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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 analyze the…

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 an…

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

Book part
Publication date: 24 March 2005

Paul Sarmas

This study investigates the linkage between the Hong Kong stock market and Singapore stock market and the U.S. stock market during the pre- and post-East Asia Financial Crisis in…

Abstract

This study investigates the linkage between the Hong Kong stock market and Singapore stock market and the U.S. stock market during the pre- and post-East Asia Financial Crisis in 1997 and 1998. It uses multivariate regression models to study the impact of Hong Kong’s fixed exchange rate system and Singapore’s free-floating exchange rate system on their respective stock markets. The results indicate that the exchange rate is not a significant determinant of linkage between the U.S. and the two Asian stock markets, but the evidence suggests that stronger post-crisis relationships between the U.S. and the two Asian stock markets. The evidence also supports a stronger short-run relationship between the U.S. and Hong Kong stock markets relative to that between the U.S. and Singapore stock markets.

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Research in Finance
Type: Book
ISBN: 978-0-76231-161-3

Book part
Publication date: 23 October 2017

Rajmund Mirdala and Júlia Ďurčová

Asynchronous current account trends between North and South of the Euro Area were accompanied by significant appreciations of real exchange rate originating in the strong shifts…

Abstract

Asynchronous current account trends between North and South of the Euro Area were accompanied by significant appreciations of real exchange rate originating in the strong shifts in consumer prices and unit labor costs in the periphery economies relative to the core countries of the Euro Area. The issue is whether the real exchange rate is a significant driver of persisting current account imbalances in the Euro Area considering that, according to some authors, differences in domestic demand are more important than is often realized. In the paper we examine relative importance of real exchange rate and demand shocks according to the current account adjustments in the Euro Area member countries. Our results indicate that while the prices and costs related determinants of external competitiveness affected current account adjustments primarily during the pre-crisis period, demand drivers shaped current account balances mainly during the crisis period.

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Economic Imbalances and Institutional Changes to the Euro and the European Union
Type: Book
ISBN: 978-1-78714-510-8

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Book part
Publication date: 19 March 2018

Lentina Simbolon and Purwanto

This research essentially aims to examine the extent to which macroeconomic factors (including interest rate, inflation rate, exchange rate, and GDP growth rate) have a positive…

Abstract

This research essentially aims to examine the extent to which macroeconomic factors (including interest rate, inflation rate, exchange rate, and GDP growth rate) have a positive influence on stock price and the level of significance for that influence. The researchers focused more on real estate and property companies that are listed on the Indonesian Stock Exchange, with consideration for the stock price of real estate and property companies listed on the Indonesia Stock Exchange (IDX) as the most volatile stock during those years (and its market capitalization was the largest during 2012). This study finds that interest rate, inflation rate, exchange rate, and GDP growth rate, as composite variables, have a significant influence on stock price. A partial test revealed that interest rate, inflation rate, and exchange rate have significance on stock price, while GDP growth rate is found to be nonsignificant.

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Global Tensions in Financial Markets
Type: Book
ISBN: 978-1-78714-839-0

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Abstract

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Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

Book part
Publication date: 1 July 2015

Nidhaleddine Ben Cheikh and Waël Louhichi

This chapter analyzes the exchange rate pass-through (ERPT) into different prices for 12 euro area (EA) countries. We provide new up-to-date estimates of ERPT by paying attention…

Abstract

This chapter analyzes the exchange rate pass-through (ERPT) into different prices for 12 euro area (EA) countries. We provide new up-to-date estimates of ERPT by paying attention to either the time-series properties of data and variables endogeneity. Using VECM framework, we examine the pass-through at different stages along the distribution chain, that is, import prices, producer prices, and consumer prices. When carrying out impulse response functions analysis, we find a higher pass-through to import prices with a complete pass-through (after one year) detected for roughly half of EA countries. These estimates are relatively large compared to single-equation literature. We denote that the magnitude of the pass-through of exchange rate shocks declines along the distribution chain of pricing, with the modest effect recorded for consumer prices. When assessing for the determinant of cross-country differences in the ERPT, we find that inflation level, inflation volatility, and exchange rate persistence are the main macroeconomic factors influencing the pass-through almost along the pricing chain. Thereafter, we have tested for the decline of the response of consumer prices across EA countries. According to multivariate time-series Chow test, the stability of ERPT coefficients was rejected, and the impulse responses of consumer prices over 1990–2010 provide an evidence of general decline in rates of pass-through in most of the EA countries. Finally, using the historical decompositions, our results reveal that external factors, that is, exchange rate and import prices shocks, have had important inflationary impacts on inflation since 1999 compared to the pre-EMU period.

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Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons
Type: Book
ISBN: 978-1-78441-779-6

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Book part
Publication date: 13 May 2019

Rosaria Rita Canale and Rajmund Mirdala

In this chapter, the historical and theoretical evolution of the policy framework in Europe is presented. It begins from the early steps guided by the general principles of the

Abstract

In this chapter, the historical and theoretical evolution of the policy framework in Europe is presented. It begins from the early steps guided by the general principles of the Keynesian theory in open economies, goes through its revision after the 1970s and the fall of the Bretton Woods agreements, the creation of the European monetary system, and ends with a presentation of the theoretical underpinning that brought to the model on which the European monetary union was built on. The evolution of the economic theory is pieced together, in the light of the main historical and political facts that occurred. A first insight about the flaws of the Eurozone policy framework is provided.

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Fiscal and Monetary Policy in the Eurozone: Theoretical Concepts and Empirical Evidence
Type: Book
ISBN: 978-1-78743-793-7

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Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

Abstract

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Economics, Econometrics and the LINK: Essays in Honor of Lawrence R.Klein
Type: Book
ISBN: 978-0-44481-787-7

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