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This study examines the importance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand. To this end, the authors construct a small open economy New Keynesian dynamic stochastic general equilibrium (DSGE) model. The model encompasses several essential characteristics, including incomplete financial markets, incomplete exchange rate pass-through, deviations from the law of one price and a banking sector. The authors consider generalized Taylor rules, in which policymakers adjust policy rates in response to output, inflation, credit growth and exchange rate fluctuations. The marginal likelihoods are then employed to investigate whether the central bank responds to fluctuations in the exchange rate and credit growth.

This study constructs a small open economy DSGE model and then estimates the model using Bayesian methods.

The authors demonstrate that the monetary authority does target exchange rates, whereas there is no evidence in favor of incorporating credit growth into the policy rules. These findings survive various robustness checks. Furthermore, the authors demonstrate that domestic shocks contribute significantly to domestic business cycles. Although the terms of trade shock plays a minor role in business cycles, it explains the most significant proportion of exchange rate fluctuations, followed by the country risk premium shock.

This study is the first attempt at exploring the relevance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand.

Understanding which market to invest in for a well-diversified portfolio is fundamental in economies that are highly vulnerable to fluctuations in exchange rates. Extant literature that has considered phenomenon hardly juxtapose the markets. The purpose of this study is to examine the effects of exchange rate volatility on the Stock and Real Estate market of South Africa. The essence is to determine whether the fluctuations in the exchange rate influence the markets prices differently.

The Generalised Autoregressive Conditional Heteroskedasticity [GARCH (1.1)] model was used in establishing the effect of exchange rate volatility on both markets. This study used monthly South African data between 2000 and 2020.

The results of this study showed that increased exchange rate volatility increases stock market volatility but decreases real-estate market volatility, both of which revealed weak influences from the exchange rates volatility.

This study has implication for policy in using the exchange rate as a policy tool to attract foreign portfolio investment. The weak volatility transmission from the exchange rate market to the stock and real estate market indicates that there is prospect for foreign investors to diversify their investments in these two markets.

This study investigated which of the assets market, stock or housing market do better in volatile exchange rate conditions in South Africa.

Brazil uses the dollar as a vehicle currency to invoice its exports. This fact produces a tendency toward equalizing the prices of products in dollars in the international market and reducing the ability of firms to practice pricing-to-market (PTM). This study aims to evaluate the hypothesis by estimating error correction models in panel data, obtaining estimates of PTM for 25 manufacturing products exported by Brazil between 2010 and 2020.

This study uses the correlated common effect estimator proposed by Pesaran (2006) and Chudik and Pesaran (2015b) to estimate the PTM coefficients.

Results of this study indicate that exporters practice local-currency pricing stability for dollar prices. This study obtains that Brazilian exporters tend to stabilize their dollar price for exports, reducing heterogeneity between destination markets. The results are in agreement with the hypothesis of the prevalence of the coalescing effect of Goldberg and Tille (2008) and lower sensitivity of the markup adjustment to the specific market, as pointed out by Corsetti et al. (2018). The pricing of Brazilian exports in dollars reflects a profit maximization strategy that considers an international price system based on global demand for products.

In addition to analyzing the dollar role in the pricing of Brazilian exports through the triangular decomposition, this study also shows the importance of examining the cross-section dependence of errors, considering the heterogeneous cointegration in export pricing models and producing PTM estimates for short-term and long-term.

This study investigates if the causal relationships between the exchange rates and selected inbound markets’ tourism demand are temporary or permanent, and compares market reactions in Türkiye.

Tourism demand is examined with a regional approach, focusing on the geographical markets, namely Europe, Commonwealth of Independent States (CIS) members and Asian countries, as the top inbound tourism markets, in addition to the total number of inbound tourists to Türkiye. Granger, frequency-domain causality, asymmetric Toda–Yamamoto, and asymmetric frequency-domain causality tests were employed to investigate and compare markets on exchange rate–tourism demand relationship for 2008M01-2020M02.

The results indicate that exchange rates affect European tourism demand both in the short and long run. The meaning of this Frequency Domain Causality (FDC) analysis finding shows that the exchange rate has both permanent and temporary effects on European tourists. The relationships are statistically insignificant for CIS members and Asian countries. The exchange rates also permanently affect total inbound tourism demand, but the independent variable has no short-run (temporary) effects on total demand. Asymmetric causality tests confirmed a permanent causality relationship from the positive and negative components of exchange rates to the positive and negative components of European and total tourism demand.

The Granger causality test provides information on the presence of a causal relation, while the FDC test, an extended version of Granger causality, enlightens the short- (temporary) and long-run (permanent) relationships and allows for analyzing the duration of the impact. In addition, asymmetric causality relationships are also investigated in the study. Besides, this study is the first in the literature to examine the relationship between tourism demand and the exchange rate regionally (continentally) for Türkiye.

