Pub Date : 2015-05-01DOI: 10.5089/9781484364222.001.A001
N. Griffin
The appreciation of the real exchange rate over the past several years is considered one of the key drivers behind the weak performance of Colombia’s manufacturing sector in recent years. This paper examines the effects of the real exchange rate, external and domestic demand, and structural changes on firms’ profitability in Colombia’s manufacturing sector between 2000 and 2012. While export intensive companies have suffered lower profit growth with real exchange rate appreciation, we find no strong evidence that real appreciation has, on average, negatively affected the profitability of manufacturing firms; on the contrary, we find that real appreciation may have increased firms’ profitability by reducing the cost of imported inputs as Colombian manufacturing firms become more domestically oriented. At the same time, some structural changes (related to trade disruption with Venezuela and increased trade competition from China) seem to partially explain the weakness of the manufacturing sector since 2008.
{"title":"Determinants of Firm Profitability in Colombia's Manufacturing Sector: Exchange Rate or Structural?","authors":"N. Griffin","doi":"10.5089/9781484364222.001.A001","DOIUrl":"https://doi.org/10.5089/9781484364222.001.A001","url":null,"abstract":"The appreciation of the real exchange rate over the past several years is considered one of the key drivers behind the weak performance of Colombia’s manufacturing sector in recent years. This paper examines the effects of the real exchange rate, external and domestic demand, and structural changes on firms’ profitability in Colombia’s manufacturing sector between 2000 and 2012. While export intensive companies have suffered lower profit growth with real exchange rate appreciation, we find no strong evidence that real appreciation has, on average, negatively affected the profitability of manufacturing firms; on the contrary, we find that real appreciation may have increased firms’ profitability by reducing the cost of imported inputs as Colombian manufacturing firms become more domestically oriented. At the same time, some structural changes (related to trade disruption with Venezuela and increased trade competition from China) seem to partially explain the weakness of the manufacturing sector since 2008.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85103646","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
English Abstract: В статье анализируются возможные причины валютного кризиса середины декабря 2014 года. Автор показывается, что основной причиной кризиса было исполнение на российском валютном рынке большой заявки на продажу рублей за короткое время; торговля на опережение, а также экспирация опционов и фьючерсов могли дополнительно усугубить падение рубля. В статье обсуждаются действия Московской Биржи и Банка России во время кризиса, а также предлагается список мер, которые могли бы помочь в будующем предотвращать подобные кризисы или своевременно и эффективно на нах реагировать.English Abstract: We analyze possible reasons behind the crash of the Russian ruble in mid December 2014. We show that the market break probably happened due to the execution of a large order that converted Russian rubles into U.S. dollars over a short period of a few days. Expirations of futures and options as well as possible front-running could have exacerbated the collapse of the Russian currency. We discuss measures taken by the Moscow Exchange and Bank of Russia during the episode and make several recommendations to prevent a repetition of the similar events and to provide an effective response in the face of future market breaks.
English Abstract:这篇文章分析了2014年12月中旬货币危机的可能原因。提交人指出，危机的主要原因是俄罗斯货币市场在短时间内实施了大量卢布出售请求;提前交易，以及期权和期货的扩张，可能会进一步加剧卢布的贬值。这篇文章讨论了莫斯科证券交易所和俄罗斯银行在危机期间的行动，并提出了一份措施清单，可以帮助防止未来的危机，或及时有效地应对危机。英语Abstract: 2014年，我们对俄罗斯中部地区的混乱进行了分析。我们展示了市场上的突破，这是俄罗斯人在美国统治下的一项重大行动。《未来的探索》和《未来的探索》都是由俄罗斯柯伦西的《奔跑的牛》所激发的。我们在莫斯科交易所和俄罗斯银行之间分摊了一笔资产，并在未来市场的面貌上重新制作了“模拟事件”。
