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Is pass‑through of the exchange rate to restaurant and hotel prices asymmetric in the US?Role of monetary policy uncertainty

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Financial Innovation 2023年第1期9卷 539-557页

作者： Uju Violet Alola Ojonugwa Usman Andrew Adewale Alola Department of Tourism Guidance Istanbul Gelisim UniversitIstanbulTurkey Economics and Finance Application and Research Center Department of EconomicsIstanbul Ticaret UniversityIstanbulTurkey Centre for Research on Digitalization and Sustainability Inland Norway University of Applied Sciences2418 ElverumNorway Faculty of Economics Administrative and Social SciencesNisantasi UniversityIstanbulTurke

This study examines the exchange rate pass-through to the United States(US)restaurant and hotel prices by incorporating the effect of monetary policy uncertainty over the period 2001:M12 to 2019:*** the nonlinear autoregressive distributed lag(NARDL)model,empirical evidence indicates asymmetric pass-through of exchange rate and monetary policy ***,a stronger pass-through effect is observed during depreciation and a negative shock in monetary policy uncertainty,corroborating asymmetric pass-through *** results further show that a positive shock in energy prices leads to an increase in restaurant and hotel ***,asymmetric causality indicates that a positive shock in the exchange rate causes a positive shock to restaurant and hotel *** found feedback causal effects between positive and negative shocks in monetary policy uncertainty and positive and negative shocks in the exchange ***,we detected a one-way asymmetric causality,flowing from a positive(negative)shock to a positive(negative)shock in energy ***,these findings provide insights for policymakers to achieve low and stable prices in the US restaurant and hotel industry through sound monetary policy *** drivers of restaurant and hotel business in tourism destinations are *** is asymmetric pass-through of exchange rate and monetary policy uncertainty.A stronger pass-through is observed during appreciation and a negative shock to monetary policy *** is asymmetric causality from positive shock in exchange rate to postive shock in restaurant and hotel prices.

关键词： Restaurant and hotel prices exchange rate Monetary policy uncertainty Energy price index US economy

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Machine Learning-based USD/PKR exchange rate Forecasting Using Sentiment Analysis of Twitter Data

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Computers, Materials & Continua 2021年第6期67卷 3451-3461页

作者： Samreen Naeem Wali Khan Mashwani Aqib Ali M.Irfan Uddin Marwan Mahmoud Farrukh Jamal Christophe Chesneau Department of Computer Science&IT Glim Institute of Modern StudiesBahawalpur63100Pakistan Institute of Numerical Sciences Kohat University of Science&TechnologyKohat26000Pakistan Department of Computer Science Concordia College BahawalpurBahawalpur63100Pakistan Institute of Computing Kohat University of Science and TechnologyKohat26000Pakistan Faculty of Applied Studies King Abdulaziz UniversityJeddah21577Saudi Arabia Department of Statistics The Islamia University of BahawalpurBahawalpur63100Pakistan Department of Mathematics Universitéde CaenLMNOCampus IIScience 3Caen14032France

This study proposes an approach based on machine learning to forecast currency exchange rates by applying sentiment analysis to messages on Twitter(called tweets).A dataset of the exchange rates between the United States Dollar(USD)and the Pakistani Rupee(PKR)was formed by collecting information from a forex website as well as a collection of tweets from the business community in Pakistan containing finance-related *** dataset was collected in raw form,and was subjected to natural language processing by way of data *** variable labeling was then applied to the standardized dataset,where the response variables were divided into two classes:“1”indicated an increase in the exchange rate and“−1”indicated a decrease in *** better represent the dataset,we used linear discriminant analysis and principal component analysis to visualize the data in three-dimensional vector *** that were obtained using a sampling approach were then used for data *** machine learning classifiers—the simple logistic classifier,the random forest,bagging,naïve Bayes,and the support vector machine—were applied to the optimized *** results show that the simple logistic classifier yielded the highest accuracy of 82.14%for the USD and the PKR exchange rates forecasting.

