Determinants of Foreign exchange exposure during the COVID-19 crisis: A Multi-country evidence

The research question of which firm-level factors make firms more vulnerable to exchange rate fluctuations during periods of crisis has rarely been explored by prior literature. Using a large sample of 1577 firms from 9 developed and 11 emerging countries, this study presents a comprehensive analysis of how firm-level factors affect firms' foreign exchange exposure before and during the COVID-19 crisis. The results provide evidence of a substantial increase in firms' linear exposure during the COVID-19 period. The cross-sectional analysis reveals that the effects of firm-level variables on exposure are more pronounced during crisis periods and are different from non-crisis periods. Firms that have effective asset utilization or large operating profit margins remain less exposed during times of stress. Contrary to hedging theory, firms that have high incentives to hedge such as firms with high financial leverage become highly exposed to currency fluctuations during crisis periods. The interaction analysis provides further evidence that firms with high leverage can limit their foreign exchange exposure during periods of crisis if they have high asset turnover or high operating profits. The results offer important practical implications to firms for risk management during periods of crisis.

Economic policy uncertainty and international tourist arrivals: a disaggregated analysis of the Croatian Adriatic coast

This is the first study to examine the differential impact of Croatian and European economic policy uncertainty indices while controlling for the real effective exchange rate and industrial production on international tourist arrivals for the seven coastal counties of Croatia and the country as a whole. The Toda-Yamamoto long-run causality modeling approach with a Fourier approximation is employed to capture structural shifts. This approach is particularly useful in light of the disruption from the COVID-19 pandemic on the tourism sector. The results show unidirectional causality from both Croatian and European economic policy uncertainty indices to international tourist arrivals with the impact of the economic policy uncertainty indices negative and statistically significant across the respective coastal counties. Moreover, the findings show that European economic policy uncertainty exhibits a greater adverse impact on international tourist arrivals relative to Croatian economic policy uncertainty.

Effect of Remittance Inflows on External Debt in Developing Countries

This paper analyzes the effect of remittance inflows on external debt in developing countries, by identifying international reserves as a potential transmission channel. Using panel data over the period 1970–2017 and covering 50 low-and middle-income countries worldwide, we find a positive and significant effect of remittance inflows on the external debt-to-GDP ratio. We also find a negative and significant effect of international reserves on external debt. After controlling for international reserves, the effect of remittance inflows on external debt increases;it remains positive and significant. The results suggest that the role of international reserves as a self-insurance mechanism, and the Dutch disease effect related to remittance inflows are at play. In addition, we find negative and significant effects of economic growth and savings-investment gap on external debt. We also find positive and significant effects of the nominal exchange rate and the United States lending interest rate on external debt. We discuss the policy implications of these findings, while highlighting factors that policymakers should focus on for containing external debt in developing countries in the post-COVID-19.

The Course of the Russian Ruble Exchange Rate During the COVID-19 Pandemic: Trends and Influencing Factors

This article analyzes the impact of the following major factors influencing the Russian ruble exchange rate: oil prices, inflation, the balance of payments flows, and volatility, which are all considered against the background of the COVID-19 pandemic. The analysis reveals that all these factors continued to play a role in 2020, though the shock of the pandemic exhibited certain specific features.

Trade-based money laundering and informal remittance services: implications on the sustainability of the balance of payments of a small open economy

PurposeThis study aims to discuss the consequences of trade-based money laundering (TBML) and informal remittance services on the sustainability of the position of balance of payments and net foreign assets of a small open economy.Design/methodology/approachThis paper uses a case study design using facts related to TBML and informal remittance services on the balance of payment and net foreign assets of Sri Lanka.FindingsThe contextual analysis reveals that the growth of the informal economy promotes informal remittance services in Sri Lanka. The policy decision to peg local currency to US dollars as a result of a shortage of foreign exchange had forced people to use informal channels for different purposes. The unclear and vague customer due diligence process of the anti-money laundering and countering the financing of terrorism (AML/CFT) regime also has forced people to use informal remittance services. Criminals especially drug traffickers have grabbed the promoted informal remittance services to transfer proceeds from Sri Lanka to overseas drug suppliers. On the other hand, systematic deficiencies in monitoring and regulation of movement of fund transfers and merchandise across borders provide opportunities for criminals to use different TBML techniques to transfer funds. These limitations force policymakers and regulators to think of developing a comprehensive payment ecosystem to prevent money laundering and terrorist financing. Therefore, the global initiative is required to move towards a payment ecosystem from a recommendation-based AML/CFT regime to reduce global crimes.Research limitations/implicationsThis study was designed to discuss the implications of TBML and informal remittance services on the balance of payments and net foreign assets in a small open economy. The structure and size of the economy, the strength of the overall economy and the AML/CFT regime will play an important role in controlling criminal activities and combating money laundering of an economy;hence, the impact of TBML and informal remittance services will vary accordingly across the countriesOriginality/valueThis paper is an original work done by the authors, which discusses the implications of TBML and informal remittance services on the balance of payments and net foreign assets of an emerging market context.