{"title":"Анализ Событий на Российском Валютном Рынке 15-16 Декабря 2014 года (The Russian Ruble Crisis of December 2014)","authors":"Anna A. Obizhaeva","doi":"10.2139/SSRN.2592752","DOIUrl":"https://doi.org/10.2139/SSRN.2592752","url":null,"abstract":"English Abstract: В статье анализируются возможные причины валютного кризиса середины декабря 2014 года. Автор показывается, что основной причиной кризиса было исполнение на российском валютном рынке большой заявки на продажу рублей за короткое время; торговля на опережение, а также экспирация опционов и фьючерсов могли дополнительно усугубить падение рубля. В статье обсуждаются действия Московской Биржи и Банка России во время кризиса, а также предлагается список мер, которые могли бы помочь в будующем предотвращать подобные кризисы или своевременно и эффективно на нах реагировать.English Abstract: We analyze possible reasons behind the crash of the Russian ruble in mid December 2014. We show that the market break probably happened due to the execution of a large order that converted Russian rubles into U.S. dollars over a short period of a few days. Expirations of futures and options as well as possible front-running could have exacerbated the collapse of the Russian currency. We discuss measures taken by the Moscow Exchange and Bank of Russia during the episode and make several recommendations to prevent a repetition of the similar events and to provide an effective response in the face of future market breaks.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73839442","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-04-01DOI: 10.1016/J.EJPOLECO.2015.03.007
C. Bodea
{"title":"Fixed Exchange Rates with Escape Clauses: The Political Determinants of the European Monetary System Realignments","authors":"C. Bodea","doi":"10.1016/J.EJPOLECO.2015.03.007","DOIUrl":"https://doi.org/10.1016/J.EJPOLECO.2015.03.007","url":null,"abstract":"","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"131 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77766866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
German Abstract: Im Januar 2015 verkundete die Schweizer Nationalbank, dass die feste Bindung des Franken an den Euro aufgehoben sei und der Franken fortan frei schwanken solle. Dies brachte den Franken unter starken Aufwertungsdruck und die Schweizer Nationalbank kehrte innerhalb kurzer Zeit zu einer Wechselkursbindung ohne offentlich angekundigten Leitkurs zuruck. Der Artikel zeigt, dass die Wahrungen von Landern mit persistenten Leistungsbilanzuberschussen und hohen fremdwahrungsdenominierten Nettoauslandsvermogen wie der Schweizer Franken und der japanische Yen unter einem persistenten Aufwertungsdruck stehen. Aufwertungserwartungen, die von offentlichen Ankundigungen einer Aufwertung ausgelost werden, fuhren zu einem Run in die inlandische Wahrung, der Aufwertungserwartungen sich selbsterfullend macht. Es entstehen multiple Gleichgewichte: die Aufwertung und die aufwertungsbedingte Krise hangen von den Signalen der Zentralbank bezuglich der Toleranz gegenuber einer Aufwertung ab. Dieses Phanomen verstarkt sich in einem Umfeld sehr expansiver Geldpolitiken in den Zentren des Weltwahrungssystems. Die wirtschaftspolitische Implikation ist die feste Bindung des Frankens an den Euro, weil eine bessere Losung nicht verfugbar ist. English Abstract: In January 2015 the Swiss National Bank announced that the hard peg of the Swiss franc against the euro will be released and that the Swiss currency should from now on float freely. This announcement brought the Swiss franc under strong appreciation pressure. The Swiss National Bank returned within short time to a tight peg without officially announced parity. The paper shows that currencies of countries with persistent current account surpluses and high foreign currency denominated debt such as the Swiss franc and the Japanese yen are under a persistent appreciation pressure. Appreciation expectations, which are triggered by official announcements of appreciations, lead into runs in the domestic currency, which make appreciation expectations self-fulfilling. Multiple equilibria emerge: The appreciation of the domestic currency and the appreciation-induced crisis depend on the signals of the central bank concerning its tolerance of an appreciation of the domestic currency. The phenomenon is enhanced in an environment of very expansionary monetary policies in the centres of the world monetary system. The economic policy implication is a tight peg of the Swiss franc to the euro, because a better solution is not available.
