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Book part
Publication date: 4 July 2019

Erdoğan Kotil

The exchange rate has been an important topic in the Turkish Economy for many years. It affects prices with exchange rate pass-through. The aim of this chapter is to…

Abstract

The exchange rate has been an important topic in the Turkish Economy for many years. It affects prices with exchange rate pass-through. The aim of this chapter is to analyze the dual relationship between exports and imports, exports and the exchange rate, imports and the exchange rate by using time series analysis. The results indicate that there is only one causal relationship between exports and imports. The direction is from imports to exports.

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Contemporary Issues in Behavioral Finance
Type: Book
ISBN: 978-1-78769-881-9

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Book part
Publication date: 2 December 2003

Jongmoo Jay Choi, Takato Hiraki and Nobuya Takezawa

This paper examines the exchange risk sensitivity of Japanese firms, and the exchange risk pricing in the Japanese stock market for the period of 1975–2001. We find that…

Abstract

This paper examines the exchange risk sensitivity of Japanese firms, and the exchange risk pricing in the Japanese stock market for the period of 1975–2001. We find that an appreciation of the yen is positively associated with industry portfolio returns. This supports the dominance of wealth effects over cash flow effects. This is in contrast to U.S. studies that report a weak, negative relationship between stocks and the domestic currency. The results are more pronounced in the pre-Crash period, and vary somewhat depending on the exchange risk measures used. Similarly, the exchange risk is priced in the pre-Crash period, but not in the post-Crash period. These results suggest that the exchange rate elasticity of the Japanese economy has declined in the post-bubble period of economic stagnation.

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The Japanese Finance: Corporate Finance and Capital Markets in ...
Type: Book
ISBN: 978-1-84950-246-7

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Book part
Publication date: 30 April 2008

Rebecca Abraham and Charles W. Harrington

We propose a novel method of forecasting equity option spreads using the degree of multiple listing as a proxy for expectations of future spreads. Spreads are a…

Abstract

We propose a novel method of forecasting equity option spreads using the degree of multiple listing as a proxy for expectations of future spreads. Spreads are a transactions fee for traders. To determine the future spreads on options being considered for purchase, traders must take current market trends affecting spreads into account. One such trend is the continued decline in spreads due to the multiple listing of options. Options listed on 4–6 exchanges compete more intensely than those listed on fewer exchanges, so that they may be expected to experience greater future declines in spreads. This study identifies the listing dates and number of listed exchanges for options listed on up to six exchanges as of May 2005. Listing criteria for multiple listing are defined with short- and long-term volumes, market capitalization, net income, and total assets being significant determinants of multiple listing. Short- and long-term volumes were found to have no explanatory power for multiple listing. Ranges of listing criteria are specified so that traders may locate the options of their choice.

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Advances in Business and Management Forecasting
Type: Book
ISBN: 978-0-85724-787-2

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Article
Publication date: 4 January 2022

Abdul-Razak Bawa Yussif, Stephen Taiwo Onifade, Ahmet Ay, Murat Canitez and Festus Victor Bekun

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…

Abstract

Purpose

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?

Design/methodology/approach

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.

Findings

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.

Research limitations/implications

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.

Practical implications

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.

Social implications

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.

Originality/value

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.

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Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1026-4116

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Article
Publication date: 23 December 2021

Khurram Sharif, Nauman Farooqi, Norizan Kassim and Mohamed Zain

This study aims to focus on how informal value transfer networks, Hawala business in particular, used social exchanges in their business dealings. More specifically, the…

Abstract

Purpose

This study aims to focus on how informal value transfer networks, Hawala business in particular, used social exchanges in their business dealings. More specifically, the conducted research looked into how social exchange theory was used in Hawala business relationship initiation and management.

Design/methodology/approach

Twenty-one depth interviews were conducted with Hawala Network members, and Hawala customers, in Qatar, Saudi Arabia and Pakistan. The collected qualitative data were analyzed through content analysis and NVivo 11 software.

