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TESTING FOR LONG MEMORY IN THE ASIAN FOREIGN exchange rates

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Journal of Systems Science & Complexity 2006年第2期19卷 182-190页

作者： Abdol S. SOOFI Shouyang WANG Yuqin ZHANG Department of Economics University of Wisconsin PlatteviUe WI 53818 USA. Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100080 China. School of International Trade and Economics University of International Business and Economics Beijing 100029 China.

In this paper, we use the plug-in and Whittle methods that are based on spectral regression analysis to test for the long memory property in 12 Asian/dollar daily exchange rates. The results according to the plug-in method show that with the exception of Chinese renminbi all series may have long memory properties. The results based on the Whittle method, on the other hand, show that only Japanese yen and Malaysian ringgit may have long memory properties. It is well known that inference about the differencing parameter, d, in presence of structural break in a series entails considerable difficulties. Therefore, given the financial crisis of 1997-1998 in Asia, further tests for unravelling of the memory property and presence of structural break in the exchange rate series are required.

关键词： exchange rates long memory plug-in method Whittle method.

How would Capital Account Liberalization Affect China's Capital Flows and the Renminbi Real exchange rates?

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China & World Economy 2012年第6期20卷 29-54页

作者： Dong He Lillian Cheung Wenlang Zhang Tommy Wu Executive Director of Research Department Hong Kong Monetary Authority Head of Economic Research Division Research DepartmentHong Kong Monetary Authority Economic Research Division Research DepartmentHong Kong Monetary Authority

In this paper we study the determinants of gross capital flows, project the size of China＇s international investment position in 2020, and analyze the implications for the renminbi real exchange rate if China liberalizes the capital account. We assume in this exercise that the renminbi will have largely achieved capital account convertibility by the end of the current decade, a timetable consistent with recent proposals by the People ＇s Bank of China. Our analysis shows that if the capital account were liberalized, China＇s gross international investment position would grow significantly, and inflows and outflows would become much more balanced. The private sector would turn its net liability position into a balanced position, and the official sector would reduce its net asset position significantly, relative to the country ＇s GDP. Because of the increasing importance of private sector foreign claims and the decreasing importance of official foreign reserves, China would be able to earn higher net investment income from abroad. Overall, China would continue to be a net creditor, with the net foreign asset position as a share of GDP remaining largely stable through this decade. These findings suggest that the renminbi real exchange rate would not be particularly sensitive to capital account liberalization as capital flows are expected to be two-sided. The renminb i real exchange rate would likely be on a path of moderate appreciation as China is expected to maintain a sizeable growth differential with its trading partners.

关键词： capital account liberalization exchange rates net foreign asset position

Trend Analysis of exchange Rate of the Ghana Cedi against the US Dollar Using Time Series

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Open Journal of Statistics 2023年第5期13卷 734-745页

作者： Francis Ayiah-Mensah Prince Arthur-Nunoo Joseph Acquah John Awuah Addor Department of Mathematics Statistics and Actuarial Science Faculty of Applied Sciences Takoradi Technical University Takoradi Ghana Department of Mathematical Sciences University of Mines and Technology Tarkwa Ghana

exchange rate volatility or its stability is a key determinant of the state of a country’s economy. The Ghana cedi’s performance against the US dollar in recent times has been the worse in the past decade. This has resulted in high inflation, high cost of living and high cost of production in Ghana. Despite the recent economic recovery growth, the cedi continues to strife in high rate of exchange against the dollar. This study examines and models a trend, and makes predictions of future rates of the cedis against the US dollar. Methodology: The study used a 13-year data of exchange rates of Ghana cedi and the US dollar spanning from 2010 to mid-2023 from the Bank of Ghana’s economic data on exchange rates, Ghana Stock exchange and the World Bank. The ARIMA and SARIMA models were used to model the trends and for forecasting, taking into the consideration the asymmetric and seasonal effect of the data. Results: The outputs show that, the Ghana cedi will continue to rise but steadily against the US dollar for the remaining months of 2023 except in December, and continue to decline afterwards through into 2024. Conclusion: The cedi continues to weaken in value and the strength of its purchasing power. A weaker currency depicts a “junk” economy which affects its foreign investment. As the US dollar continues to rise, the Government and policy makers must implement effective policies to stabilize its rise against the cedi. Export of commodities must increase in addition to import restrictions to balance trade deficit and to strengthen the Ghana Cedi.