As one of the world's most valuable traded commodities, the market for coffee beans has grown enormously in recent years. The paper aims on analyzing the nonlinear exchange rate pass-through in Turkish coffee bean imports from two important sources in South America: Brazil and Colombia.

Data collected in this paper through reliable channels include nominal import value, exchange rate, production of total industry, etc. Independent and dependent variables are obtained through conversion. Since the nonlinearly adjusted exchange rate differs significantly from the linearly adjusted one for the export trade of Brazilian coffee beans, this paper develops the autoregressive distributed lag (ARDL) and nonlinear ARDL frameworks and demonstrates their application through asymmetric cointegration and error correction models.

The results of this paper show that imports of Brazilian coffee bean exhibit a more dramatic asymmetry compared to Colombia's coffee bean imports. The results of this study contribute to the import trade of non-oil commodities in developing countries, particularly Brazil, and enrich the existing literature on nonlinear exchange rate adjustments.

The export of Colombian coffee beans is not as old as Brazil, and it was not until much later that Colombia began to export coffee beans to the rest of the world.

The present study is an addition to the literature of agricultural trade. The authors analyze the nonlinear exchange rate pass-through in Turkish coffee bean imports from two important sources in South America: Brazil and Colombia. Different from the current mainstream research on oil commodity trade, this paper focuses on international trade from the perspective of coffee beans, which can enlighten the practice in this field.

This study aims to construct alternative models to establish the dynamic relationship between exchange rates and housing affordability by estimating both the short- and long-run relationship between exchange rates and housing affordability for 18 OECD countries from 1975Q1 to 2022Q4. After that, this study demonstrates how this nexus behaves during high and low inflation regimes and turbulent times.

This study uses the panel autoregressive distributed lag technique to examine the nexus between housing affordability to capture the distinct characteristics of the sample countries and estimate various short- and long-run dynamics in the relationship between housing affordability and exchange rate.

Exchange rate appreciation improves housing affordability in the short run, whereas this connection tends to dissipate in the long run. Moreover, inflation can worsen housing affordability during turbulent times, such as the global financial crisis, in both the short and long run. Ignoring these changes in the relationship between exchange rates and housing affordability during turbulent times can lead to incorrect conclusions.

To the best of the authors’ knowledge, this study is the first to examine the association between exchange rates and housing affordability by demonstrating how these variables behave in high and low inflation regimes and turbulent times.

The authors investigate the impact of the US stock market on the economies of the BRICS and major industrialized economies (G7).

The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. Global vector autoregressive (GVAR) empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.

The authors summarize the results in four points: (1) financial integration variables increase the effect of the US stock market on the BRICS and G7, (2) the US shock produces similar responses in these groups regarding industrial production, stock markets and confidence but different responses regarding domestic currencies: in the BRICS, the authors detect appreciation of the currencies, while in the G7, the authors find depreciation, (3) G7 stock markets and policy rates are more sensitive to the US shock than the BRICS and (4) the estimates point out to heterogeneities such as the importance of industrial production to the transmission shock in Japan and China, the exchange rate to India, Japan and the UK, the interest rates to the Eurozone and the UK and confidence to Brazil, South Africa and Canada.

The results reinforce the importance of taking into account different levels of economic development.

The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. GVAR empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.

The volatility of exchange rate has generally been sighted as a primary cause for various shocks and instability in international trade of Ghana as witnessed over the years and most especially in recent times. Hence, owing to the increasing trade levels between Ghana and Ghana's global trading partners, the study aims to investigate if the trade–exchange rate volatility nexus in Ghana supports the positive, negative or ambiguous hypotheses?

The study investigates the effects of Ghana's exchange rate volatility on international trade by designing import and export equations to estimate both short- and long-run specifications of the effect and employing the multivariate generalized autoregressive conditional heteroskedasticity (GARCH) with Baba, Engle, Kraft and Kroner (BEKK) specification developed by Engle and Kroner (1995) as a further check for the robustness of the findings. Monthly data between 1993 and 2017 on the real effective exchange rates of Ghana's trade with 143 trading partners were taken as the series for modeling the volatility using GARCH andexponential generalized autoregressive conditional heteroskedastic (EGARCH) models.

The empirical results show that the volatility of exchange rate negatively impact export performances in the Ghanian economy. On the other hand, there was no sufficient evidence to support the observed positive effect of exchange rate volatility on imports, as the effects were only significant at 10% level in the long run. Thus, it is concluded that the finding cannot confirm a relationship between volatility and import. Thus, the results present differences in the direction of the effect of exchange rate volatility on imports and exports in the context of the Ghanaian economy.