Modelling volatility effects between stock, oil, gold and forex markets: Evidence from India

Although several studies on the integration of diverse stock markets have been conducted in the financial literature, most of them have focused on the integration and volatility spillovers across established stock markets. The present study explores the dynamics of integration and volatility spillover across gold, oil, forex, and stock markets during four significant events in India: the pre-changed government regime, the post-changed government regime, the post-Brexit referendum date, and the COVID era. Daily data from 2010 to 2022 is divided into four categories using the Chow test. This is done to examine if these events' financial turmoil affects market interconnectivity. The unit root test determines data stationarity. The ARCH LM test examines series volatility clustering, and the BEKK GARCH test examines market volatility spillover. Results indicate that gold cannot be considered a hedge or safe haven. Secondly, market interconnectedness increased during the crisis period. Third, domestic political and geopolitical conditions globally do not increase the scale of spillover amongst financial assets, though they impact the spillover's magnitude. The results of this study have several important implications for portfolio diversification and risk management. © Varsha Ingalhalli, Prachi Kolamker, 2023.

BIST Tourism and BIST Electricity Index Relationship

In this study, which is based on daily data, the relationship between BIST electricity index and BIST tourism index was measured between 2012:M9 – 2022:M9 periods. The aim of the study is to measure the relationship between BIST electricity index and BIST tourism index. VAR Granger causality test was applied to determine whether there is any causal relationship between the variables. It has been determined as a result of the analysis that the BIST electricity index has no effect on the BIST tourism index. Two-way ineffectiveness was determined among the variables. In addition, it was obtained as a result of the analysis that the applied correlation relationship was weak between these variables. The results obtained from the study are important in terms of measuring the effects among BIST indices.

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.)

Computational mathematics applied in the identification of the risk of indirect contagion of COVID-19 in university classrooms

This exploratory study evaluated the risk of contagion from airborne diseases, such as coronaviruses, in schools. For three days, the concentration of carbon dioxide in two university classrooms was monitored for 90 minutes, while the students took their math classes. We use these values to validate a first-order model for carbon dioxide concentration and calculate the air exchange rate indirectly (avoiding the need for expensive measurement equipment). The air exchange rate obtained allowed us to assess whether the usual ventilation systems (both natural and mechanical) are sufficient to guarantee a low risk of contagion of aerosols due to respiration. The results show that the risk of contagion is low if three factors are considered: the level of conversation within the classroom, the usage of a moisture extraction system, and the lecture duration. The risk is low if the lecture time is less than 50 minutes, the level of conversation is moderate, and a moisture extraction system is available. If these conditions are not met the risk is considerably higher even if mechanical ventilation is employed.

Impact of Covid-19 Pandemic on the Investment Behavior of DIIs and FIIs on Indian Debt and Equity Markets

This paper aims to examine the impact of the Covid-19 pandemic on the investment behaviours of both Domestic Institutional Investors (DIIs) and Foreign Institutional Investors (FIIs) in the Indian debt and equity markets. The study is based on the daily time-series data from January 01,2015, to June 03, 2020. The study has constructed three Structural Vector Auto Regression dynamic models to compare the investment behaviors of FIIs and DIIs in both pre-and post-pandemic periods. The results indicate that the Institutional Investors' activities do not significantly impact the equity returns in the Indian markets, which has remained so in the wake of Covid-19. The debt purchases and sales for the DIIs are relatively more inelastic to market returns and reflect the risk-averse investment attitude of DIIs because of the negligible impact of Covid-19. There is a drop in the risk appetite of the FIIs due to a rise in the share of debt holdings in their portfolio in the wake of the Covid-19 pandemic.

Risk connectedness between crude oil, gold and exchange rates in China: Implications of the COVID-19 pandemic.

