Suchergebnisse

This article investigates the linkages of the movements in Renminbi (RMB) to volatility of exchange rate returns of other currencies before and after the yuan devaluation on 11 August 2015. A comparison between the onshore Chinese yuan (CNY) and the offshore Chinese yuan (CNH) is made. Standard regression methods underestimate the tail dependence between yuan and other exchange rate volatility, as financial data are non-normally distributed, especially when extreme event occurs. We apply Gumbel copulas to capture the presence of tail dependence between RMB returns and the volatility of exchange rate returns for 13 selected currencies, and found dependencies not revealed by the standard ARCH models. The tail dependence has increased after the RMB devaluation, suggesting that RMB depreciation is associated with higher downside risks in these currencies. This is most obvious in the currencies of Asian and ASEAN-5 countries that have strong trade and financial linkages with China. The dependence structure has shifted away from the dominance of onshore CNY rates before the devaluation to the growing importance of more volatile offshore CNH rates after the devaluation. Hence, any large depreciation in CNH will lead to a higher volatility in the other exchange rate returns, and the corresponding downside currency risks are higher than those of the CNY.

Reprinted from the Chinese Economic Journal, February, 1928.

The current study examines short-term abnormal returns of eightmajor currencies including EUR/USD, GBP/USD, USD/AUD,USD/CAD, USD/CHF, USD/CNY, USD/JPY, and USD/SEK inresponse to the evolution of the COVID-19 pandemic using eventstudy approach in three different scenarios. Firstly, short-termabnormal returns of major currencies are estimated on the day ofWorld Health Organization's (WHO) announcement declaringCOVID-19 as a pandemic. Secondly, they are estimated on the dayof the announcement of the first confirmed case of COVID-19 in therespective country. Thirdly, they are estimated on the day of theannouncement of the first death from COVID-19 in each country.The results provided evidence that major currency investors earnedpositive returns in these three different scenarios. The implicationsof the current study are more important than anticipated.Government policymakers, foreign exchange market regulators, andforeign exchange market participants can anticipate short-termreturns while establishing foreign exchange policies, designing rulesand regulations, and finalizing trading and hedging strategies,respectively, in situations such as the current COVID-19 pandemic. Received Date:September 20, 20202 Last Received: October 23, 2020 Acceptance:November 13, 2020

Mestrado em Finanças ; As sanções económicas internacionais tornaram-se uma ferramenta regular para alcançar os objectivos da política externa em relação à nação-alvo. A literatura sobre as sanções se concentra principalmente na questão de saber se as sanções atingem seus objetivos de política externa ou não, mas não sobre os danos causados à economia sancionada. O estudo seguinte procura preencher esta lacuna apresentando um panorama teórico da literatura sobre o impacto das sanções na economia de um país-alvo. Vários estudos consideram diferentes conseqüências das sanções em um país alvo, como a redução de investimentos eo comércio internacional. No entanto, este estudo procura avançar e explorar o impacto sobre a taxa de câmbio, que é mais macroeconômico substancial medida da economia do que os investimentos e comércio internacional. Mais precisamente, o estudo analisa empiricamente a ligação entre as sanções da UE e dos EUA ea taxa de câmbio da Rússia, utilizando os seus dados mensais durante o período de Janeiro de 2009 a Junho de 2015. Os resultados sugerem que a implementação de sanções tem um impacto negativo significativo sobre o valor da moeda nacional. Além disso, uma vez que o Ruble está substancialmente ligado ao preço do petróleo, o documento testa e confirma a hipótese de que as sanções enfraquecem a moeda nacional, tornando-a assim mais dependente do preço do petróleo. ; International economic sanctions became a regular tool to achieve foreign policy objectives regarding target nation. The sanctions literature mostly focuses on question whether sanctions succeed their foreign policy goals or not, but not on the damage caused to the sanctioned economy. The following study attempts to fill this gap by presenting a theoretical overview of the literature concerning the impact of sanctions on a target country's economy. Several studies consider different consequences of sanctions on a target country, such as reduction of investments and international trade. However, this study seeks to go forward and explore impact on currency exchange rate, which is more substantial macroeconomic measure of economy than investments and international trade. To be more precise, the study empirically analyzes the connection between EU and US sanctions and the foreign exchange rate of Russia, using its monthly data over the period of time from January 2009 to June 2015. The findings suggest that implementation of sanctions have a significant negative impact on the domestic currency value. Moreover, since Ruble is substantially connected with the oil's price, the paper tests and confirms the hypothesis that sanctions weaken domestic currency, thus making it more dependent on the price of the oil. ; N/A

Stock return is affected by many factors, among others are: macro economics environments, political condition, fundamental corporate performance, financial market condition, etc. The purpose of this study is to determine the effect of foreign exchange rate, inflation rate and market return on bank perseros' stock (government owned banks). We take the case of bank perseros' because those banks are among the biggest banks in Indonesia in terms of capital. Our observation period starts from January 2010 to September 2014. This period of observation is chosen because it was after the crisis of 2008 and therefore during the time the effect of the crisis on Indonesia's financial market was mild. Due to the IPO of Bank Tabungan Negara was in the late year of 2009, therefore our period of research run from January 2010 until September 2014.Our justification to use the foreign exchange rate, inflation rate and market return as independent variable is because the foreign exchange rate, inflation rate are considered to be macro economics variable, and market return is financial market variable. The data used in this study is monthly secondary data of stock price data of bank perseros', the foreign exchange rate, inflation rate and market return. In this study, the independent variables used are the foreign exchange rate (X1), inflation rate (X2) and market return (X3), while the dependent variable used is return of bank perseros' stock (Y). Result of study shows that the regression function is: Y = - 0.036 + 0.0000033 X1 + 0.046 X2 + 1.531 X3. The test of hypothesis in this study shows that simultaneously the foreign exchange rate (X1), inflation rate (X2) and market return (X3) have significant effect on return of bank perseros' stock (Y). This is shown by sig. F = 0.000 < 5% (α). Partially the effect of foreign exchange rate and inflation rate on return of bank perseros' stock are not significant, these are shown by p-value of X1 = 0.468 and p-value of X2 = 0.89 which are greater than α of 5%. Whereas the market ...