• The Journal of Asian Finance, Economics and Business
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• 제8권7호
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• pp.393-402
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• 2021

This study aims to examine whether symmetric effects or asymmetric effects of exchange rates exist in determining the money demand in Indonesia. Simple-sum money and Divisia money were included in different models for comparison due to the financial developments in Indonesia. This study uses time-series data from 1996Q1 to 2019Q4 for the estimation. The nonlinear autoregressive distributed lag (NARDL) model is utilized to verify the asymmetric effects of exchange rates on money demand. The Augmented Dickey-Fuller and Phillips-Perron unit root tests were performed to verify the order of integration of the variables. The findings of this study revealed that the exchange rate is one of the most important determinants of money demand in Indonesia and the effect is asymmetric. The findings further indicated that money demand function, which incorporates Divisia monetary aggregate is parsimonious. Monetary targets such as money supply and interest rates are critical for monetary policy conduct to achieve inflation levels set by government. As the adoption of an inflation targeting framework needs to be in keeping with the flexible exchange rate system, the asymmetric effect of exchange rate changes can be used in exchange rate policy conduct to achieve financial system and price stability.

• The Journal of Asian Finance, Economics and Business
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• 제4권1호
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• pp.25-38
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• 2017

This study investigates the causal relationship between stock prices and exchange rates for six Middle Eastern countries, namely, Egypt, Iran, Jordan, Kuwait, Oman, and Saudi Arabia before and during (after) the 2007 global financial crisis for the period between January 2004 and September 2015. The sample is divided into two sub-periods, that is, the period from January 1, 2004 to September 30, 2007 and the period from October 1, 2007 to September 30, 2015, to represent the pre-crisis period and the post-crisis period, respectively. Using Vector Autoregressive (VAR) model in a multivariate framework (including two control variables, inflation rates and oil prices) the results suggest that in the case of Jordan, Kuwait and Saudi Arabia, there exists bidirectional causalities after the crisis period but not the before. The opposite status is available for the case of Iran. In the case of Oman, there is bidirectional causality between the variables of interest in both periods. The results also reveal that the relationship between stock prices and exchange rates has become stronger after the 2007 global financial crisis. Overall, the results of this study indicate that fluctuations in foreign exchange markets can significantly affect stock markets in the Middle East.

• 통상정보연구
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• 제12권1호
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• pp.153-175
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• 2010

This study conducts an analysis to verify an existence of co-movement among the exchange rates of Yuan-Dollar, Yen-Dollar and Won-Dollar by using time series data. An analysis period is divided into two periods. Therefore the first analysis period is from Dec. 17, 1997 to Jul. 21th. 20, 2005 and the second analysis period is from Jul. 25th, 2005 to Nov. 20th. 2009. This paper uses VAR model and daily data of exchange rates during the period. According to the result of an empirical analysis, yuan-dollar exchange rate has affected by th other variables ; yen-dollar exchange rate. It can be proved by result of an impulse response test and variance decomposition test in the second period. Therefore the won-dollar, yen-dollar, and Yen-dollar exchange rate has been influenced each other and the relationship will be maintained.

• Communications for Statistical Applications and Methods
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• 제9권1호
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• pp.141-154
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• 2002

Foreign investors'shares and their influences on the Korean stock market have never been larger and greater before since the market was completely open to foreign investors in 1992 Quantitatively and qualitatively as well, as a result, changes in the patterns of foreign investments have caused enormous effects on the interactions of major macroeconomic indices of the Korean economy. This paper is intended to investigate the causal relations of the four variables, foreigners'buy-sell ratios, stock returns, ￦/＄ exchange rates and $\yen$/＄ exchange rates, over the two time periods of the pre-IMF (1996.1.1-1997.8.15) and the post-IMF (1997.8.16-2000.6.15) based on the daily data of the variables. Granger Causality Test, Forecast Error Variance Decomposition(FEVD) using VAR model and Impulse Response Function were implemented for the empirical analysis.

• Journal of Advanced Marine Engineering and Technology
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• 제24권3호
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• pp.79-87
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• 2000

This paper describes experimental investigations of helium-air exchange flow through openings with vertical partitions. Such exchange flows may occur following rupture accident of stand pipe in high temperature gas cooled reactor. Exchange flow rates are investigated experimentally by using partitioned opening and opening with extended partition to assess fluids interference of the exchange flow at the stand pipe rupture accident. A tests vessel with the two types of opening on top of test cylinder is used in the experiments. An estimation method of mass increment is developed and applied to measure the exchange flow rate. A technique of flow visualization by Mach-Zehnder interferometer is provided to recognize the exchange flows. Amplitude and progress of interference fringes of the flows are observed and used as a support in comparison with the exchange flow rates. Flow passages of upward flow of the helium and downward flow of the air for both two types of the opening are separated by inserted partition within the opening, but in the case of partitioned opening, unseparated flow is formed at the opening entrance and the two flows interface. The exchange flow rate for the partitioned opening is not greater than that of the opening with extended partition because of the fluids interference at the entrance of opening. Finally, the fluids interference at the opening entrance is found to be one of important factors on the helium-air exchange flow rate.

