Determinants of Real Effective Exchange Rates in Emerging Market Economies

Kataria, Neha; Gupta, Aakash

doi:10.2139/ssrn.3144172

Cited by 5 publications

(5 citation statements)

References 10 publications

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“…Berdasarkan penelitian terdahulu, PDB (Produk Domestik Bruto) juga mempunyai pengaruh terhadap nilai tukar. PDB mengindikasikan tingkat produktivitas fundamental ekonomi suatu negara (Kataria & Gupta, 2018). Semakin tinggi nilai PDB suatu negara, maka tingkat konsumsi, investasi, serta ekspor neto suatu negara akan semakin tinggi.…”

Section: Tabel 1 Mata Uang Dengan Nilai Terendah DI Duniaunclassified

Pengaruh Faktor Ekonomi Makro, Kestabilan Politik dan Harga Minyak Dunia pada Nilai Tukar Rupiah terhadap Dolar Amerika Serikat

Karimah,

Laulita

2023

JMP

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<em>The exchange rate value of the rupiah against the US dollar fluctuates and tends to depreciate throughout the year. So it is very important to analyze the factors that influence the exchange rates to maintain its stability. The relationship between several macroeconomic factors such as inflation, interest rates, GDP, and trade openness as well as political stability factors and world oil prices on exchange rates are the main topics of discussion in this study. Monthly data in time series 2010-2020, processed using the Eviews 12 and tested using the multiple linear regression method. There is a significant positive effect between interest rates, GDP, and world oil prices for the type of WTI on the exchange rates. Meanwhile, trade openness, political stability, and world oil prices for the Brent type have a significant negative effect on the exchange rates. As for the inflation variable, it does not have a significant effect on the exchange rates. The government as a policy maker is expected to be able to regulate macroeconomic factors, maintain political stability, and control the supply of crude oil properly to maintain the exchange rate stability.</em>

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Section: Tabel 1 Mata Uang Dengan Nilai Terendah DI Duniaunclassified

Pengaruh Faktor Ekonomi Makro, Kestabilan Politik dan Harga Minyak Dunia pada Nilai Tukar Rupiah terhadap Dolar Amerika Serikat

Karimah,

Laulita

2023

JMP

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“…Kataria, & Gupta [22] researched the determinants of real effective exchange rates in emerging market economies using quarterly data to examine the effect of global and domestic factors on the reer for 20 emerging market economies from 2000-2015. The research found that GDP growth and the domestic policy interest rate were robustly associated with reer appreciation in emerging economies.…”

Section: Survey Of Relevant Literaturementioning

confidence: 99%

Factors Responsible for Movements in Real Effective Exchange Rate of Selected African Countries

Umoru,

Abugewa-Ejegi,

Effiong

2023

AJEBA

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The study examined the determinants of real effective exchange rate on selected African countries, namely, Nigeria, Libya, Angola, Egypt, Gabon, Ghana, and Chad over the sample period of 1980 to 2023. The vector error correction methodology was used in the study. The results suggest the following findings; In Nigeria, variations in the real effective exchange rate responded significantly and positively to Brent crude oil prices, domestic inflation rate, external debt burden, the volume of foreign exchange reserves, and prices of primary export. It also responded negatively to foreign investment flows. Whenever the real effective exchange rate deviated from its equilibrium, 74% of its disequilibrium was restored in Nigeria. In Libya, the response of real effective exchange rate was positive and significantly related to commodity prices of primary export but responded negatively and significantly to Brent crude oil prices, foreign investment inward stock, and foreign reserve holdings. In addition, 57% of the disequilibrium in the real effective exchange rate of the Libya currency was restored to the long-term value. In Angola, it was found that the variations in the real effective exchange rate had a positive and significant response with Brent crude oil prices and foreign investment inflows. It however responded negatively with a significance balance of payments and the volume of foreign reserves. About 60% of the disequilibrium in the real effective exchange rate was restored to the long-term value in Angola. In Egypt, the real effective exchange rate responded positively with significance to Brent crude oil prices, foreign investment inflows, and prices of primary export. Additionally, it responded negatively and significantly to the domestic inflation rate and external reserve holdings. Within the period of study in Egypt, 53% of the disequilibrium in the real effective exchange rate was restored to equilibrium. In Gabon, variations in the real effective exchange rate had a positive and significant response with Brent crude oil prices, real interest rate, external debt burden, and the volume of foreign exchange reserves. Also in Gabon, the real effective exchange rate responded negatively and significantly to the inflation rate and prices of primary export. Accordingly, 82% of the disequilibrium in the real effective exchange rate was restored to equilibrium. The Ghanaian real effective exchange rate relative to the dollar responded significantly and positively to Brent crude oil prices, domestic inflation rate, foreign debt burden, and foreign investment flows while it negatively responded to the Ghanaian balance of payment position. Each time the real effective exchange rate of the Ghanaian cedi deviated from its equilibrium value, 79% of its disequilibrium was restored. In Chad, variations in the real effective exchange rate responded significantly but negatively to the domestic inflation rate while it positively and significantly responded to Brent crude oil prices, external balance position, the volume of foreign reserve holdings, and foreign direct investment inflows. Also, whenever the real effective exchange rate deviated from its equilibrium value in Chad, 65% of its disequilibrium was restored in the long run. Based on these results, policymakers should focus on addressing structural constraints, commodity price fluctuations, and improve the business environment by anchoring policies of economic stability to boost competitiveness in trade and industry. There is also the need for policymakers to consider country-specific factors when formulating exchange rates.

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“…According to the studies from Raraga and Muharam (2014), Jain and Biswal (2016), Jain and Ghosh (2013) and Am and Shanmugasundaram (2017) who investigated the relation between gold prices, the exchange rate and stock index, that there are long term correlation in between those variables. Kataria and Gupta (2018) have researched the influence of international-global factors on the real effective exchange rate of 20 countries they selected. As the global factors, US FED interest rate, VIX and Brent oil prices have been taken.…”

Section: Literatur Revi̇ewmentioning

confidence: 99%

Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi

Cihangir¹

2019

Muhasebe Ve Finansman Dergisi

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In this study, the impact of commodity prices and capital inflows on the stock markets, which is from the fundamental variables influencing the economic and structural problems of emerging markets, has been investigated. The relations between variables were analyzed using Johansen Cointegration Test, Vector Error Correction Model, Wald test and Variance Decomposition technique respectively. A long term relation among to the related emerging markets stock indices and Gold Volatility Index (GVZ), Oil Volatility Index (OVX) and Fed fund rates were detected. It is determined that GVZ and OVX individually or together affect stock market indices and FED fund rates didn't seem to have significant impact on these stock indices. It can be specified that stock market indexes are more affected than GVZ. In general, some part of the variables are defined such as importance to the emerging market economies to develop policies to respond to fluctuations in the commodity prices and the changes in global liquidity.

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Determinants of Real Effective Exchange Rates in Emerging Market Economies

Cited by 5 publications

References 10 publications

Pengaruh Faktor Ekonomi Makro, Kestabilan Politik dan Harga Minyak Dunia pada Nilai Tukar Rupiah terhadap Dolar Amerika Serikat

Pengaruh Faktor Ekonomi Makro, Kestabilan Politik dan Harga Minyak Dunia pada Nilai Tukar Rupiah terhadap Dolar Amerika Serikat

Factors Responsible for Movements in Real Effective Exchange Rate of Selected African Countries

Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi

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