{"title":"Japans Lehren Für Das Schweizer Wechselkursdilemma (Japans Lessons for the Swiss Exchange Rate Dilemma)","authors":"G. Schnabl","doi":"10.2139/SSRN.2562472","DOIUrl":"https://doi.org/10.2139/SSRN.2562472","url":null,"abstract":"German Abstract: Im Januar 2015 verkundete die Schweizer Nationalbank, dass die feste Bindung des Franken an den Euro aufgehoben sei und der Franken fortan frei schwanken solle. Dies brachte den Franken unter starken Aufwertungsdruck und die Schweizer Nationalbank kehrte innerhalb kurzer Zeit zu einer Wechselkursbindung ohne offentlich angekundigten Leitkurs zuruck. Der Artikel zeigt, dass die Wahrungen von Landern mit persistenten Leistungsbilanzuberschussen und hohen fremdwahrungsdenominierten Nettoauslandsvermogen wie der Schweizer Franken und der japanische Yen unter einem persistenten Aufwertungsdruck stehen. Aufwertungserwartungen, die von offentlichen Ankundigungen einer Aufwertung ausgelost werden, fuhren zu einem Run in die inlandische Wahrung, der Aufwertungserwartungen sich selbsterfullend macht. Es entstehen multiple Gleichgewichte: die Aufwertung und die aufwertungsbedingte Krise hangen von den Signalen der Zentralbank bezuglich der Toleranz gegenuber einer Aufwertung ab. Dieses Phanomen verstarkt sich in einem Umfeld sehr expansiver Geldpolitiken in den Zentren des Weltwahrungssystems. Die wirtschaftspolitische Implikation ist die feste Bindung des Frankens an den Euro, weil eine bessere Losung nicht verfugbar ist. English Abstract: In January 2015 the Swiss National Bank announced that the hard peg of the Swiss franc against the euro will be released and that the Swiss currency should from now on float freely. This announcement brought the Swiss franc under strong appreciation pressure. The Swiss National Bank returned within short time to a tight peg without officially announced parity. The paper shows that currencies of countries with persistent current account surpluses and high foreign currency denominated debt such as the Swiss franc and the Japanese yen are under a persistent appreciation pressure. Appreciation expectations, which are triggered by official announcements of appreciations, lead into runs in the domestic currency, which make appreciation expectations self-fulfilling. Multiple equilibria emerge: The appreciation of the domestic currency and the appreciation-induced crisis depend on the signals of the central bank concerning its tolerance of an appreciation of the domestic currency. The phenomenon is enhanced in an environment of very expansionary monetary policies in the centres of the world monetary system. The economic policy implication is a tight peg of the Swiss franc to the euro, because a better solution is not available.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"72 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84489826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
W. G. Bonga, Frank Chirowa, Johannes Chiminya, Fungayi Mawire-Van Strien
Many economies have a significant amount of foreign currency in their monetary systems. The presence of foreign currency implies a certain level of dollarization. Dollarization denotes the use of a foreign currency in any of its three functions: unit of account, means of exchange and, in particular, store of value. Initial stages of dollarisation brings in stability in the economy, but in the long-run institutional factors underpin growth and stability. This paper is based on empirical analysis and seeks to explore the economic impact of premature de-dollarisation in Zimbabwe. The issue of introducing special coins in Zimbabwe has raised concerns among policy makers and general public, and this papers seeks to shed light by discussing the economic meaning of introducing special coins and the associated benefits and costs. Furthermore the paper discusses the strengths and challenges brought about through dollarisation. The world currency reforms in current debate are outlined and synthesized by the study. The study concludes by suggesting appropriate stages to be followed in currency reforms to avoid a double-deep economic downfall.
{"title":"World De-Dollarisation: Economic Implication of De-Dollarisation in Zimbabwe (Introduction of Special Coins)","authors":"W. G. Bonga, Frank Chirowa, Johannes Chiminya, Fungayi Mawire-Van Strien","doi":"10.2139/ssrn.2534972","DOIUrl":"https://doi.org/10.2139/ssrn.2534972","url":null,"abstract":"Many economies have a significant amount of foreign currency in their monetary systems. The presence of foreign currency implies a certain level of dollarization. Dollarization denotes the use of a foreign currency in any of its three functions: unit of account, means of exchange and, in particular, store of value. Initial stages of dollarisation brings in stability in the economy, but in the long-run institutional factors underpin growth and stability. This paper is based on empirical analysis and seeks to explore the economic impact of premature de-dollarisation in Zimbabwe. The issue of introducing special coins in Zimbabwe has raised concerns among policy makers and general public, and this papers seeks to shed light by discussing the economic meaning of introducing special coins and the associated benefits and costs. Furthermore the paper discusses the strengths and challenges brought about through dollarisation. The world currency reforms in current debate are outlined and synthesized by the study. The study concludes by suggesting appropriate stages to be followed in currency reforms to avoid a double-deep economic downfall.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"60 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89451620","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Cryptocurrency – including a particular initial denomination known as Bitcoins – has received since 2009 wide and growing publicity in technology, finance, U.S. and international law enforcement, as well as general public journalism and popular press. This recent popular press coverage of cryptocurrency (how and from where do Bitcoins originate?, how much is one worth today or tomorrow?, will it last with all the stumbling implementation and technical intricacies?, purchasing illegal drugs and guns with Bitcoins!) overshadows cryptocurrency’s applicability to financial and currency system theories which have been developed and predicted for decades or more: the fundamental theory of currency; currency denationalization; a return to an international standard monetary unit (before nationalized fiat); the inefficiency of costly 3rd-party-trust currency models; and global concerns about currency hegemonies as well as political influence of monetary policy, and currency hedge/speculation.As the moral panic of Bitcoin and similar initial implementations of cryptocurrency fade and cryptocurrency systems gain traction underground or aboveground anywhere in the world, U.S. and international public policymakers and regulators will need to surveil, understand, and evolve public policy to accommodate any aspect of cryptocurrency which develops from technical novelty to realization of predicted grand monetary theories. Some of those areas of evolution include: national central bank monetary control; public sector dependence (oversight, taxing, fees) on private sector financial models and structures; and viability of traditional national and international law enforcement techniquesU.S. federal and major subnational public sector policymakers and regulators must remain vigilant for and educated about cryptocurrency usage whether in nationalized or denationalized use cases or they risk missing early opportunities to shape the rapidly changing landscape of digital financial systems in the U.S and abroad. This vigilance and awareness could be in the form of continued congressional hearings and regulatory surveillance. But a more proactive approach including federal grants for research and study of cryptocurrency, promotion of national and international symposia regarding currency technology and implications should be pursued.The nature of cryptocurrency’s raison d'etre and early-adopter motivation foretells a disruptive network-effect adoption despite entrenched interests’ efforts at preclusion similar to numerous recent technical innovations in the private sector like music or other intellectual property downloads, retail shopping, taxis services, hotel lodging, traditional print journalism, and traditional communication systems.