• The Korean Journal of Ecology
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• 제22권2호
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• pp.79-83
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• 1999

Phytotoxic effects of ozone and ethylenediurea (EDU) on soybean (Glycine max) and spinach (Spinacia oleracea) were observed by using open-top field chamber system (OTC). Gas exchange rates (photosynthesis. stomatal conductance and transpiration rates) of soybean plants were decreased by 20% to 30% by ambient ozone and resulted in 30% reduction of seed yields. In OTC. ambient ozone and 0.12 $\mu$l/l $O_3$ decreased gas exchange rates of spinach by 25% to 40% and by 50%. respectively. The protective effect of EDU against ozone induced injury was obtained at 100 mg/l on soybean. and at 250 mg/l on spinach, respectively. The excessive application of EDU. however. inhibited photosynthesis. transpiration. and stomatal conductance without any specific visible damage.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.647-654
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• 2021

This study examines the non-performing loans of rural banks and macroeconomic factors in Indonesia, including inflation, exchange rates, and interest rates. Theoretically, the existence of erratic macroeconomic conditions can affect the level of non-performing credit risk in rural credit banks in Indonesia. The effect of macroeconomic conditions on non-performing loans has a different response for each economic sector. The main objective of this study is to determine the effect of macroeconomic factors (inflation, exchange rates, and interest rates) and bank-specific factors (credit) on the Non-Performing Loans (NPL) of Rural Banks in Indonesia for the period from January 2015 to December 2018. This study uses a Vector Error Correction Model (VECM) estimation to determine the effect of independent variables consisting of macroeconomic factors and bank-specific factors. Based on the estimation results of the Vector Error Correction Model, three variables that have a positive and significant effect on long-term non-performing loans are credit, inflation, and interest rates. Meanwhile, in the short term, there are only two variables that have a positive and significant effect on non-performing loans, namely, credit and interest rates. Inflation and exchange rate variables have a negative and insignificant effect on bad credit in the short term.

• 재무관리연구
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• 제26권3호
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• pp.199-226
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• 2009

본 논문은 우리나라 주식시장과 외환시장의 기대 수익률과 조건부 변동성간의 시계열적 관계를 2요인 자본자산가격결정모형(two-factor ICAPM)을 이용하여 실증 분석하였다. 주가와 환율의 조건부 분산은 GARCH 모형과 비대칭성을 반영한 GJR(1993) 모형으로 추정하였으며, 주가와 환율과의 조건부 공분산은 Bollerslev(1990)의 일정 상관관계(CCC) 모형과 Engle(2002)의 동태적 조건부상관관계(DCC) 모형을 이용하여 추정하였다. 실증 분석모형은 MGARCH-M 모형을 사용하였으며, 추정방법은 준최우추정법(QMLE)을 사용하였다. 실증 분석결과 외환위기 이후에 주식시장의 기대 수익률은 주가의 분산에 대해, 그리고 환율과의 공분산에 대해 유의한 음(-)의 관계를 갖는 것으로 나타났다. 그러나 외환시장에서 기대 수익률은 조건부 분산과 조건부 공분산에 대해 유의하지 않은 것으로 나타났다. 조건부 분산의 추정에서는 GJR 모형이 GARCH 모형에 비해 더 적합한 것으로 나타났다. 그리고 DCC 모형이 CCC 모형에 비해 설명력이 더 높은 것으로 나타났다. 본 논문의 분석결과는 주식시장에서 환율 변동이 위험 요인으로 작용하고 있기 때문에 포트폴리오 구성이나 위험 관리 등에서 환율 변동을 고려할 필요가 있고, 변수들간의 상관관계는 시변하는 모형을 사용할 필요가 있음을 시사한다.

• 한국정보통신학회:학술대회논문집
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• 한국정보통신학회 2017년도 추계학술대회
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• pp.89-91
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• 2017

환율은 국가 화폐들 간의 교환 비율로 국가 경제 규모 또는 현황을 측정하기 위한 주요 지표 중 하나이다. 환율은 다양한 경제 또는 인문사회 활동에 의하여 영향을 받으며 시간에 따라 유동적으로 변화하는 특성을 가진다. 그러나 너무 많은 경제, 인문사회 활동 요소들이 환율에 영향을 주며 각 요소들의 영향력이 매우 유동적이기 때문에 특정 활동 요소와 환율 변동성과의 관계를 정의하기 어려운 문제가 있다. 이 논문에서는 환율 변동성과 활동 요소들과의 관련성을 살펴보기 위하여 신문 기사와 환율 변동성과의 데이터 패턴 분석을 한다. 일정 기간 동안의 신문 기사에서 단어들의 출현 빈도를 조사하고 환율 변동 폭과 비교한다.

• The Journal of Asian Finance, Economics and Business
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• 제9권2호
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• pp.29-36
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• 2022

This study uses the panel probit model to investigate and evaluate the relationship between exchange rate regimes, political stability, and carbon dioxide during currency crises. To understand currency crisis times, we study a panel dataset of seven South Asian nations that contain annual observations from 1996 to 2020. Furthermore, we created the EMPI exchange market pressure indicator to detect crises. Our results strongly suggested that fixed exchange rate is negatively associated with currency crises, with good regulatory quality and better effective governments. Simultaneously, the floating exchange rate is positively related to the currency crises in those countries where the rule of law has less adequately flowed. However, CO₂, exports, and interest rates are buoyantly associated with crises. The floating exchange rate, the rule of law, exports, and interest rate are associated positively and contribute more prone to the crisis episodes. Negatively associated variables contributed less amid crises episodes: fixed exchange rate regime, government effectiveness, and regulatory quality. Meanwhile, CO₂ has a positive relationship with a currency crisis and contributes more likelihood to the probability of a currency crisis. Countries that adopted the fixed exchange rates with effective governments and regulatory quality faced more minor currency crises.