Volatility Spillovers between Commodity and Financial Markets

The paper analyzes price volatility spillovers between commodity and financial markets order to investigate the interconnectedness and market integration and their potential in port-risk diversification. The paper analyzes gold and silver prices, oil prices, and the exchange of the Euro and British pound using the Diebold-Yilmaz spillover index methodology for-frequency weekly data from 1988 to 2020. The total spillovers between commodities and exchange rates were found to be 25.7% and the volatility spillover index during the analyzed period mostly ranged between 25% and 50% with extremes during the global financial crisis and during COVID-19 pandemic. This indicates a strong integration of commodity and financial markets, especially in crisis periods. Also, the results of the work suggest that silver price movements are affected by spillovers from other markets and therefore silver can be used to diversify risks. contribution of the paper to the existing literature is as follows: Firstly, the analysis of transmis-processes showed significant volatility spillovers between commodity markets and exchange indicating the existence of integration between different markets. Furthermore, a long period time is analyzed and the dynamic analysis shows intensified volatility spillovers in global crises periods. Secondly, the results of the analysis can help professional forecasters in forecasting and financial analysts to provide a comprehensive investment analysis. Managers and investors can thus design optimal protection instruments against unwanted movements in the financial and commod-markets. Investors benefit from portfolio diversification, and the information content obtained volatility spillover analysis can be used to assess potential determinants of future risk-adjusted returns, which would help them make investment decisions.

ANALYSIS OF THE EFFECT OF MACROPRUDENTIAL AND MACROPRUDENTIAL INDICATORS ON THE STOCK PRICE INDEX OF ISLAMIC BANKS IN INDONESIA USING THE ERROR CORRECTION MODEL

The experience of various crises that have occurred, including the impact of the Covid-19 pandemic, presents a challenge to implement macroprudential policies to ensure the financial system survives and continues to carry out its function in driving the economy. The existing macroprudential policies tend to be individual and focus on prudent banking and other financial institutions. Economic fluctuations that occur on the macro side will greatly impact, either directly or indirectly, the stock price index, as well as the company's internal indicators which are considered to have a major influence on the decisions of investors and potential investors to take action on the stock exchange. The type of research used in this research is quantitative research. The nature of this research is descriptive with a quantitative approach. The data collection technique in this research is Literature Study. The test carried out in this study is the multiple linear regression analysis test (multiple linear regression method), this study uses the ECM model to obtain the best model which includes the classical assumption test. The results of this study based on the partial short-term relationship test, it can be concluded that the Exchange Rate, Inflation, and TPF in the short term have no significant effect on the PNBS Stock Price Index. Meanwhile, short-term CAR has a significant positive effect on the PNBS Stock Price Index. Based on the results of the partial long-term relationship test, it can be concluded that in the long term, the Exchange Rate has a significant negative effect and TPF and CAR have a significant positive effect on the PNBS Stock Price Index while Inflation has no significant effect on the PNBS Stock Price Index. Based on the output results of the simultaneous short-term and long-term F test, it shows that all independent variables simultaneously have a significant effect on the PNBS Stock Price Index in the short term. Based on the provisions of the MUI DSN through the issued fatwas related to the Sharia capital market and Sharia shares, it is explained that Sharia stock investment to invest according to the perspective of Sharia economic law is allowed. [ FROM AUTHOR] Copyright of Jurnal Syntax Admiration is the property of Ridwan Institute and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

Exploring the growth direction: the impact of exchange rate and purchasing managers index on economic growth in Sri Lanka.

