Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 3835

Search results for: exchange index

3835 Assessing Artificial Neural Network Models on Forecasting the Return of Stock Market Index

Authors: Hamid Rostami Jaz, Kamran Ameri Siahooei

Abstract:

Up to now different methods have been used to forecast the index returns and the index rate. Artificial intelligence and artificial neural networks have been one of the methods of index returns forecasting. This study attempts to carry out a comparative study on the performance of different Radial Base Neural Network and Feed-Forward Perceptron Neural Network to forecast investment returns on the index. To achieve this goal, the return on investment in Tehran Stock Exchange index is evaluated and the performance of Radial Base Neural Network and Feed-Forward Perceptron Neural Network are compared. Neural networks performance test is applied based on the least square error in two approaches of in-sample and out-of-sample. The research results show the superiority of the radial base neural network in the in-sample approach and the superiority of perceptron neural network in the out-of-sample approach.

Keywords: exchange index, forecasting, perceptron neural network, Tehran stock exchange

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3834 An Association between Stock Index and Macro Economic Variables in Bangladesh

Authors: Shamil Mardi Al Islam, Zaima Ahmed

Abstract:

The aim of this article is to explore whether certain macroeconomic variables such as industrial index, inflation, broad money, exchange rate and deposit rate as a proxy for interest rate are interlinked with Dhaka stock price index (DSEX index) precisely after the introduction of new index by Dhaka Stock Exchange (DSE) since January 2013. Bangladesh stock market has experienced rapid growth since its inception. It might not be a very well-developed capital market as compared to its neighboring counterparts but has been a strong avenue for investment and resource mobilization. The data set considered consists of monthly observations, for a period of four years from January 2013 to June 2018. Findings from cointegration analysis suggest that DSEX and macroeconomic variables have a significant long-run relationship. VAR decomposition based on VAR estimated indicates that money supply explains a significant portion of variation of stock index whereas, inflation is found to have the least impact. Impact of industrial index is found to have a low impact compared to the exchange rate and deposit rate. Policies should there aim to increase industrial production in order to enhance stock market performance. Further reasonable money supply should be ensured by authorities to stimulate stock market performance.

Keywords: deposit rate, DSEX, industrial index, VAR

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3833 Behavior of Iran Stock Exchange and Impacts of US Oil and Financial Markets

Authors: Erfan Memarian, Seyyed Fazayel Alizadeh

Abstract:

This study aims to evaluate the impacts of the oil and financial markets of the United States on Iran stock exchange and to develop an ARDL model to predict the short and long-term relationship between these markets. In this regard, all 713 weekly data between 28 July 1999 and 20 March 2013 were analyzed by using Microfit4.0 and Eviews7 econometric softwares. The independent variable of the study is the “Price and Yield Index (TEDPIX)” of Tehran Stock Exchange and the independent variables include S & P 500 Index, the US three-month treasury bill rate and West Texas Intermediate oil spot price index. The results show that the West Texas Intermediate oil spot price and the S&P 500 indices have significant positive relationships with Iran's TEDPIX. Also, there exists a significant negative relationship between Iran's TEDPIX and the US three-month Treasury bill rate.

Keywords: TEDPIX; Tehran Stock Exchange; S&P 500 index; USA three-month Treasury bill rate; West Texas Intermediate oil

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3832 The Impact of Macroeconomic Factors on Tehran Stock Exchange Index during Economic and Oil Sanctions between January 2006 and December 2012

Authors: Hamed Movahedizadeh, Annuar Md Nassir, Mehdi Karimimalayer, Navid Samimi Sedeh, Ehsan Bagherpour

Abstract:

The aim of this paper is to evaluate Tehran’s Stock Exchange (TSE) performance regarding with impact of four macroeconomic factors including world crude Oil Price (OP), World Gold Price (GP), Consumer Price Index (CPI) and total Supplied Oil by Iran (SO) from January 2006 to December 2012 that Iran faced with economic and oil sanctions. Iran's exports of crude oil and lease condensate reduced to roughly 1.5 million barrels per day (bbl/d) in 2012, compared to 2.5 million bbl/d in 2011 due to hard sanctions. Monthly data are collected and subjected to a battery of tests through ordinary least square by EViews7. This study found that gold price and oil price are positively correlated with stock returns while total oil supplied and consumer price index have negative relationship with stock index, however, consumer price index tends to become insignificant in stock index. While gold price and consumer price index have short run relationship with TSE index at 10% of significance level this amount for oil price is significant at 5% and there is no significant short run relationship between supplied oil and Tehran stock returns. Moreover, this study found that all macroeconomic factors have long-run relationship with Tehran Stock Exchange Index.