{"title":"Cryptocurrency Public Policy Analysis","authors":"Joseph B. Walton","doi":"10.2139/ssrn.2708302","DOIUrl":"https://doi.org/10.2139/ssrn.2708302","url":null,"abstract":"Cryptocurrency – including a particular initial denomination known as Bitcoins – has received since 2009 wide and growing publicity in technology, finance, U.S. and international law enforcement, as well as general public journalism and popular press. This recent popular press coverage of cryptocurrency (how and from where do Bitcoins originate?, how much is one worth today or tomorrow?, will it last with all the stumbling implementation and technical intricacies?, purchasing illegal drugs and guns with Bitcoins!) overshadows cryptocurrency’s applicability to financial and currency system theories which have been developed and predicted for decades or more: the fundamental theory of currency; currency denationalization; a return to an international standard monetary unit (before nationalized fiat); the inefficiency of costly 3rd-party-trust currency models; and global concerns about currency hegemonies as well as political influence of monetary policy, and currency hedge/speculation.As the moral panic of Bitcoin and similar initial implementations of cryptocurrency fade and cryptocurrency systems gain traction underground or aboveground anywhere in the world, U.S. and international public policymakers and regulators will need to surveil, understand, and evolve public policy to accommodate any aspect of cryptocurrency which develops from technical novelty to realization of predicted grand monetary theories. Some of those areas of evolution include: national central bank monetary control; public sector dependence (oversight, taxing, fees) on private sector financial models and structures; and viability of traditional national and international law enforcement techniquesU.S. federal and major subnational public sector policymakers and regulators must remain vigilant for and educated about cryptocurrency usage whether in nationalized or denationalized use cases or they risk missing early opportunities to shape the rapidly changing landscape of digital financial systems in the U.S and abroad. This vigilance and awareness could be in the form of continued congressional hearings and regulatory surveillance. But a more proactive approach including federal grants for research and study of cryptocurrency, promotion of national and international symposia regarding currency technology and implications should be pursued.The nature of cryptocurrency’s raison d'etre and early-adopter motivation foretells a disruptive network-effect adoption despite entrenched interests’ efforts at preclusion similar to numerous recent technical innovations in the private sector like music or other intellectual property downloads, retail shopping, taxis services, hotel lodging, traditional print journalism, and traditional communication systems.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91155104","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
type="main" xml:lang="en"> I find that policies targeted at stabilizing exchange rates within the context of Nigeria's managed floating exchange rate regime have not allowed for direct inflation targeting. In spite of this constraint, which is predicted by and consistent with macroeconomic theory, however, interactions between financing and investment activities within the Nigerian economy have resulted in a decrease in inflation levels that is traceable to price substitution strategies facilitated by import-related activities. This decrease in inflation levels has been realized in spite of the fact that changes in the demand for investment financing have dissimilar effects on future realizations of inflation and exchange rates; that is, exacerbate policy constraints. My findings provide evidence that while the adoption of managed floating or hybrid exchange rate regimes renders direct inflation targeting difficult, the combination of exchange rate stability, price stability, and lower inflation levels (relative to some origin point) remains achievable in such economies.