Numerous studies have been conducted, globally and locally, on the impact of the exchange rate on economic growth. In the local context, only a handful of research have investigated this area of study to determine the extent to which the Purchasing Managers' Index influence economic growth with the exchange rate, with limited research have been performed in Sri Lanka. This study explores the impact of exchange rate and Purchasing Managers' Index on economic growth. Consequently, adopting an applied research methodology, the present study was based on secondary data published quarterly by the Central Bank of Sri Lanka reports and the Department of Census and Statistics of Sri Lanka from 2015 to 2021. The Vector autoregression model and Granger Causality Wald test were performed in this study. The empirical findings highlighted that economic growth and Purchasing Managers' Index have a significant negative impact on the economic growth, while the exchange rate had a significant positive impact on the economic growth. Furthermore, the exchange rate and the Purchasing Managers' Index did not help to predict the exchange rate. The implications of the study demonstrate the relevance of the exchange rate and manufacturing Purchasing Managers' Index as indicators of changes in overall economic growth activities at the macro level. The findings will assist the Sri Lankan Government, policymakers, and foreign investors for effective decision making.

Time-frequency relationship between energy imports, energy prices, exchange rate, and policy uncertainties in India: Evidence from wavelet quantile correlation approach

This study examined the relationship between energy imports, energy prices, exchange rate, and policy uncertainty over different time-frequency and across various quantiles by employing the wavelet quantile correlation. The findings suggest that the relationship changes over different time-frequencies and across various quantiles. Moreover, during the COVID-19 to neo-normal period, exchange rate and geopolitical risk exhibit a relatively stronger relationship than energy prices and economic policy uncertainty at both lower and higher frequencies across quantiles. Further, the findings suggest that to reduce energy imports, policymakers should adopt different strategies for both shorter and longer time-horizons.

ASYMMETRIC MULTIFRACTAL CROSS-CORRELATION DYNAMICS BETWEEN FIAT CURRENCIES AND CRYPTOCURRENCIES

This paper performs the asymmetric multifractal cross-correlation analysis to examine the COVID-19 effects on three relevant high-frequency fiat currencies, namely euro (EUR), yen (YEN) and the Great Britain pound (GBP), and two cryptocurrencies with the highest market capitalization and traded volume (Bitcoin and Ethereum) considering two periods (Pre-COVID-19 and during COVID-19). For both periods, we find that all pairs of these financial assets are characterized by overall persistent cross-correlation behavior (αxy(0) > 0.5). Moreover, COVID-19 promoted an increase in the multifractal spectrum's width, which implies an increase in the complexity for all pairs considered here. We also studied the Generalized Cross-correlation Exponent, which allows us to verify that there is no asymmetric behavior between Bitcoin and fiat currencies and between Ethereum and fiat currencies. We conclude that investing simultaneously in major fiat currencies and leading cryptocurrencies can reduce the portfolio risk, leading to improvement in the investment results.

ARIMA Model based Time Series Modelling and Prediction of Foreign Exchange Rate against US Dollar

Exchange rate forecasting has proven challenging for players like traders and professionals in this current financial industry. Econometric and statistical models are often utilized in the analysis and forecasting of foreign exchange rate. Governments, financial organizations, and investors prioritize analyzing the future behaviour of currency pairs because this analyzing technique is being utilized to understand a country's economic status and to make a decision on whether to do any transactions of goods from that country. Several models are used to predict this kind of time-series with adequate accuracy. However, because of the random nature of these time series, strong predicting performance is difficult to achieve. During the Covid-19 situation, there is a drastic change in the exchange rate worldwide. This paper examines the behaviour of Australia's (AUD) daily foreign exchange rates against the US Dollar from January 2016 to December 2020 and forecasts the 2021 exchange rate using the ARIMA model. For better accuracy, technical indicators such as Interest Rate Differential, GDP Growth Rate and Unemployment Rate are also taken into account. In exchange rate forecasting, there are various types of performance measures based on which the accuracy of the forecasted result is computed. This paper examines seven performance measures and found that the accuracy of the forecasted results is adequate with the actual data. © 2022 IEEE.

