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Journal
摘要: We use long and short term memory (LSTM) to predict intraday returns in foreign exchange markets. As predictors, we use events in the limit order book. Compared to other models, our model predicts the movement of a 1-min midquote return. When we consider the bid-ask spread, this prediction does not bring economic gains. This result indicates that these events can contribute to price discovery and the studied markets efficiently set the spread.关键词: foreign exchange rate;limit order;LSTM
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摘要: The general objective of this research was to investigate the effect of COVID-19 and Inflation rate on the Foreign Exchange rate in Kenya. Census technique was used in collecting a 263 days data from the World Health Organization, Central Bank of Kenya and the Kenya National Bureau of Statistics. Analysis of data was through quantitative techniques, inferential analysis; specifically, correlation analysis was conducted. Overall model fitness test was through F-test. The coefficients generated fr关键词: Corona-virus disease 2019 (COVID-19);World Health Organization (WHO);Foreign exchange rate;Kenya Shilling (KES);United States Dollar (USD)
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摘要: To understand macroeconomic risks underlying currency carry trades, I propose exploiting rich source of information from analysts’ economic growth forecasts. Specifically, I obtain measures of global growth prospects from the cross-analyst distribution of real GDP growth forecasts. I find that the global measure of skewness in forecasts negatively predicts returns both for the G10 carry and for the carry based on a wide range of currencies. The global skewness measure is found to play a more rob关键词: Foreign exchange rate;Carry trade;Macroeconomic forecast;Heterogeneous beliefs;D84;G11;G12;G15;F30
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Journal
摘要: Nowadays artificial intelligence is used in almost every sector of our day-to-day life. AI is used in preventative maintenance, quality control, demand forecasting, rapid prototyping, and inventory management among other places. Also, its use in the economic market has gained widespread. The use of artificial intelligence has made a huge contribution to price forecasting in the currency market or the stock market. This research work explores and analyzes the use of machine learning techniques as关键词: Artificial Intelligence;Foreign Exchange Rate;EUR/USD;Forex Market;Machine Learning;Linear Regression.
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Book Chapter
摘要: This chapter analyzes the nexus among oil price, foreign reserve, and exchange rate in pre-COVID-19 era and during the COVID-19 pandemic. It employs descriptive, VAR, and SVAR estimation techniques. This chapter observes that oil price, foreign reserves, and exchange rate had undergone major changes during COVID-19 compared to the pre-COVID-19 period. The VAR causality estimate showed the absence of causality among the variables in the pre-COVID-19 era, while in the COVID-19 period, the study ob关键词: COVID-19;Oil price; Foreign reserves;Exchange rate;SVAR;F31;I10;Q10
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Book Chapter
摘要: It is of great importance to find accurate forecasts of monetary policy rates for economies to make better decisions for future performance of the overall economy and trading issues. For a proper decision-making process, regulatory authorities need to consider forecasting as one of the most important elements. This chapter aims to determine which forecast monetary policy rates such as bank lending, exchange and inflation rates could be considered during the COVID-19 pandemic in South Africa. The关键词: Inflation rate;Bank rate;Foreign exchange rate;COVID-19;Univariate forecasting;Multivariate forecasting
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Journal
摘要: This paper examined how India's tourism industry emerged as a favourite tourist destination, with an emphasis on creativity and value creation for tourists and the effect and contribution of this industry on India's economic growth, unemployment rate, exchange rate and its share in India's GDP for the period 2000 to 2019. The result of this study showed the positive and substantial relationship between the growth rate of the economy and revenues from tourism. Two economic models were developed. 关键词: GDP;economic growth;OLS method;unemployment rate;foreign exchange rate;tourism industry.