Keywords: consumer price index, gold price, macroeconomic, oil price, sanction, stock market, supplied oil

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3831 Modeling the Philippine Stock Exchange Index Closing Value Using Artificial Neural Network

Authors: Frankie Burgos, Emely Munar, Conrado Basa

Abstract:

This paper aimed at developing an artificial neural network (ANN) model specifically for the Philippine Stock Exchange index closing value. The inputs to the ANN are US Dollar and Philippine Peso(USD-PHP) exchange rate, GDP growth of the country, quarterly inflation rate, 10-year bond yield, credit rating of the country, previous open, high, low, close values and volume of trade of the Philippine Stock Exchange Index (PSEi), gold price of the previous day, National Association of Securities Dealers Automated Quotations (NASDAQ), Standard and Poor’s 500 (S & P 500) and the iShares MSCI Philippines ETF (EPHE) previous closing value. The target is composed of the closing value of the PSEi during the 627 trading days from November 3, 2011, to May 30, 2014. MATLAB’s Neural Network toolbox was employed to create, train and simulate the network using multi-layer feed forward neural network with back-propagation algorithm. The results satisfactorily show that the neural network developed has the ability to model the PSEi, which is affected by both internal and external economic factors. It was found out that the inputs used are the main factors that influence the movement of the PSEi closing value.

Keywords: artificial neural networks, artificial intelligence, philippine stocks exchange index, stocks trading

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3830 Mean Reversion in Stock Prices: Evidence from Karachi Stock Exchange

Authors: Tabassum Riaz

Abstract:

This study provides a complete examination of the stock prices behavior in the Karachi stock exchange. It examines that whether Karachi stock exchange can be described as mean reversion or not. For this purpose daily, weekly and monthly index data from Karachi stock exchange ranging from period July 1, 1997 to July 2, 2011 was taken. After employing the Multiple variance ratio and unit root tests it is concluded that stock market follow mean reversion behavior and hence have reverting trend which opens the door for the active invest management. Thus technical analysis may be help to identify the potential areas for value creation.

Keywords: mean reversion, random walk, technical analysis, Karachi stock exchange

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3829 Groundwater Quality Assessment Using Water Quality Index and Geographical Information System Techniques: A Case Study of Busan City, South Korea

Authors: S. Venkatramanan, S. Y. Chung, S. Selvam, E. E. Hussam, G. Gnanachandrasamy

Abstract:

The quality of groundwater was evaluated by major ions concentration around Busan city, South Korea. The groundwater samples were collected from 40 wells. The order of abundance of major cations concentration in groundwater is Na > Ca > Mg > K, in case of anions are Cl > HCO₃ > SO₄ > NO₃ > F. Based on Piper’s diagram Ca (HCO₃)₂, CaCl₂, and NaCl are the leading groundwater types. While Gibbs diagram suggested that most of groundwater samples belong to rock-weathering zone. Hydrogeochemical condition of groundwater in this city is influenced by evaporation, ion exchange and dissolution of minerals. Water Quality Index (WQI) revealed that 86 % of the samples belong to excellent, 2 % good, 4 % poor to very poor and 8 % unsuitable categories. The results of sodium absorption ratio (SAR), Permeability Index (PI), Residual Sodium Carbonate (RSC) and Magnesium Hazard (MH) exhibit that most of the groundwater samples are suitable for domestic and irrigation purposes.

Keywords: WQI (Water Quality Index), saturation index, groundwater types, ion exchange

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3828 Foreign Exchange Volatilities and Stock Prices: Evidence from London Stock Exchange

Authors: Mahdi Karazmodeh, Pooyan Jafari

Abstract:

One of the most interesting topics in finance is the relation between stock prices and exchange rates. During the past decades different stock markets in different countries have been the subject of study for researches. The volatilities of exchange rates and its effect on stock prices during the past 10 years have continued to be an attractive research topic. The subject of this study is one of the most important indices, FTSE 100. 20 firms with the highest market capitalization in 5 different industries are chosen. Firms are included in oil and gas, mining, pharmaceuticals, banking and food related industries. 5 different criteria have been introduced to evaluate the relationship between stock markets and exchange rates. Return of market portfolio, returns on broad index of Sterling are also introduced. The results state that not all firms are sensitive to changes in exchange rates. Furthermore, a Granger Causality test has been run to observe the route of changes between stock prices and foreign exchange rates. The results are consistent, to some level, with the previous studies. However, since the number of firms is not large, it is suggested that a larger number of firms being used to achieve the best results. However results showed that not all firms are affected by foreign exchange rates changes. After testing Granger Causality, this study found out that in some industries (oil and gas, pharmaceuticals), changes in foreign exchange rate will not cause any changes in stock prices (or vice versa), however, in banking sector the situation was different. This industry showed more reaction to these changes. The results are similar to the ones with Richards and Noel, where a variety of firms in different industries were evaluated.