Reinvestigating the Co-Movements between Stock Market and Exchange Rates: An Augmented Vector Autoregression Analysis

Empirical works on the stock market exchange rate nexus remain scanty in the managed floating exchange rate environment like Nigeria. Thus, our paper contributes to the scanty literature by analyzing how the COVID19 pandemic shapes the existing link in the oil-rich countries like Nigeria using a time series approach based on daily data spanning between 2017 and 2021. The paper investigates a Granger causality relationship in the specified VAR model by implementing the Toda and Yamamoto procedures while determining the direction of the causality through our impulse response analysis. Our findings show unidirectional causality from exchange rates to the stock market in the pandemic but no causality before the pandemic. This suggests that the exchange rate affects the performance of the Nigerian stock market in the pandemic period. Therefore, the Nigerian stock market and the exchange rate should not be considered as alternative strategies to mitigate risk during the crisis periods.

Sukuk and bond dynamics in relation to exchange rate

PurposeThis study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions.Design/methodology/approachThis study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons.FindingsThe results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond.Originality/valueTo the best of the authors' knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.

Hidden causality between oil prices and exchange rates

This work investigates the interactions between oil prices and exchange rates of 6 typical oil importers (China, Japan, and India) and exporters (Canada, Russia, and Saudi Arabia) from 2006 to 2022. We employ a novel method to capture their causal interactions, namely pattern causality, and compare the results to that based on the volatility spillover method. The empirical analysis supports most existing findings that oil prices are bidirectional correlated with exchange rates. However, unlike previous studies that only investigate positive and negative causalities, we highlight dark causality as a more complex interaction. Moreover, dark causality suggests that successive increases (decreases) in oil prices tend to drive the exchange rates of oil exporters to act in an oscillatory manner rather than in a purely positive or opposite trend, and vice versa. Furthermore, we also reveal that dark causality shows dominance during crises, e.g., the global financial crisis, the European debt crisis, the epidemic of COVID-19, and the Russia-Ukraine conflict. Revealing three types of causalities between oil prices and exchange rates helps policymakers develop more diversified macroeconomic policies. Moreover, the newly identified dark causality can be a useful indicator for investors to risk management. © 2023

How Do the Financial Markets Respond to India's Asset Purchase Program? Evidence from the COVID-19 Crisis

This study examines the impacts of India's unconventional monetary policy on the exchange rate, stock market, and bond market during the COVID-19 crisis. The Reserve Bank of India announced an asset purchase programs (APPs) four times during the pandemic. Using daily data from January 1, 2019, to August 13, 2021, and applying the EGARCH methodology, this study finds that the APPs effectively reduced the yield rate in the bond market and its volatility. However, the first two announcements did not impact the financial market significantly. In contrast, the third and fourth announcements helped to compress the yield rate and its volatility. Further, the AAPs also helped to restrain the exchange rate depreciation and its volatility. Overall findings suggest that APPs had a desired impact on the targeted variables.

Risk Measure between Exchange Rate and Oil Price during Crises: Evidence from Oil-Importing and Oil-Exporting Countries

This study investigates the risk spillover effect between the exchange rate of importing and exporting oil countries and the oil price. The analysis is supported by the utilization of a set of double-long memories. Thereafter, a multivariate GARCH type model is adopted to analyze the dynamic conditional correlations. Moreover, the Gumbel copula is employed to define the nonlinear structure of dependence and to evaluate the optimal portfolio. The conditional Value-at-Risk (CoVaR) is adopted as a risk measure. Findings indicate a long-run dependence and asymmetry of bidirectional risk spillover among oil price and exchange rate and confirm that the risk spillover intensity is different between the former and the latter. They show that the oil price has a stronger spillover effect in the case of oil exporting countries and the lowest spillover effect in the case of oil importing countries.

The euro to dollar exchange rate in the Covid‐19 era: Evidence from spectral causality and Markov‐switching estimation

In this paper, we analyse how the Covid‐19 pandemic changed the dynamics of the euro to dollar exchange rate. To do so, we make use of spectral non‐causality tests to uncover the determinants of the euro to dollar exchange rate, using data that cover the pre‐Covid‐19 and the actual Covid‐19 era, by considering the exchange rate movements of other currencies, the stock market index of S&P 500, and the price of oil and gold, as well as their realized volatilities. Based on our findings, the Covid‐19 pandemic has indeed significantly changed the determinants of the euro to dollar exchange rate. Also, to investigate the potential shifts in the regimes of the euro to dollar exchange rate, we formulate a Markov‐switching model with two regimes, based on the determinants that have been found in the previous step. Based on our findings, the duration of the high volatility state in the Covid‐19 era has doubled, from almost 3 to approximately 6 days, compared to the pre‐Covid‐19 era, whereas the high volatility state in the Covid‐19 era is characterized by a statistically significant higher range of volatility compared to the pre‐Covid‐19 era.