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摘要: This study aims to examine the influence of socioeconomic development on inflation in South Asia using the foreign exchange rate and money supply as control variables.,The study uses annual panel data for five South Asian economies, namely, Bangladesh, India, Nepal, Pakistan and Sri Lanka over the period 1990 2018, applies cointegrating regression techniques, namely, the panel dynamic ordinary least square (OLS) and fully modified OLS estimators to examine the long run relations and conducts the关键词: Inflation;South Asia;HDI;Money supply;Foreign exchange rate;O11;O15;E31;F31;E51;N15
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Journal
摘要: This study did pay attention to the effects of macro-economic variables on financial soundness of Korean banks with the sudden increase of household debt and rising of U. S. treasury bond rate as a momentum. Besides, research motivation is also caused by a recent study reporting the effects of macro-economic variables on financial soundness of Indonesian bank loan. Current study analyzes the effects of interest rate, inflation, and foreign exchange rate on non performing loan (NPL) of total loan关键词: 금리;인플레이션;환율;가계대출;고정이하여신;interest rate;inflation;foreign exchange rate;household loan;non performing loan
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Journal
Communication
Lee Namhoon;Choi Wonseok;Pae Yuntaek;
Economics LettersVolume , Issue prepublish, 2021, PP 109931-
摘要: The study examines foreign exchange market overreaction for various combinations of formation and testing periods over 30 years. First, we find that reversal is significant for longer test periods and longer formation periods. Second, we find no evidence of persistent momentum or reversal during the entire sample period. Thus, the results of overreaction studies should be sensitive to the sample period. Third, we observe losers outperform most of the formation and test periods combinations excep关键词: Overreaction;Reversal;Momentum;Foreign exchange rate;Efficient market hypothesis
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Research Article
摘要: We present empirical evidence that the innovation in global equity correlation is a viable pricing factor in international markets. We develop a stylized model to motivate why this is a reasonable candidate factor and propose a simple way to measure it. We find that our factor has a robust negative price of risk and significantly improves the joint cross-sectional fits across various asset classes, including global equities, commodities, sovereign bonds, foreign exchange rates, and options. In e关键词: asset pricing;investment;portfolio;foreign exchange rate
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Research Article
摘要: We analyze how different currency regimes influence the price efficiency of exchange rates. Based on an analysis of a sample of 20 exchange rates (covering 39 countries) over a 15-year period using MF-DFA (Multifractal Detrended Fluctuation Analysis), we find that currencies of countries following a Free Float regime show greater price efficiency than currencies of countries following a Managed Float regime. We also examined the impact of the financial crisis of 2008-09 on the price efficiency o关键词: Market Efficiency;Foreign Exchange Rate;Multifractal Theory;Financial Crisis
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Journal
Research Article
Panda Manaswinee Madhumita;Panda Surya Narayan;Pattnaik Prasant Kumar;
Materials Today: ProceedingsVolume , Issue prepublish, 2021, PP
摘要: Financial market is non-linear and chaotic in nature. So, Accurate prediction of foreign exchange rate is very difficult & a challenging task. Hence, many neural network techniques are used for forecasting various country’s currency exchange rates with different parameters. This article proposed convolutional neural networks for foreign currency exchange rate prediction. In this article we would like to propose a model which could develop a multivariate exchange rates information and put the关键词: Foreign exchange rate;Neural network;Convolutional neural network;Multilayer perceptron;Auto regressive integrated moving average;Adaptive learning rate method
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Journal
摘要: With the accession of RMB to SDR, the process of RMB internationalization has also experienced a milestone. But at the same time, China's development deeply depends on the international trade. With the increasing uncertainty of the world's political and economic situation, the fluctuation of RMB exchange rate is increasing. It has a profound impact on the scale of domestic and foreign trade, and has become an important factor affecting the economic development of China. This paper, taking the qu关键词: Foreign exchange rate; Trade balance; China.
