Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets

Hui, Cho‐Hoi; Lo, Chi‐Fai; Chau, Po-Hon

doi:10.22617/wps179151-2

Cited by 3 publications

(3 citation statements)

References 49 publications

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“…The characteristics of the country where the study is conducted (cultural and social-political) may account for such a difference in finding (Ozturk, 2010) and the difference in data periods used (Adam, 2016). This finding, however, agrees with those of Hui et al (2018), Gadanecz et al (2018), Arshad et al (2018) and Cepni and Güney (2019).…”

Section: Discussionsupporting

confidence: 89%

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Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia

Saenong

Muthalib

Adam

et al. 2020

IJEEP

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This study aims to examine the symmetric and asymmetric effects of crude oil prices and exchange rate on bond yields in Indonesia. Dubai crude oil prices are used as a proxy for crude oil price data and the IDR/USD exchange rate is used as a proxy for exchange rate. Meanwhile, the 10-year Indonesian bond yields are used as a proxy for bond yields. Data on Dubai crude oil prices, the IDR/USD exchange rate, and the 10-year Indonesian government bond yields are time-series data from January 2007 to April 2019. The results of the test using the autoregressive distributed lag and nonlinear autoregressive distributed lag models show that (1) in the long-run, neither the crude oil prices nor the exchange rate has symmetric and asymmetric effects on the bond yields, and (2) in the short-run, both of them have symmetric and asymmetric effects on the bond yields.

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Section: Discussionsupporting

confidence: 89%

“…The second research group includes among others, Hui et al (2018), Gadanecz et al (2018) and Cepni and Güney (2019). Hui et al (2017) investigated the effect of the exchange rate on sovereign bond yields such countries as Brazil, Colombia, Mexico, the Philippines, Russia, and Turkey.…”

Section: Literature Reviewmentioning

confidence: 99%

Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia

Saenong

Muthalib

Adam

et al. 2020

IJEEP

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“…Further evidence of the linkages between dollar funding conditions and macrofinancial conditions are documented in Bruno and Shin (2015); Hui, Lo, and Chau (2018); Hofmann, Shim, and Shin (2017); and ADB (2019).…”

mentioning

confidence: 98%

COVID-19 Exposes Asian Banks' Vulnerability to US Dollar Funding

Park¹,

Rosenkranz²,

Tayag³

2020

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The views expressed in this publication are those of the authors and do not necessarily reflect the views and policies of ADB or its Board of Governors or the governments they represent. ADB encourages printing or copying information exclusively for personal and noncommercial use with proper acknowledgment of ADB. Users are restricted from reselling, redistributing, or creating derivative works for commercial purposes without the express, written consent of ADB.

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Boom and Bust Cycles in Emerging Markets: How Important is the Exchange Rate?

Siklos

2018

SSRN Journal

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I am grateful to the Hong Kong Institute for Monetary Research for financial support under their Thematic Fellowship Programme, for comments received at an HKIMR seminar where an earlier version of this paper was presented, and to the Editor as well as four anonymous referees. A longer version of this paper appeared as HKIMR working paper 2005-17. An online appendix is available, with additional information about data sources, samples, and more empirical results.

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Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets

Cited by 3 publications

References 49 publications

Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia

Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia

COVID-19 Exposes Asian Banks' Vulnerability to US Dollar Funding

Boom and Bust Cycles in Emerging Markets: How Important is the Exchange Rate?

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