关键词： Ghana Cedi US Dollar Ghana Stock exchange Inflation exchange rates

How China's Holdings of Foreign Reserves Affect the Value of the US Dollar in Europe and Asia

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China & World Economy 2010年第3期18卷 24-39页

作者： Jonathan E. Leightner Johns Hopkins University Hopkins-Nanjing Center Augusta State University

By January 2009, China held almost US$2tn in foreign reserves. The present paper estimates the marginal effect of China changing its holdings offoreign reserves on the value of the US dollar in Europe and dsia. Because using traditional techniques to find this estimate would be inappropriate due to severe problems resulting from omitted variables, the present paper uses a new approach, bidirectional-reiterative trucated projected least squares, that has been proven to minimize problems associated with omitted variables. It is found that if China would sell 1 percent of its foreign reserves, then the value of the US dollar would fall by 0.44 percent. With such a large effect, China has an incentive to either not sell arty of its US dollar reserves or sell all of its US dollar reserves.

关键词： exchange rates China foreign reserves omitted variables

Near-zero U.S. Interest rates, Primary Commodity Prices, and Financial Control in Emerging Markets

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Economic and Political Studies 2014年第2期2卷 3-25页

作者： RONALD I. MCKINNON the Department of Economics Stanford University

The U.S. Federal Reserve's monetary policy at the center of the world dollar standard has a first-order impact on global financial stability. However, except in moments of international crises, the Fed focuses inward on domestic American economic indicators and generally ignores collateral damage from its monetary policies in the rest of the world. But this makes the U.S. economy less stable. Currently, ultra-low interest rates on dollar assets ignite waves of hot money into emerging markets by carry traders that generate bubbles in international primary commodity prices and other assets. These bubbles burst when some accident at the center, such as a banking crisis, causes a reflux of the hot money. Ironically, these near-zero interest rates hold back investment in the American economy itself.

关键词： dollar standard exchange rates hot money flows emerging markets commodity price cycles

Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY

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Financial Innovation 2020年第1期6卷 574-590页

作者： Yensen Ni Min-Yuh Day Paoyu Huang Department of Management Sciences Tamkang UniversityNew Taipei CityTaiwan Graduate Institute of Information Management National Taipei UniversityNew Taipei CityTaiwan Department of International Business Soochow UniversityNo.56Sec.1Kueiyang St.Taipei City 100Taiwan

We hypothesized that sharp movement in the USDX,GBP/USD,and USD/CNY might result in stock market fluctuations owing to heightened investors’*** subsequent performance of trading stocks right after such sharp movements in exchange rates is seldom explored in existing *** examined the historical data of the constituent stocks of the DJ 30,FTSE 100,and SSE 50 indexes and found that the share prices were more volatile after sharp movements in the CNY,even though the currency is less volatile because of China’s exchange rate ***,for the USD and GBP,share prices of the DJ 30 and FTSE 100,respectively,rose after sharp appreciation and depreciation of the currencies.

关键词： Investing strategies exchange rates Investors’sentiments

Training RBFNN with reglarized correntropy criterion and its application to foreign exchange rate forecasting

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Training RBFNN with reglarized correntropy criterion and its...