Assessment of Mobile Air Cleaners to Reduce the Concentration of Infectious Aerosol Particles Indoors

Airborne transmission via aerosol particles without close human contact is a possible source of infection with airborne viruses such as SARS-CoV-2 or influenza. Reducing this indirect infection risk, which is mostly present indoors, requires wearing adequate respiratory masks, the inactivation of the viruses with radiation or electric charges, filtering of the room air, or supplying ambient air by means of ventilation systems or open windows. For rooms without heating, ventilation, and air conditioning (HVAC) systems, mobile air cleaners are a possibility for filtering out aerosol particles and therefore lowering the probability of indirect infections. The main questions are as follows: (1) How effectively do mobile air cleaners filter the air in a room? (2) What are the parameters that influence this efficiency? (3) Are there room situations that completely prevent the air cleaner from filtering the air? (4) Does the air cleaner flow make the stay in the room uncomfortable? To answer these questions, particle imaging methods were employed. Particle image velocimetry (PIV) was used to determine the flow field in the proximity of the air cleaner inlet and outlet to assess regions of unpleasant air movements. The filtering efficiency was quantified by means of particle image counting as a measure for the particle concentration at multiple locations in the room simultaneously. Moreover, different room occupancies and room geometries were investigated. Our results confirm that mobile air cleaners are suitable devices for reducing the viral load indoors. Elongated room geometries, e.g., hallways, lead to a reduced filtering efficiency, which needs to be compensated by increasing the volume flow rate of the device or by deploying multiple smaller devices. As compared to an empty room, a room occupied with desks, desk separation walls, and people does not change the filtering efficiency significantly, i.e., the change was less than 10%. Finally, the flow induced by the investigated mobile air cleaner does not reach uncomfortable levels, as by defined room comfort standards under these conditions, while at the same time reaching air exchange rates above 6, a value which is recommended for potentially infectious environments.

Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach

This study analyzes asymmetric transmission from the COVID-19 pandemic to major foreign exchange markets from 2 January 2020 to 2 June 2022. This paper contributes to the literature by investigating how the impact of COVID-19 on currency markets co-moves across market conditions and investment horizons. The article uses the recently developed cross-quantilogram framework to achieve this, which quantifies the cross-quantile dependency across time series without any moment condition requirement. The findings demonstrate that changes in the total daily global confirmed cases of COVID-19 can forecast changes in the currency markets under all market circumstances. These findings have significant implications for global investors and policymakers. © 2023, Oviedo University Press. All rights reserved.

The Link between Bitcoin Price Changes and the Exchange Rates in European Countries with Non-Euro Currencies

This paper contributes to the literature dedicated to the interlinkages between cryptocurrencies and currencies by investigating whether Bitcoin price movements affect the exchange rates of a sample of nine European countries with non-euro currencies. By resorting to the novel unconditional quantile regression, we show that there is a statistically significant link between Bitcoin price movements and changes in nominal exchange rates. In normal market conditions, an increase in the price of Bitcoin can be associated with an appreciation of the currencies from our sample, while during the COVID-19 pandemic, the relationship inversed. In addition, we find heterogeneities in this relationship, depending on the level of change in the nominal exchange rate. The results emphasize the relevance of Bitcoin price movements to the conduct of monetary policy through the exchange rate channel and that investors in cryptocurrencies and various financial assets denominated in the currencies from our sample can benefit from diversification by including both types of assets in their portfolios.

A new look at stock price-exchange rate nexus: Analysis of COVID-19 pandemic waves in advanced and emerging economies.