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Journal
摘要: Foreign exchange rates determine the strength of a nation’s currency against other nation’s currency. Determination of foreign exchange rates in Ghana is therefore, of immense importance since the livelihood of many people in the country is tied to the performance of the local currency against the foreign currencies. Data from books and journals were used as the basis for the research; the research result was then compared to the work of earlier writers to ascertain the conformity or otherwise o关键词: Foreign Exchange Rate; Interest Rate; Purchasing Power Parity; Cost of Capital
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Journal
摘要: This study proposes a full Bayesian nonparametric procedure to investigate the predictive power of exchange rates in relation to commodity prices for three commodity-exporting countries: Canada, Australia, and New Zealand. We propose a new time-dependent infinite mixture of a normal linear regression model of the conditional distribution of the commodity price index. The mixing weights follow a set of Probit stick-breaking priors that are time-varying. We find that exchange rates have a positive关键词: Bayesian nonparametrics;Dirichlet process mixture;stick-breaking process;Markov China Monte Carlo (MCMC);predictive likelihood;foreign exchange rate;commodity price
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Journal
摘要: The Indonesian government uses the exchange rate of US dollar (USD) as an indicator in the preparation of the Draft of State Revenue and Expenditure Budget (RAPBN). The reason is that the daily exchange rate of the US dollar is a time series data with significant autocorrelation. Although the variance is relatively small, it cannot be considered constant. So, that the functional relationship model of the variants needs to be examined in addition to the functional relationship model of the exchan关键词: ARCH model;constant variant;foreign exchange rate;Rupiah;US dollar
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Journal
摘要: Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are used. The maximum likelihood estimation method is implemented after deriving an approximate log-transition density function (log-TDF) of the diffusion processes because the true log-TDF is unknown. Of the 关键词: Foreign Exchange Rate;Diffusion Model;Maximum Likelihood Estimation;US Dollar;Euro;British Pound;Japanese Yen
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Journal
摘要: This study investigates the impact of 70 US and EU macroeconomic news announcements on euro/dollar returns and volatility from November 2004 to April 2014. We use regime smooth transition regression to endogenously define recession and expansion. Our sample period includes the US mortgage crisis and EU sovereign debt crisis. Most news is unstable as its effect varies between these economic states. There are asymmetrical effects between recession and expansion states for both US and EU news, with关键词: financial crisis;foreign exchange rate;high‐frequency data;macroeconomic news
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Research Article
摘要: The study identifies the features of the USD/UAH exchange rate dynamics for the period from January 2014 to May 2020. The main purpose of the empirical analysis is to determine the current trend of the USD/UAH exchange rate (is it random or permanent), indicate the presence of seasonality in foreign exchange rate dynamics and evaluate its sensitivity to external shocks. Three hypotheses are tested using several methods of time series analysis (autocorrelation analysis, ADF, Phillips-Perron and G关键词: External shocks; Foreign exchange rate; Foreign exchange regime; Market efficiency; Random walk; Seasonality
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Journal
Research Article
摘要: This paper employs a quantile regression approach to explore the determinants and properties of international foreign exchange reserves in Serbia and North Macedonia, at various foreign exchange levels. The observed period covers quarterly data for 2005q1-2019q1. The results reveal quantile-dependent determinants of foreign exchange reserves and enable comparison between the two countries, showing co-movements between monetary policy and economic fluctuations. Following the estimates obtained in关键词: foreign exchange rate; GDP; international foreign exchange reserves; monetary aggregates; quantile regression
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Journal
摘要: This article attempts to empirically analyze the dynamic relationship and volatility spillover effects between exchange rates and stock returns of the five Central and Eastern European (CEE) countries (Hungary, Poland, the Czech Republic, Romania and Croatia) covering the period 2000–2017 by using the bivariate generalized autoregressive conditional heteroskedasticity-Baba, Engle, Kraft and Kroner (GARCH-BEKK) framework alongside with the constant and dynamic conditional correlation (CCC and DCC关键词: Stock markets;foreign exchange rate;CEE countries;multivariate GARCH;spillover effects
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Journal