Hot Money Flows, Cycles in Primary Commodity Prices, and Financial Control in Developing Countries

第26届中国控制与决策会议

作者： Yan-Jun Liu Hong-Jie Xing Institute of Japanese Studies Hebei University College of Mathematics and Computer Science Hebei University

In the paper, a regularized correntropy criterion（RCC） for radial basis function neural network（RBFNN） is proposed. In RCC, the Gaussian kernel function is used to replace the Eculidean norm of the sum-squared-error（SSE）criterion. Replacing SSE by RCC can improve the anti-noise ability of RBFNN. Moreover, the optimal weights and the optimal bias terms can be iteratively obtained by the half-quadratic optimization technique. The effectiveness of the proposed method is validated on the foreign exchange rate time series. In comparison with the RBFNN trained with the SSE criterion, the proposed method demonstrates better generalization ability.

关键词： RBFNN Correntropy exchange rates Neural networks

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Frontiers of Economics in China-Selected Publications from Chinese Universities 2015年第2期10卷 201-223页

作者： Ronald McKinnon Department of Economics Stanford University Stanford CA 94305-6072 USA

Because the U.S. Federal Reserve＇s monetary policy is at the center of the world dollar standard, it has a first-order impact on global financial stability. However, except during international crises, the Fed focuses on domestic American economic indicators and generally ignores collateral damage from its monetary policies on the rest of the world. Currently, ultra-low interest rates on short-term dollar assets ignite waves of hot money into Emerging Markets （EM） with convertible currencies. When each EM central bank intervenes to prevent its individual currency from appreciating, collectively they lose monetary control, inflate, and cause an upsurge in primary commodity prices internationally. These bubbles burst when some accident at the center, such as a banking crisis, causes a return of the hot money to the United States （and to other industrial countries） as commercial banks stop lending to foreign exchange speculators. World prices of primary products then collapse. African countries with exchange controls and less convertible currencies are not so attractive to currency speculators. Thus, they are less vulnerable than EM to the ebb and flow of hot money. However, Afi-ican countries are more vulnerable to cycles in primary commodity prices because food is a greater proportion of their consumption, and--being less industrialized--they are of their commodity exports. Supply-side more vulnerable to fluctuations in prices shocks, such as a crop failure anywhere in the world, can affect the price of an individual commodity. But joint fluctuations in the prices of all primary products--minerals, energy, cereals, and so on--reflect monetary conditions in the world economy as determined by the ebb and flow of hot money from the United States, and increasingly from other industrial countries with near-zero interest rates.

关键词： dollar standard exchange rates hot money flows emerging markets,commodity price cycles

Impact of Inflation on Madagascar Economic Growth

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Impact of Inflation on Madagascar Economic Growth

作者： Ramiaraka Rakoto Henisoa 湖南大学

学位级别：硕士

Inflation is defined as a general rise in the price level. It is measured by the rate ofinflation which is the change in the Consumer Price Index. There are several types ofinflation. Depending on its intensity, there is creeping inflation if the rate is less than8%, open inflation until20%and hyperinflation above it. According to its origin,there are monetary inflation due to an increase in the money supply, inflation bydemand generated by an increase in aggregate demand and/or a decrease in aggregatesupply, inflation in the cost (wage inflation and inflation by profit) caused by therising cost of inputs, wages and profit margins. Inflation has many repercussions, it iscalled a necessary evil because it can reduce unemployment and it stimulates theproduction and economic growth in a country where its intensity is low and his time isshort. Apparently, it also has negative consequences, the deterioration of the tradebalance, the unequal distribution of national income, blocking economic *** Madagascar, the inflation rate is calculated by INSTAT. Regarding the period2000-2010, the main sources of inflation in Madagascar are the currency income(grants, loans and direct investment) increase the supply of credit and the increase inpublic expenditure, and the low agricultural productivity (especially rice), naturaldisasters, political crises and the increase in international prices of industrial productsespecially oil. By using the data from INSTAT and other institutions like the WorldBank, and using ADF and the PP test, VEC and VAR models, this paper proves that inMadagascar the inflation has a weak effect on economic growth in a short-run. But itcan be devastating at the long-run. The rate is in most cases "two-digit" between2000and2010;it does not contribute to economic growth. Instead, it merely reinforces thepoverty that exists for years with average real growth of3.7%during the last18years.

关键词： Inflation Consumer Price Index exchange rates balance of trade economic growth