This study takes a new look at the stock price-exchange rate nexus and attempts contributions to the extant studies in a number of intuitive ways. First, we analyze the reverse relationships given the theory-backed two-way causality between the two variables. We reassess the nexus across the First, Second and Third Waves of the COVID-19 pandemic, as well as comparison between advanced and emerging economies. Third, we adopt a panel modeling approach that simultaneously takes nonstationarity, cross sectional dependence, and asymmetry into account. The data analyses show that the relationship is statistically negative for the two nexuses. The magnitudes were higher during the crisis (the COVID-19 pandemic) although the relationship broke down during the Second Wave as the Delta variant surged. We identify relevant investment and policy implications of the findings.

The Covid-19 Pandemic, the Financial crisis and the Dynamic (Overshooting) of the Exchange Rate

The aim of this paper is to analyze the dynamics of the exchange rate (E) in the face of expansionary policies undertaken to cope with external shocks over the period 2000: 01-2020: 03. Our results, based on an ARDL model and impulse-response functions, confirm evidence of overshooting of E in South Korea, Mexico, the United Kingdom and the United States, while in Germany, Brazil and Japan no such evidence was found;perhaps this is due to the semi-fixed nature of the euro, the reprimarization of the Brazilian trade structure and Japan's stagnation cum deflation. Our original contribution and main conclusion is that expansionary policies undertaken to tame the effects of both the 2007/08 financial crisis and the Covid-19 pandemic act upon the dynamics of E, in turn implying significant effects on: foreign debt, institutional sectors' balance sheets, balance of payments and economic growth. Hence governments should adopt countervailing measures, it is highly recommended. Lack of sufficient data to estimate the impact of E overshooting, triggered by the Covid-19, on the latter variables is the main shortcoming of the paper. © 2021 The Author(s).

How has Covid-19 infected the stock market and exchange rate? (A case study of infected vs. uninfected countries)

The Covid-19 pandemic has hit the stock market and exchange rates in the infected countries. By using the Difference in Difference method, the Event Study method and ordinary least square (OLS), this research has analysed the impact of Covid-19 on the stock market and exchange rate in the infected countries specified in this research. The result is a positive relationship between the cumulative new cases of Covid-19 and the exchange rate. The exchange rate depreciation in the countries infected by Covid-19 occurred after the countries announced the first case of Covid-19, except for in UK. For the countries that were not infected by Covid-19, they experienced an appreciation of the exchange rate. The price of the composite stock index decreased when the first case of Covid-19 was announced. There is a negative relationship between cumulative new cases of Covid-19 and the composite stock index prices, except for in China. The number of global cases of Covid-19 has a negative relationship with the world oil price. However, there is a positive relationship with the world gold price. Copyright © 2022 Inderscience Enterprises Ltd.

Investigating the impact of monetary policy on foreign exchange market in Europe during COVID-19 pandemic

In this paper, we investigated how policy rate modifications – the main instrument used by central banks to provide liquidity during the current health crisis – influenced the evolution of the exchange rate, which is a key element within macro-stabilization policies. We documented that foreign exchange markets in European countries responded asymmetrically to monetary policy interventions devoted to the encouragement of spending and the stimulation of the economy. However, this only occurred during extreme events, which is a side-effect of the monetary policy on the foreign exchange market. These results contribute to the assessment of the space for manoeuvres by monetary policymakers regarding key policy rate modifications as a response to pandemic shocks.

The CFA Franc Zone: Economic Development and the Post-Covid Recovery

This book provides an empirical analysis of economic and political structures impacting the CFA franc zone. Concise and practical chapters explore the history of the CFA franc zone, challenges to development, geopolitical issues, the importance of flexible exchanges rates, growth trends, and the impact of the Covid crisis. Policy reform is examined to detail economic approaches that could reduce poverty and increase the quality of life within the area. This book aims to present a macroeconomic and exchange rate framework to promote development and post-Covid recovery within the CFA franc zone. It will be of interest to students, researchers, and policymakers involved in African economics, the political economy, and development economics. © Springer Nature Switzerland AG 2021. All rights reserved.