This study examined the risk connectedness and its asymmetry between oil, gold, and foreign exchange under the realized volatility, spillover index framework, and high-frequency data during the COVID-19 pandemic. It was found that: (1) At the beginning of the pandemic outbreak, the total volatility spillover in the system declined, which may indicate that the pandemic cuts the trading activities in the financial markets by inhibiting personnel mobility, then, the spillover experienced a short-term sharp rise due to panic. (2) The exchange rate had a significant risk connectedness with gold and international crude oil, but a restrict connectedness with domestic crude oil after the outbreak. These variations of risk transmission caused by the pandemic emerged later than the outbreak, reflecting a certain lag. (3) The impact of the pandemic on the asymmetric risk connectedness between oil, gold and the exchange rate was limited, and the risk transfer resulting from bad news was dominant during the sample period; however, gold was less affected by bad news than the oil and exchange rates. These findings suggested that the establishment of Chinese crude oil futures could restrain volatility spillovers from the exchange rate; the foreign exchange reserve structure should be optimized. Gold has been proved to have a hedging function with the crude oil, and its proportion in foreign exchange reserves should be appropriately increased.

The Case for Annual Special Drawing Right Allocations.

The special drawing right (SDR) is issued by the International Monetary Fund (IMF). The SDR has the potential to strengthen dramatically the international monetary system. Established in 1969 and allocated twice during its first decade, the SDR was in the institutional closet from 1980 until 2009 when $250 billion in SDRs were allocated to members of the IMF to help address the global financial crisis. In 2021, another $650 billion in SDRs were allocated to help address the Coronavirus pandemic. The SDR has proved itself as a crisis instrument. This paper proposes regular annual SDR allocations.

Uncertain hypothesis test for uncertain differential equations

Uncertain hypothesis test is a statistical tool that uses uncertainty theory to determine whether some hypotheses are correct or not based on observed data. As an application of uncertain hypothesis test, this paper proposes a method to test whether an uncertain differential equation fits the observed data or not. In order to demonstrate the test method, some numerical examples are provided. Finally, both uncertain currency model and stochastic currency model are used to model US Dollar to Chinese Yuan (USD–CNY) exchange rates. As a result, it is shown that the uncertain currency model fits the exchange rates well, but the stochastic currency model does not.

Do the macro and global economic factors drive the nonperforming loans in GCC economies?

PurposeThe current study aims to investigate the determinants of nonperforming loans (NPLs) in the GCC economies during the period spanning 2000 to 2018. It also examines whether the worldwide financial crisis of 2007–2008, which brought the issue of non–performing loans to the greater attention of academics and policymakers, had a substantial impact on NPLs in this region.Design/methodology/approachThe sample consists of 53 conventional banks from GCC countries, and the basic data for the study is obtained from various sources such as Bankscope, IMF World Economic Outlook, World Bank and Chicago Board of Options Exchange Market Volatility Index. The estimations were done by dynamic panel data regression modeling using system generalized methods of moments.FindingsThe findings reveal that both, the non-oil real GDP growth rate and inflation have favorable effects on NPLs. On the other hand, domestic credit to the private sector and the volatility index have an adverse effect on NPLs. Furthermore, the period-wise analysis shows that the relevance and significance of the determinants of NPLs vary between the precrisis and postcrisis periods. It is also reflected through the intercept dummy, which is found to be significant, indicating that the financial crisis, as a global economic factor, had a significant impact on NPLs. A number of robustness tests are applied, which indicate that the results are mostly robust and consistent in terms of the significance of the explanatory variables and the direction of their relationship with the dependent variable.Practical implicationsPolicymakers and bank authorities must strive to maintain a healthy economy and implement macroprudential policies to improve the financial stability of banks and reduce credit risk.Originality/valueTo the best of the authors' knowledge, this is likely the first study that empirically investigates the influence of the financial crisis on NPLs in the context of GCC economies. In addition, the research spans 19 years to produce more conclusive results.

Influence of the global environment on capital flows in the London Office market

PurposeThe London office market is a major destination of international real estate capital and arguably the epicentre of international real estate investment over the past decade. However, the increase in global uncertainties in recent years due to socio-economic and political trends highlights the need for more insights into the behaviour of international real estate capital flows. The purpose of this study is to evaluate the influence of the global and domestic environment on international real estate investment activities within the London office market over the period 2007–2017.Design/methodology/approachThis study adopts an auto-regressive distributed lag approach using the real capital analytics (RCA) international real estate investment data. The RCA data analyses quarterly cross-border investment transactions within the central London office market for the period 2007–2017.FindingsThe study provides insights on the critical differences in the influence of the domestic and global environment on cross-border investment activities in this office market, specifically highlighting the significance of the influence of the global environment in the long run. In the short run, the influence of factors reflective of both the domestic and international environment are important indicating that international capital flows into the London office market is contextualised by the interaction of different factors.Originality/valueThe authors provide a holistic study of the influence of both the domestic and international environment on cross-border investment activities in the London office market, providing more insights on the behaviour of global real estate capital flows.

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.

Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data

The results of the research presented in the article regard the importance of publication of macroeconomic data from the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was to indicate what macroeconomic data is important for the short-term USD/PLN exchange rate volatility. The following research questions have been posed does the USD/PLN exchange rate react to the published macroeconomic data from the American economy and second could greater USD/PLN exchange rate volatility be observed during the COVID pandemic and has the war in Ukraine impacted the USD/PLN exchange rate volatility. International Foreign Exchange Market is the largest and most dynamically developing financial market in the world. In the globalized world the exchange rates are mainly influenced by economic factors. The most significant economic factors that impact short-term exchange rate volatility are primarily macroeconomic data from the American economy. Therefore in this article the author attempts to analyze macroeconomic data and their impact on short-term USD/PLN exchange rate volatility. Data based on which the research was made is as follows: Consumer Price Index, Non-Farm Payrolls (NFP), Services PMI, Manufacturing PMI, Empire State Manufacturing Index or Retail Sales. The analysis of connections between the publication of macroeconomic data and the reaction of exchange rates was carried out using the linear regression model with GARCH process for the random parameter. Conclusions of this research is exchange rate volatility USD/PLN was higher after publications of the macroeconomic data from Americans economy. The strongest exchange rate reaction was after publication of data regarding inflation, Manufacturing PMI and Retail Sales. In the COVID (1.03.20-14.02.22) period we observed increased USD/PLN exchange rate volatility. Exchange rate volatility was expressly larger in the period of war in Ukraine (15.02.22 - end of experiment).

The impact of COVID‐19 pandemic on hospitality stock returns in China

Coronavirus disease (COVID‐19) has already devastated the world, and the economy becomes the most critical challenge for any country worldwide. The increasing uncertainty of the COVID‐19 outbreak has made stock markets in China more turbulent and less predictable. Under the current exceptional circumstances, the hospitality industry suffered the most due to the travel restrictions. This research thus assesses the dynamic relationship among the COVID‐19 outbreak, macroeconomic fluctuations and hospitality stock returns based on a structural VAR framework from 13 January to 11 May 2020, in China. Evidence reveals that macroeconomic fluctuations and hospitality stock returns are significantly affected by shocks from the COVID‐19 outbreak. An unanticipated positive change of the COVID‐19 explosion triggers an addition in exchange rates and causes a reduction in the stock market and hospitality industry returns. For the impacts of the exchange rate, findings reveal that a surprise increase in exchange rates (currency depreciation) exerts a significant negative influence on stock market returns. Additionally, a positive change of stock market returns is linked to a decline in exchange rates and a rise in hospitality industry returns. Therefore, knowledge of these relationships can enable policymakers to evaluate and implement effective policies to stabilize the stock markets and help investors to make appropriate investment strategies.

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.

Ibovespa's Response to the Behavior of Oil and Ore Prices During the International Crisis Caused by COVID-19

El riesgo sistémico causado por el COVID-19 afectó a todos los sectores de la economía y con ello se denotó la vulnerabilidad de algunos sectores en comparación con otros. En este contexto, llamó la atención el choque de oferta experimentado por el sector minero, que, en consecuencia, se tradujo en una alta apreciación de los precios. Vinculado a esto, y con efectos negativos, se produjo en este periodo la devaluación de los precios del petróleo, explicada, entre otros factores, por la guerra de precios entre los países productores. En este sentido, el presente estudio analiza la volatilidad del indicador bursátil brasileño considerando los precios de los productos antes mencionados y la cotización del dólar. Los resultados muestran la importancia de la formación de precios de estos mercados en la variación del indicador de la Bolsa de Brasil, y la apreciación de los precios del petróleo y el mineral Brent cotizados en el mercado de minerales básicos de Dalian (China) deriva en que el indicador Ibovespa vaya en la misma dirección. Además, en términos estadísticos, el estudio destaca la gran importancia del precio de la moneda extranjera como determinante en la variación del indicador de Ibovespa y, consecuentemente, con efectos en la intención de inversión.Alternate :The systemic risk caused by COVID-19 affected all sectors of the economy, thus showing the vulnerability of some sectors in comparison to others. In this context, the supply shock experienced by the iron ore sector has drawn attention and resulted in a price increase. Linked to this, and in a negative way, oil prices fell due, among other factors, to the price war between producing countries. In this sense, this study analyses the volatility of the Brazilian stock market indicator in relation to the prices of the aforementioned products and the price of the dollar. The results show the importance of the price formation in these markets for the variation of the indicator. The appreciation of Brent oil and iron ore prices on the Dalian Commodity Exchange (DCE), in China, caused the Ibovespa indicator to move in the same direction. In addition, in statistical terms, the study highlights the great importance of the exchange rate as a determinant in the variation of the indicator and, consequently, affecting the intention to invest.