摘要: 본 연구에서는 개별 기업의 수익률 변동성의 결정요인을 국내 요인과 해외 요인으로 구분하여 비교분석하고, 개별 기업 자료의 특성을 고려하여 패널실증분석 결과를 제시하고자 한다. 실증분석에서 개별 기업의 특성뿐만 아니라, 이자율, 환율변동성과 같은 거시경제 상황을 종합적으로 고려하여 기업의 주식수익률 변동을 분석하고자 한다. 실증분석 결과, 외국인과 국내 공공 부문 투자자의 거래량이 증가하는 경우, 개별 기업의 주식수익률 변동성이 증가하였다. 유형별 투자자들과 이자율의 교차항을 활용하여 분석한 결과에서는, 외국인과 국내 공공 부문 투자자들의 거래량이 이자율이 하락하는 경우에 더 큰 주식수익률 변동성을 야기하고 있음을 확인하였다. 또한 환율변동성이 증대되는 시기에 외국인, 공공 부문 투자자의 거래량이 더 큰 주식수익률 변동성을 야기하고 있었다. 이는 환율변동성이 증대되고 이자율이 하락하는 금융위기 혹은 경제关键词: 변동성; 기관투자자; 이자율; 환율; 주식수익률; Institutional investors; Interest rate; Stock return; Foreign exchange rate; Volatility
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Journal
摘要: In this article, I carried out an empirical investigation of whether exchange rate fluctuations affect M&A frequency. Using data from the last 10 years, I found that, while exchange rate fluctuations had not always been a key factor of M&A deals, they seem to have had a fairly remarkable influence on M&A frequencies especially in the case of “Out-In” deals by U.S. firms or in several particular industries. Based on empirical and theoretical foundations, I propose a shifted inverse Gaussian distr关键词: 統計;断続的均衡モデル;M&A,Statistics;組織変革;Punctuated Equilibrium Model;Organizational Transformation;為替;Foreign Exchange Rate
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Journal
Lina Ni; Yujie Li; Xiao Wang; Jinquan Zhang; Jiguo Yu; Chengming Qi;
Procedia Computer ScienceVolume 147, Issue , 2019, PP 647-652
摘要: Abstract(#br)This paper proposes a C-RNN forecasting method for Forex time series data based on deep-Recurrent Neural Network (RNN) and deep Convolutional Neural Network (CNN), which can further improve the prediction accuracy of deep learning algorithm for the time series data of exchange rate. We fully exploit the spatio-temporal characteristics of forex time series data based on the data-driven method. On the exchange rate data of nine major foreign exchange currencies, the experimental compa关键词: Deep learning; Recurrent neural network; Convolutional neural network; Foreign Exchange Rate; Time series analysis
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Research Article
摘要: ABSTRACT(#br)In the global financial and business world, the wealth that an entity owns usually is composed of various assets or measured by different currencies, the value of which is dependent on the fluctuation of the foreign exchange rates. The analysis of dynamics associated with the foreign exchange rates is one of the important concerns to market strategists, financial planners, or risk managers such that a fundamental problem is induced as how to measure the wealth objectively. In this pape关键词: Foreign exchange rate;virtual standard currency;virtual exchange rates;wealth measures;forex;currency portfolio;rank one approximation;modified power method
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Journal
摘要: This research investigated the effect of interest rate and foreign exchange rate on stock market development in Nigeria. This research was centered on two research problems. First, it was whether interest rate had a significant effect on stock market development in Nigeria. Second, it was whether foreign exchange rate had a significant impact on stock market development in Nigeria. The scope of the research covered the period from 1981 to 2017. Data for this period were chosen because it covered关键词: Interest rate; Foreign exchange rate; Stock market development; Post-liberalization; Capitalization
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Journal
摘要: Financial time series data is very chaotic, noisy, fluctuating and nonlinear as different events have occurred in various time periods. Therefore, it is very challenging for researchers to develop the accurate predictive model. Prediction for Foreign Exchange rate is also a very crucial task for N days ahead prediction because of volatile nature of Foreign Exchange rate data. It is also become highly desirable due to it’s role in financial and managerial decision making capacity of any country. 关键词: Foreign exchange rate; Currency exchange rate; Neural network; Bayesian learning; Multilayer perceptron; Radial basis function network; Functional link artificial neural network; Cascaded functional link artificial neural networks; Autoregressive integrated moving average
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Journal
摘要: Abstract(#br)This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns. The positive risk premium constitutes compensation for the extreme losses during periods of market turmoil. Using the empirical findings, we propose a jump modified carry trade strategy, which has approximately two-percentage-point (per annum) higher returns than the regular carry trade关键词: Jump beta; Jump modified carry trade; Foreign exchange rate; Carry trade
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Journal
摘要: This paper investigates the dynamic relationship between foreign exchange rate, interest rate and stock price in the financial markets over the period from 2006 to 2015 using times series analysis method to establish VAR model. The experimental study indicates that stock price has a positive relationship to the foreign exchange rate. We found that compared to the interbank interest rates and seven-day bond repurchase rate, the Shanghai stock index has a higher degree explanation to the foreign e关键词: Stock price; Foreign exchange rate; Interest rate; Informativeness
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