange rate have a negative impact on China domestic interest rate. The results of the error correction model indicate an 80% speed of convergence in the long run. This study suggests that improvement in productivity and exchange rate may assist both economies to experience steady exchange rate and interest rate.