Keywords: stock prices, foreign exchange rate, exchange rate exposure, Granger Causality

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3827 Investigating the Relationship between the Kuwait Stock Market and Its Marketing Sectors

Authors: Mohamad H. Atyeh, Ahmad Khaldi

Abstract:

The main objective of this research is to measure the relationship between the Kuwait stock Exchange (KSE) index and its two marketing sectors after the new market classification. The findings of this research are important for Public economic policy makers as they need to know if the new system (new classification) is efficient and to what level, to monitor the markets and intervene with appropriate measures. The data used are the daily index of the whole Kuwaiti market and the daily closing price, number of deals and volume of shares traded of two marketing sectors (consumer goods and consumer services) for the period from the 13th of May 2012 till the 12th of December 2016. The results indicate a positive direct impact of the closing price, volume and deals indexes of the consumer goods and the consumer services companies on the overall KSE index, volume and deals of the Kuwaiti stock market (KSE).

Keywords: correlation, market capitalization, Kuwait Stock Exchange (KSE), marketing sectors, stock performance

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3826 Application of Benford's Law in Analysis of Frankfurt Stock Exchange Index (DAX) Percentage Changes

Authors: Mario Zgela

Abstract:

Application of Benford’s Law is very rarely covered in the field of stock market analysis, especially in percentage change of stock market indices. Deutscher Aktien IndeX (DAX) is very important stock market index of Frankfurt Deutsche Börse which serves as underlying basis for large number of financial instruments. It is calculated for selected 30 German blue chips stocks. In this paper, Benford's Law first digit test is applied on 10 year DAX daily percentage changes in order to check compliance. Deviations of 10 year DAX percentage changes set as well as distortions of certain subsets from Benford's Law distribution are detected. It is possible that deviations are the outcome of speculations; and psychological influence should not be eliminated.

Keywords: Benford's Law, DAX, index percentage changes, stock market

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3825 Fuzzy Wavelet Model to Forecast the Exchange Rate of IDR/USD

Authors: Tri Wijayanti Septiarini, Agus Maman Abadi, Muhammad Rifki Taufik

Abstract:

The exchange rate of IDR/USD can be the indicator to analysis Indonesian economy. The exchange rate as a important factor because it has big effect in Indonesian economy overall. So, it needs the analysis data of exchange rate. There is decomposition data of exchange rate of IDR/USD to be frequency and time. It can help the government to monitor the Indonesian economy. This method is very effective to identify the case, have high accurate result and have simple structure. In this paper, data of exchange rate that used is weekly data from December 17, 2010 until November 11, 2014.

Keywords: the exchange rate, fuzzy mamdani, discrete wavelet transforms, fuzzy wavelet

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3824 Macroeconomic Reevaluation of CNY/USD Exchange Rate: Quantitative Impact on EUR/USD Exchange Rate

Authors: R. Henry, H. Andriamboavonjy, J. B. Paulin, S. Drahy, R. Gourichon

Abstract:

During past decade, Chinese monetary policy has been to maintain stability of exchange rate CNY/USD by creating parity between the two currencies. This policy, against market equilibrium, impacts the exchange rate in having low Yuan currency, and keeping attractiveness of Chinese industries. Using macroeconomic and statistic approach, the impact of such policy onto CNY/USD exchange rate is quantitatively determined. It is also pointed out how Chinese banks respect Basel III ratios, in particular the foreign exchange ratio. The main analysis is focusing on how Chinese banks will respect these ratios in the future.

Keywords: macroeconomics models, yuan floating exchange rate, basel iii, china banking system

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3823 Topological Indices of Some Graph Operations

Authors: U. Mary

Abstract:

Let be a graph with a finite, nonempty set of objects called vertices together with a set of unordered pairs of distinct vertices of called edges. The vertex set is denoted by and the edge set by. Given two graphs and the wiener index of, wiener index for the splitting graph of a graph, the first Zagreb index of and its splitting graph, the 3-steiner wiener index of, the 3-steiner wiener index of a special graph are explored in this paper.