Findings

The study outcome indicated that Social Exchange Theory was a principal relationship driver in Hawala Networks. Especially, trust had a pivotal role in evolvement and nurturing of Hawala Network business and social exchanges. Other relationship variables, namely, reciprocity, religious affiliation, reputation and information sharing had a significant part in relationship building as well. Results supported a prominent influence of time in carefully controlled and rigorously assessed transformation of Hawala relationships. This metamorphosis converted an exchange from short-term into a long-term orientation where limited amount transactions changed into large sum transactions and restricted information exchange moved to elaborate information sharing. In addition, findings revealed that monetary and non-monetary interactions between Hawala Network members took the form of a homogeneous club, with shared social, cultural, religious and ethnic values. In particular, financially constrained and illiterate social groups preferred Hawala services due to ease of servicing in the form of minimal bureaucracy, fast transfers and low service charges. These marginalized fractions of society had limited access to formal banking which made Hawala business their main (and in most cases only) source for sending and receiving financial remittances. Hawala Networks provided an effective alternative to formal banking for disadvantaged communities.

Originality/value

This study provided unique and useful insights into the nature of social exchanges within Hawala Networks. Especially, it provided clarification on how informal networked businesses used Social Exchange Theory to by-pass the need for legal protection and formal contracts. Furthermore, the study highlighted the role Hawala business played in providing essential banking services (e.g. transfer of money and micro-lending) to educationally and economically deprived individuals.

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Society and Business Review, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-5680

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Article
Publication date: 7 December 2021

Shelly Singhal, Sangita Choudhary and Pratap Chandra Biswal

The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context.

Abstract

Purpose

The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context.

Design/methodology/approach

This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study.

Findings

Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market).

Originality/value

To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

Details

International Journal of Energy Sector Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1750-6220

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Article
Publication date: 12 November 2021

Ulrike Fasbender, Fabiola H. Gerpott and Dana Unger

Knowledge exchange between older and younger employees enhances the collective memory of an organization and therefore contributes to its business success. The purpose of…

Abstract

Purpose

Knowledge exchange between older and younger employees enhances the collective memory of an organization and therefore contributes to its business success. The purpose of this paper is to take a motivational perspective to better understand why older and younger employees share and receive knowledge with and from each other. Specifically, this study focuses on generativity striving – the motivation to teach, train and guide others – as well as development striving – the motivation to grow, increase competence and master something new – and argues that both motives need to be considered to fully understand intergenerational knowledge exchange.

Design/methodology/approach

This paper takes a dyadic approach to disentangle how older employees’ knowledge sharing is linked to their younger colleagues’ knowledge receiving and vice versa. The study applied an actor-partner interdependence model based on survey data from 145 age-diverse coworker dyads to test the hypotheses.

Findings

Results showed that older and younger employees’ generativity striving affected their knowledge sharing, which, in turn, predicted their colleagues’ knowledge receiving. Moreover, the study found that younger employees were more likely to receive knowledge that their older colleagues shared with them when they scored higher (vs lower) on development striving.

Originality/value

By studying the age-specific dyadic cross-over between knowledge sharing and knowledge receiving, this research adds to the knowledge exchange literature. This study challenges the current age-blind view on knowledge exchange motivation and provides novel insights into the interplay of motivational forces involved in knowledge exchange between older and younger employees.

Details

Journal of Knowledge Management, vol. 25 no. 10
Type: Research Article
ISSN: 1367-3270

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Article
Publication date: 26 November 2021

Mohini Gupta and Sakshi Varshney

The aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real…

Abstract

Purpose

The aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real exchange rate on 45 import commodities, considering global financial crisis period on India's import from the US. The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effect and causality among variables.

Design/methodology/approach

The study uses E-GARCH model to gage the real exchange rate volatility, an autoregressive distributive lag (ARDL) bound test technique to discover the adequate short- and long-run relationships and Toda-Yamamoto causality method to analyze the causality among variables. The study uses the time period from 2002:M09 to 2019:M06.

Findings

The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effects and causality among variables.

Practical implications

The finding of the study suggests that macroeconomic variables have significant role and could be important to undertake the small and medium scale industries in policymaking. Government may need to make decision for micro, small and medium enterprises (MSMEs) as their performance can bring change in the trade to compete globally by increasing and controlling the price of the import and defending the domestic competitiveness.

Originality/value

The study uses additional variable namely price of import and includes the global financial crisis period to measure dampening effect on each commodity by using robust econometric technique in context of emerging nation like India.

