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Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Jul2023, Vol. 16 Issue 7, p319. 29p.
Abstract: This paper used the Markov-switching (MS)-based wavelet analysis technique to study the dependence structure and the time–frequency impact of exchange rates on crude oil prices (West Texas Intermediate (WTI)) and stock returns. Daily data from 1 Januar...
THE EFFECTS OF MONEY SUPPLY ON EXCHANGE RATE: EVIDENCE OF DORNBUSCH OVERSHOOTING MODEL IN INDONESIA (2000-2021).
Publication Type: Academic Journal
Source(s): Jurnal Ilmu Ekonomi Terapan. jun2023, Vol. 8 Issue 1, p144-156. 13p.
Abstract: Penelitian ini bertujuan untuk menganalisis pengaruh jumlah uang yang beredar terhadap nilai tukar di Indonesia dan menyelidiki apakah terdapat penerapan Dornbusch Overshooting Model. Metode Autoregressive Distributed-Lag (ARDL) digunakan untuk mengana...
Investigation of the Relationship Between Chaos Data and €/$ Exchange Rate Index Data with RQA Method.
Publication Type: Academic Journal
Source(s): Chaos Theory & Applications (CHTA). Jul2023, Vol. 5 Issue 2, p78-89. 12p.
Abstract: A time series data contains a large amount of information in itself. Chaos data and volatility data which calculated by any time series are also derivative information included in the same time series. According to these assumptions, it is very importa...
Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks.
Publication Type: Academic Journal
Source(s): Sosyoekonomi. Jul2023, Vol. 31 Issue 57, p25-45. 21p.
Abstract: Bu çalışma, 1994:M1-2021:M9 döneminde 38 OECD üyesi ülke için satın alma gücü paritesi (SAGP) hipotezini Hepsağ (2021) birim kök testi ile incelemeyi amaçlamaktadır. OECD ülkelerinin tamamı için hem yapısal değişimi hem de doğrusal olmamayı dikkate ala...
A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates.
Publication Type: Academic Journal
Source(s): Data (2306-5729). Jul2023, Vol. 8 Issue 7, p122. 24p.
Abstract: In this paper, a hybrid of a Wavelet Decomposition–Generalised Auto-Regressive Conditional Heteroscedasticity–Extreme Value Theory (WD-ARMA-GARCH-EVT) model is applied to estimate the Value at Risk (VaR) of BitCoin (BTC/USD) and the South African Rand ...
On the Exchange Rate Dynamics of the Norwegian Krone.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Jul2023, Vol. 16 Issue 7, p308. 18p.
Abstract: Global energy production is undergoing a transition from fossils to renewables. At the same time, the Norwegian Oil Fund has grown exponentially in size and is now a major global investor. These events in combination are likely to impact the dynamics o...
Do Large Datasets or Hybrid Integrated Models Outperform Simple Ones in Predicting Commodity Prices and Foreign Exchange Rates?
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Jun2023, Vol. 16 Issue 6, p298. 25p.
Abstract: With the continuous advancement of machine learning and the increasing availability of internet-based information, there is a belief that these approaches and datasets enhance the accuracy of price prediction. However, this study aims to investigate th...
Global Portfolio Rebalancing and Exchange Rates.
Publication Type: Academic Journal
Source(s): Review of Financial Studies. Nov2022, Vol. 35 Issue 11, p5228-5274. 47p.
Abstract: We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies. Our equilibrium model of incomplete foreign exchange (FX) risk trading where exchange rate...
A Review of Econometric Approaches for the Oil Price-Exchange Rate Nexus: Lessons for ASEAN-5 Countries.
Publication Type: Academic Journal
Source(s): Energies (19961073). May2023, Vol. 16 Issue 9, p3839. 15p.
Abstract: This paper reviews alternative econometric approaches the literature has used to examine the connectedness between oil prices and exchange rates and illustrates their application using quarterly data from 1970: Q1 to 2022: Q1 for ASEAN-5 countries, whi...
العوامل المؤثرة على سعر صرف الجنيه السوداني خلال الفترة (2020-2021).
Publication Type: Academic Journal
Source(s): Zarqa Journal for Research & Studies in Humanities. 2023, Vol. 23 Issue 2, p525-535. 11p.
Abstract: This study aims at finding out the most important factors affecting the exchange rate of the Sudanese pound during the period (2001 - 2020). It also aims at identifying the effect of the following variables: (gross domestic product (GDP), inflation rat...