Regime-dependent drivers of the EUR/CHF exchange rate

Kotlarz, Piotr; Hanke, Michael; Stöckl, Sebastian

doi:10.1186/s41937-023-00107-w

Cited by 2 publications

(3 citation statements)

References 37 publications

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“…The literature presents a range of empirical findings on the influence of various factors, both observable and hidden, on exchange rate volatility. These findings vary depending on the circumstances and are extensively explored in the study conducted by Kotlarz et al (2023).…”

Section: Theoretical Frameworkmentioning

confidence: 99%

“…Multiple studies have examined the volatility of the EUR/CHF exchange rate, including the researches ofDudukovic (2012),Lyocsa et al (2016),Lera and Sornette (2016), Kinkyo (2020), Loermann (2021), andKotlarz et al (2023). However, there is no existing evidence regarding the Albanian market in relation to this issue, considering the country complexity and its economic and financial fragility.…”

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confidence: 99%

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Modeling The Volatility Of EUR/CHF Exchange Rate in The Albanian Market: An Approach Using Latent Likelihood

Todri,

Biçoku

2024

RGSA

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Objective: The objective of this study is to estimate the volatility of the EUR/CHF exchange rate in Albanian market, with the purpose of forecasting it within a short time frame of one day. This is particularly important given the interesting fluctuations observed in the past year. Such information is crucial for economic agents who face exposure to this specific exchange risk, as both EURO and CHF are widely used and strong European currencies within the country. Theoretical Framework: This topic covers studies that incorporate modifications to standard deviation errors in autoregressive models and those that address autocorrelated errors using varying variance models. Method: The study employs the ARMA (1;1), ARCH (1;1), and GARCH (1;1) models to calculate the EUR/CHF volatility with a 95% confidence level. It employs daily EUR/CHF exchange rates, denominated in ALL, from May 4, 2022, to April 28, 2023. This period encompasses a total of 245 observations. Results and Discussion: The results suggest that both the ARMA (1;1) and ARCH (1;1) models were inadequate in accurately estimating the volatility of the EUR/CHF exchange rate. This discrepancy is likely due to latent factors that impact volatility within the Albanian market. In contrast, the GARCH (1;1) model proved effective in capturing EUR/CHF exchange rate volatility. Research Implications: The GARCH (1;1) model is implemented using the moving window method over a one-day timeframe. To forecast the EUR/CHF exchange rate on 02/05/2023, we utilize 244 data points spanning from 04/05/2022 to 28/04/2023. This process is repeated for the entire period from 02/05/2023 to 30/04/2024. Originality/Value: The study evaluates the statistical robustness of three dynamic models to accurately estimate EUR/CHF exchange rate volatility in the Albanian market, filling a gap in existing literature. It provides future predictions for the EUR/CHF exchange rate within a one-day timeframe by utilizing findings from the precise GARCH (1;1) model. Moreover, the research conducts to Value at Risk (VaR) calculations, enhancing its relevance for informing risk management strategies in the Albanian market.

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Section: Theoretical Frameworkmentioning

confidence: 99%

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confidence: 99%

Modeling The Volatility Of EUR/CHF Exchange Rate in The Albanian Market: An Approach Using Latent Likelihood

Todri,

Biçoku

2024

RGSA

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“…The results of the Variance Decomposition (VD) test show that exchange rates have the greatest impact on murabahah behavior. The exchange rate shows the value of one country's currency relative to another country's currency (Amalia et al, 2019;He et al, 2023;Issoufou, 2019;Kotlarz et al, 2023;Luo et al, 2023;Mohd Jaffar & Idris, 2011;Ohene et al, 2023). Banks will be affected by exchange rates.…”

Section: Economic Analysis Of the Exchange Rate On Murabahah Financin...mentioning

confidence: 99%

Interconnection of Inflation, Bi Rate, and Exchange Rate on Mudharabah and Murabahah Financing

Ridho Kismawadi,

Annisa Shafira Tania,

Iskandar

et al. 2023

JEBIS

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The purpose of this study is to analyze the relationship between inflation, BI interest rates, and exchange rates on Mudharabah and Murabahah financing at Sharia Commercial Banks. This research is a quantitative study that applies the Johansen Integration Test and Vector Error Correction Model to see the long-term impact and shock response on certain variables. Research findings show that the exchange rate has a significant negative impact in the short term on Mudharabah financing income, while inflation factors and BI interest rates have a smaller negative impact in the short term. The receipt of Murabahah financing is negatively affected by all factors, especially inflation, BI interest rates, and currency exchange rates. Inflation and exchange rates have a significant negative impact in the long run on Mudharabah and Murabahah financing income, while BI interest rates have a small positive impact in the long run. Recommendations based on the results of this study are the importance of maintaining exchange rate stability and controlling inflation, as well as the need for effective risk management in the face of exchange rate fluctuations and inflation. In addition, Islamic banks need to improve operational efficiency, educate customers about economic risks, and encourage collaboration between relevant institutions for further research and better policy development.

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Regime-dependent drivers of the EUR/CHF exchange rate

Cited by 2 publications

References 37 publications

Modeling The Volatility Of EUR/CHF Exchange Rate in The Albanian Market: An Approach Using Latent Likelihood

Modeling The Volatility Of EUR/CHF Exchange Rate in The Albanian Market: An Approach Using Latent Likelihood

Interconnection of Inflation, Bi Rate, and Exchange Rate on Mudharabah and Murabahah Financing

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