Details

South Asian Journal of Business Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2398-628X

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Article
Publication date: 21 October 2021

Hamid Baghestani

The literature mostly investigates the impact of trade and financial integration on business cycle synchronization. The author differs by focusing on the real effective…

Abstract

Purpose

The literature mostly investigates the impact of trade and financial integration on business cycle synchronization. The author differs by focusing on the real effective exchange rate as the target variable in the North American Free Trade Agreement (NAFTA) region. In particular, the author investigates synchronization by analyzing the short- and long-run dynamics of the real effective exchange rates of Canada, Mexico and the US for 2008–2019.

Design/methodology/approach

The author first employs stationarity and cointegration tests to specify and estimate the long-run equilibrium relation between the real effective exchange rates of Canada, Mexico and the US. The author then specifies and estimates an error-correction model for each real effective exchange rate in order to investigate whether the adjustment in eliminating disequilibrium is asymmetric.

Findings

The results indicate that the real effective exchange rates of Canada, Mexico and the US are cointegrated with only one long-run equilibrium relation. Canada's real effective exchange rate responds symmetrically to eliminate both negative and positive disequilibrium with a similar speed of adjustment. However, the response of Mexico's real effective exchange rate is asymmetric, as it responds to eliminate only positive disequilibrium. The US real effective exchange rate does not respond to disequilibrium, perhaps because it has a large economy with much stronger competition beyond the NAFTA region than both Canada and Mexico.

Originality/value

This is the first study that investigates real effective exchange rate synchronization in the NAFTA region.

Details

Journal of Economic Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 11 November 2021

Abdul Rashid and Mohammad Basit

This paper aims to explore the empirical determinants of exchange-rate volatility (ERV) in selected Asian economies, namely, Bangladesh, China, India, Indonesia, Malaysia…

Abstract

Purpose

This paper aims to explore the empirical determinants of exchange-rate volatility (ERV) in selected Asian economies, namely, Bangladesh, China, India, Indonesia, Malaysia and Pakistan. Specifically, it examines how the volatility of foreign reserves, government spending, industrial production, gold prices and terms of trade affect monthly ERV during the examined period.

Design/methodology/approach

The authors carry out the empirical analysis by using monthly data for the period January 1997–March 2019. First, the volatility of the underlying variables is measured based on the conditional variances obtained by estimating the univariate (generalized) autoregressive conditional heteroskedasticity [(G)ARCH] model for each variable during the study period. Next, the autoregressive conditional heteroscedasticity (ARCH)-Lagrange multiplier test is applied to ensure that there are no remaining ARCH effects in the residuals. Finally, the multivariate autoregressive-moving average-GARCH (1, 1) models are estimated to examine whether and how the volatility of the underlying variables affects ERV.

Findings

The results reveal that the current period volatility of exchange rates is significantly affected by ERV in the previous period in all selected countries. The results also indicate that the volatilities of the underlying macroeconomic variables are quite differently related to ERV in examined Asian countries. Foreign-reserve volatility (VFXRES) has negative and significant impacts on ERV in Bangladesh, China and Malaysia. Government-spending volatility is negatively related to ERV in India, whereas it is positively related to ERV in all other examined countries. The results also suggest that although terms-of-trade volatility reduces ERV in both Bangladesh and Pakistan, it amplifies ERV in the remaining examined countries. However, gold-price volatility (VGOLDP) significantly, positively contributes to ERV in Bangladesh, Indonesia and Malaysia. On the contrary, the higher volatility in industrial production (VIPI) results in lower ERV in Indonesia and Pakistan, whereas it increases ERV in China, India and Malaysia.

Practical implications

The findings have several important policy implications. First, the findings suggest that both Bangladesh and Malaysia should keep an adequate level of foreign reserves to stabilize their foreign exchange rates. Second, as government-spending volatility has a vital role in determining ERV, it is necessary to bring sustainability and continuity in government expenditures. Bangladesh and Pakistan can stabilize their foreign exchange rates by making exports more competitive, viable and accessible.

Originality/value

This paper significantly contributes to the existing literature by exploring how the behavior of unexpected variations in the factors determining exchange rates affects ERV in selected Asia countries. Most of the published studies have examined the determinants of exchange rates by considering the macroeconomic variables at their levels. Departing from the existing studies, this paper significantly relates the volatility (second moment) of exchange rate determinants to the behavior of ERV. Further, this paper provides firsthand empirical evidence on this issue for the selected Asian economies.

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1754-4408

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