{"title":"Can Interactions between Financing and Investment Activities Have Dissimilar Effects on Inflation and Exchange Rates?","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.2486675","DOIUrl":"https://doi.org/10.2139/ssrn.2486675","url":null,"abstract":"type=\"main\" xml:lang=\"en\"> I find that policies targeted at stabilizing exchange rates within the context of Nigeria's managed floating exchange rate regime have not allowed for direct inflation targeting. In spite of this constraint, which is predicted by and consistent with macroeconomic theory, however, interactions between financing and investment activities within the Nigerian economy have resulted in a decrease in inflation levels that is traceable to price substitution strategies facilitated by import-related activities. This decrease in inflation levels has been realized in spite of the fact that changes in the demand for investment financing have dissimilar effects on future realizations of inflation and exchange rates; that is, exacerbate policy constraints. My findings provide evidence that while the adoption of managed floating or hybrid exchange rate regimes renders direct inflation targeting difficult, the combination of exchange rate stability, price stability, and lower inflation levels (relative to some origin point) remains achievable in such economies.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89580055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Our paper studies the effect of foreign exchange derivatives on international trade in China theoretically and empirically. On one hand, we build a two-stage model of an international Cournot duopoly under exchange rate uncertainty, which extends the model of Broll et al (2009). Our extended model shows foreign exchange derivatives hedging exchange rate risk have the positive effects on export and import level of the firm if the von Neumann-Morgenstern utility function of the firm displays either constant or decreasing absolute risk aversion and the derivatives market is unbiased. On the other hand, we use Bayesian Vector Autoregression (BVAR) model with China’s monthly data over the period from Oct 2006 to Dec 2014, and the empirical results are consistent with what the theoretical model predicts.
{"title":"Foreign Exchange Derivatives and International Trade in China","authors":"Wen Si","doi":"10.2139/ssrn.2477665","DOIUrl":"https://doi.org/10.2139/ssrn.2477665","url":null,"abstract":"Our paper studies the effect of foreign exchange derivatives on international trade in China theoretically and empirically. On one hand, we build a two-stage model of an international Cournot duopoly under exchange rate uncertainty, which extends the model of Broll et al (2009). Our extended model shows foreign exchange derivatives hedging exchange rate risk have the positive effects on export and import level of the firm if the von Neumann-Morgenstern utility function of the firm displays either constant or decreasing absolute risk aversion and the derivatives market is unbiased. On the other hand, we use Bayesian Vector Autoregression (BVAR) model with China’s monthly data over the period from Oct 2006 to Dec 2014, and the empirical results are consistent with what the theoretical model predicts.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"56 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72888272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
I find evidence for persistence in depreciation related currency pressure in the Naira to US$ exchange rate with persistence exacerbated by private sector profitability. The empirical evidence shows the Central Bank of Nigeria (CBN) reins in depreciation pressure induced within the private sector using buyback yields on Treasury Bills. Given the resultant appreciation of the Naira limits profitability within the private sector, this somewhat reactionary policy to exchange rate management simultaneously enables the CBN to manage investment risk within Nigeria's banking sector. My findings indicate managed floating or alternative hybrid exchange rate regimes can be especially appropriate in countries within which currency values erode with private sector profitability. In such countries, my findings indicate it is advantageous for Central Banks to be responsible for both bank regulation and monetary policy.
{"title":"Private Sector Profitability and Depreciation Pressure within Managed Floating Exchange Rate Regimes: Evidence from Nigeria","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.2475527","DOIUrl":"https://doi.org/10.2139/ssrn.2475527","url":null,"abstract":"I find evidence for persistence in depreciation related currency pressure in the Naira to US$ exchange rate with persistence exacerbated by private sector profitability. The empirical evidence shows the Central Bank of Nigeria (CBN) reins in depreciation pressure induced within the private sector using buyback yields on Treasury Bills. Given the resultant appreciation of the Naira limits profitability within the private sector, this somewhat reactionary policy to exchange rate management simultaneously enables the CBN to manage investment risk within Nigeria's banking sector. My findings indicate managed floating or alternative hybrid exchange rate regimes can be especially appropriate in countries within which currency values erode with private sector profitability. In such countries, my findings indicate it is advantageous for Central Banks to be responsible for both bank regulation and monetary policy.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"81 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90266711","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods.
{"title":"Considerations on the Relationship between Exchange Rates and Stock Markets in Eastern Europe in Time of Crisis","authors":"D. Lupu, Mircea Asandului","doi":"10.2139/ssrn.2996204","DOIUrl":"https://doi.org/10.2139/ssrn.2996204","url":null,"abstract":"This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82342677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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