Considering the fragility of the Ghanaian economy and Ghana's macro-economic indicators, the study points at the crucial need for more integration of well-informed trade policies within the country's macro-economic policy framework to contain the impacts of exchange rate volatility on trade performances.

The study contributes to literature by scope and method. More specifically, empirical studies have failed or provided little evidence uniquely on the Ghanaian economy's reaction to exchange rate volatility on the country's imports and exports. Additionally, most of the existing empirical studies measure exchange rate volatility using the standard deviation of the moving averages of the logarithmic transformation of exchange rates. This method is criticized because the method is unsuccessful in capturing the effects of potential booms and bursts of the exchange rate. The authors' study circumvents for these highlighted pitfalls.

The study contributes to literature by scope and method. More specifically, empirical studies have failed or provided little evidence uniquely on the Ghanaian economy's reaction to exchange rate volatility on the country's imports and exports. Thus, the study chat a course for socio-economic dynamic of Ghanaian economy.

The study contributes to literature by its scope and method, as extant empirical studies have provided little evidence specifically on the Ghanaian economy's reaction to exchange rate volatility. Additionally, most of the existing empirical studies measure exchange rate volatility using the standard deviation of the moving averages of the logarithmic transformation of exchange rates. This method is criticized because of the method's inadequacies in capturing the effects of potential booms and bursts of the exchange rate. The study thereby essentially circumvents for these highlighted pitfalls.

The authors investigate whether firm-specific vulnerability to climate change influences foreign exchange hedging, using a novel text-based measure of firm-level climate change exposure generated by state-of-the-art machine-learning algorithms.

The authors' empirical analysis includes firm-fixed effects, random-effects regressions, propensity score matching (PSM), entropy balancing, an instrumental-variable analysis and using an exogenous shock as a quasi-natural experiment.

The authors' findings suggest that greater climate change exposure brings about a significant reduction in exchange rate hedging. Companies more exposed to climate change may invest significant resources to address climate change risk, such that they have fewer resources available for currency risk management. Additionally, firms seriously coping with climate change risk may view exchange rate risk as relatively less important in comparison to the risk posed by climate change. Notably, the authors also find that the negative effect of climate change exposure on currency hedging can be specifically attributed to the regulatory aspect of climate change risk rather than the physical dimension, suggesting that companies view the regulatory dimension of climate change as more critical.

Recent studies have demonstrated that climatic fluctuations represent one of the most recent sources of unpredictability, thereby impacting the economy and financial markets (Barnett et al., 2020; Bolton and Kacperczyk, 2020; Engle et al., 2020). The authors' study advances this field of research by revealing that company-specific exposure to climate change serves as a significant determinant of corporate currency hedging, thus expanding the existing knowledge base.

Might the impact of the financial stress on exchange markets be asymmetric and exposed to regime changes? Departing from the existing literature, highlighting that the domestic and foreign financial stress in terms of money market have substantial effects on exchange market, this paper aims to investigate the impacts of the bond yield spreads of three emerging countries (Mexico, Russia, and South Korea) on their exchange market pressure indices using monthly observations for the period 2010:01–2019:12. Additionally, the paper analyses the impact of bond yield spread of the US on the exchange market pressure indices of the three mentioned emerging countries. The authors hypothesized whether the negative and positive changes in the bond yield spreads have varying effects on exchange market pressure indices.

To address the research question, we measure the bond yield spread of the selected countries by using the interest rate spread between 10-year and 3-month treasury bills. At the same time, the exchange market pressure index is proxied by the index introduced by Desai et al. (2017). We base the empirical analysis on nonlinear vector autoregression (VAR) models and an asymmetric quantile-based approach.

The results of the impulse response functions indicate that increases/decreases in the bond yield spreads of Mexico, Russia and South Korea raise/lower their exchange market pressure, and the effects of shocks in the bond yield spreads of the US also lead to depreciation/appreciation pressures in the local currencies of the emerging countries. The quantile connectedness analysis, which allows for the role of regimes, reveals that the weights of the domestic and foreign bond yield spread in explaining variations of exchange market pressure indices are higher when exchange market pressure indices are not in a normal regime, indicating the role of extreme development conditions in the exchange market. The quantile regression model underlines that an increase in the domestic bond yield spread leads to a rise in its exchange market pressure index during all exchange market pressure periods in Mexico, and the relevant effects are valid during periods of high exchange market pressure in Russia. Our results also show that Russia differs from Mexico and South Korea in terms of the factors influencing the demand for domestic currency, and we have demonstrated the role of domestic macroeconomic and financial conditions in surpassing the effects of US financial stress. More specifically, the impacts of the domestic and foreign financial stress vary across regimes and are asymmetric.

This study enriches the literature on factors affecting the exchange market pressure of emerging countries. The results have significant economic implications for policymakers, indicating that the exchange market pressure index may trigger a financial crisis and economic recession.