关键词： Machine learning exchange rate sentiment analysis linear discriminant analysis principal component analysis simple logistic

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EFFECTS OF exchange rate AND TARIFFS ON AN OPEN ECONOMY OF SCARCITY OF CAPITAL

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Applied Mathematics(A Journal of Chinese Universities) 2000年第4期15卷 453-460页

作者： Hu Zhineng Xu JiupingDept.of Appl.Math.,Sichuan Univ.,Chengdu 610065. Dept. of Appl. Math. Sichuan Univ. Chengdu

In this paper, the impact of tariffs and exchange rate on consumption and investment in an open economy of scarcity of capital is *** dynamics and market price of capital,and the solution of foreign asset holding of t... 详细信息

关键词： Open economy exchange rate tariff welfare.

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Cointegration between macroeconomic factors and the exchange rate USD/CNY

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Financial Innovation 2019年第1期5卷 76-90页

作者： Muhammad Kamran Khan Jian-Zhou Teng Muhammad Imran Khan School of Economics Northeast Normal UniversityChangchunJilinChina

This research paper investigates the effect of macroeconomic variables on the exchange rate USD/CYN using yearly time series data for China economy from 1980 to *** bounds test approach for cointegration is applied to test the long-run relation between the dependent and the independent *** results of long-run ARDL indicate that gross domestic product growth and trade openness have a positive effect on the exchange rate USD/CNY while interest and inflation rates have a negative effect on the exchange *** on the results of this study,it is recommended that the policymakers of the Chinese government should implement vital monetary and fiscal policies to determine the less volatile and productive exchange rate for China to manage sustainable economic growth for a long time with its trading partners.

关键词： exchange rate Macroeconomic factors ARDL

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Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models:a comparison based on normal and Student's t-error distribution

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Financial Innovation 2017年第1期3卷 238-256页

作者： S.M.Abdullah Salina Siddiqua Muhammad Shahadat Hossain Siddiquee Nazmul Hossain Department of Economics University of DhakaDhakaBangladesh Department of Development Studies University of DhakaDhakaBangladesh University of Manchester ManchesterUK

Background:Modeling exchange rate volatility has remained crucially important because of its diverse *** study aimed to address the issue of error distribution assumption in modeling and forecasting exchange rate volatility between the Bangladeshi taka(BDT)and the US dollar($).Methods:Using daily exchange rates for 7 years(January 1,2008,to April 30,2015),this study attempted to model dynamics following generalized autoregressive conditional heteroscedastic(GARCH),asymmetric power ARCH(APARCH),exponential generalized autoregressive conditional heteroscedstic(EGARCH),threshold generalized autoregressive conditional heteroscedstic(TGARCH),and integrated generalized autoregressive conditional heteroscedstic(IGARCH)processes under both normal and Student’s t-distribution assumptions for *** and Conclusions:It was found that,in contrast with the normal distribution,the application of Student’s t-distribution for errors helped the models satisfy the diagnostic tests and show improved forecasting *** such error distribution for out-of-sample volatility forecasting,AR(2)–GARCH(1,1)is considered the best.

关键词： exchange rate Volatility ARCH GARCH Student’s t Error distribution

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Is China's Economic Growth Extraordinary or Mediocre?The Role of the exchange rate

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China & World Economy 2008年第1期16卷 100-116页

作者： Yun Feng Chongfeng Wu Antai College of Economics and Management Shanghai Jiao Tong University Shanghai China. Antai College of Economics and Management Shanghai Jiao Tong University Shanghai China

Results derived from evaluations using different measures for China＇s economic growth are divergent, especially when the RMB exchange rate has experienced large depreciation. Focusing on the changes in the RMB exchange rate matching the demands of economic development, we offer some plausible explanations for the variations in the evaluation results. The significant gaps between different economic performance evaluation results before the mid-1990s, and evidence from international comparisons of factor productivity indicate that the quality of economic growth in China is different from that of other economies. Evaluation of economic development should take into account both quantitative expansion and qualitative improvement. From this perspective, evaluation results indicate qualitative improvement in the Chinese economy after the mid-1990s.

关键词： China's economy economic growth exchange rate productivity

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Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach

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Financial Innovation 2020年第1期6卷 392-410页

作者： Shamaila Butt Suresh Ramakrishnan Nanthakumar Loganathan Muhammad Ali Chohan Azman Hashim International Business School Universiti Teknologi Malaysia81310 Johor BahruJohorMalaysia

This paper examines the long-and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices,namely oil,palm oil,rubber,and natural gas prices,in Malaysia using monthly data from January 1994 to December *** relationship between exchange rate and each commodity price is examined in terms of Engle-Granger and threshold *** estimated results provide evidence of long-run threshold cointegration and show that the adjustments towards the long-run equilibrium position are asymmetric in the short ***,this study finds evidence of a unidirectional causal relationship running from the nominal exchange rate to oil price in the long and short run using a spectral frequency domain causality *** is also empirical evidence of bidirectional causality between the nominal exchange rate and palm oil price,rubber price,and natural gas price in the long and short ***,the findings have significant implications for the current debate on the future of primary commodities in Malaysia.

关键词： Commodity prices exchange rate Threshold cointegration

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A KELM-Based Ensemble Learning Approach for exchange rate Forecasting

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Journal of Systems Science and Information 2018年第4期9卷 289-301页

作者： Yunjie WEI Shaolong SUN Kin Keung LAI Ghulam ABBAS Academy of Mathematics and Systems Science Chinese Academy of Sciences Center for Forecasting Science Chinese Academy of Sciences School of Economics and Management University of Chinese Academy of Sciences International Business School Shaanxi Normal University Department of Industrial and Manufacturing Systems Engineering Hong Kong University Sukkur IBA University

In this paper, a KELM-based ensemble learning approach, integrating Granger causality test, grey relational analysis and KELM(Kernel Extreme Learning Machine), is proposed for the exchange rate forecasting. The study uses a set of sixteen macroeconomic variables including, import,export, foreign exchange reserves, etc. Furthermore, the selected variables are ranked and then three of them, which have the highest degrees of relevance with the exchange rate, are filtered out by Granger causality test and the grey relational analysis, to represent the domestic situation. Then, based on the domestic situation, KELM is utilized for medium-term RMB/USD forecasting. The empirical results show that the proposed KELM-based ensemble learning approach outperforms all other benchmark models in different forecasting horizons, which implies that the KELM-based ensemble learning approach is a powerful learning approach for exchange rates forecasting.

关键词： exchange rate macroeconomic variables forecasting kernel extreme learning machine

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exchange rate or Wage Changes in International Adjustment? Japan and China versus the United States

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China & World Economy 2005年第5期13卷 11-27页

作者： Ronald McKinnon Economics Department Stanford University Stanford U.S.

Under the world dollar standard, a discrete appreciation by a dollar creditor country of the United States, such as China or Japan, has no predictable effect on its trade surplus. Currency appreciation by the creditor country will slow its economic growth and eventually cause deflation but cannot compensate for a saving-investment imbalance in the United States. Under a fixed exchange rate, however, differential adjustment in the rate of growth of money wages will more accurately reflect international differences in productivity growth. International competitiveness will be better balanced between high-growth and low-growth economies, as between Japan and the U.S. from 1950 to 1971 and China and the U.S. from 1994 to 2005, when the peripheral country＇s dollar exchange rate is fixed so that its wage growth better reflects its higher productivity growth. The qualified case for China moving toward greater flexibility in the form of a very narrow band for the yuan/dollar exchange rate, as a way of decentralizing foreign exchange transacting, is discussed.

关键词： exchange rate dollar standard trade balance China Japan

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exchange rate and Stock Index Volatility:Empirical Evidence from China

Exchange Rate and Stock Index Volatility:Empirical Evidence ...

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2011 International Conference on Business Management and Electronic Information(BMEI 2011)

作者： Liu Yunzhong Statistic School Xi’an University of Finance and Economics Xi’an,China

This paper explores the links between the USD/RMB and the Shanghai Stock Index using the ARCH *** key findings are:the USD/RMB exchange rate and the Shanghai Stock Index are in equilibrium in the long-run;USD/RMB exchange rate is the leading indicator of Shanghai stock index;spot exchange rate is positive to Shanghai Stock Index;spot exchange rate is negative to Shanghai Stock Index in 1 lag;exchange rate movements are significant to stock market volatility when the fixed exchange rate regime is changed into a managed floating exchange rate regime.

关键词： exchange rate Stock Index ARCH

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