Keywords: complementary prism graph, first Zagreb index, neighborhood corona graph, steiner distance, splitting graph, steiner wiener index, wiener index

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3822 Modelling the Long Rune of Aggregate Import Demand in Libya

Authors: Said Yousif Khairi

Abstract:

Being a developing economy, imports of capital, raw materials and manufactories goods are vital for sustainable economic growth. In 2006, Libya imported LD 8 billion (US$ 6.25 billion) which composed of mainly machinery and transport equipment (49.3%), raw material (18%), and food products and live animals (13%). This represented about 10% of GDP. Thus, it is pertinent to investigate factors affecting the amount of Libyan imports. An econometric model representing the aggregate import demand for Libya was developed and estimated using the bounds test procedure, which based on an unrestricted error correction model (UECM). The data employed for the estimation was from 1970–2010. The results of the bounds test revealed that the volume of imports and its determinants namely real income, consumer price index and exchange rate are co-integrated. The findings indicate that the demand for imports is inelastic with respect to income, index price level and The exchange rate variable in the short run is statistically significant. In the long run, the income elasticity is elastic while the price elasticity and the exchange rate remains inelastic. This indicates that imports are important elements for Libyan economic growth in the long run.

Keywords: import demand, UECM, bounds test, Libya

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3821 Leader-Member Exchange and Affective Commitment: The Moderating Role of Exchange Ideology

Authors: Seung Yeon Son

Abstract:

In today’s rapidly changing and increasingly complex environment, organizations have relied on their members’ positive attitude toward their employers. In particular, employees’ organizational commitment (primarily, the effective component) has been recognized as an essential component of organizational functioning and success. Hence, identifying the determinants of effective commitment is one of the most important research issues. This study tested the influence of leader-member exchange (LMX) and exchange ideology on employee’s effective commitment. In addition, the interactive effect of LMX and exchange ideology was examined. Data from 198 members of the Korean military supports each of the hypotheses. Lastly, implications for research and directions for future research are discussed.

Keywords: affective commitment, exchange ideology, leader-member exchange, commitment

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3820 Sustainability Reporting and Performances of the Companies in the Istanbul Stock Exchange Sustainability Index

Authors: Zeynep Şahin, Züleyha Yılmaz, Fikret Çankaya

Abstract:

In today's business world, in which it is difficult to survive, the economic life of products, services or knowledge is considerably reduced. Competitors produce similar products or extra-featured ones instantly. In this environment, the contribution of companies to the social and economic environment is a preferred criterion by consumers alongside products or services. Therefore, consumers need to obtain more detailed information about companies. Besides, this drastic change in the market encourages companies to become sustainable. Sustainable business means the company puts consumed products back. Corporate sustainability, corresponds to sustainability at the level of the company, and gives equal importance to company growth and profitability together with environmental and social issues. The BIST Sustainability Index started to be calculated by the Istanbul Stock Exchange (BIST) in 2014 to evaluate the sustainability performance of companies in Turkey. The main objective of this study is to present the importance of sustainability reports in Turkey. To this aim, the performances of 15 companies in the BIST Sustainability Index were compared the periods before and after entering the index. On the other hand, sustainability reporting practices should be encouraged to increase studies on this issue. In this context, to remain on the agenda of the issue is a further objective of this study. To achieve these objectives, the financial data of the companies in the period before and after entering to the BIST Sustainability Index were analyzed using t-test in Statistical Package for the Social Sciences (SPSS) package. The results of the study showed that no significant difference between the performances of the companies in terms of the net profit margin, the return on assets and equity capital in these periods could be found. Therefore, it can be said that insufficient importance is given to sustainability issues in Turkey. The reasons for this situation might be considered as a lack of awareness due to the recent introduction and calculation of the index. It is expected that the awareness of firms and investors about sustainability will increase, and that they will demonstrate the necessary importance to this issue over time.

Keywords: sustainability reporting, sustainability index, firm performance, BIST sustainability index

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3819 Recovery of Cd (II) and Pb (II) under the Effect of Temperature with the Synthetic Zeolite NaA

Authors: Karima Menad, Ahmed Feddag

Abstract:

In this study, large crystals of the zeolite NaA were synthesized by hydrothermal way. By following this zeolite was used to recover two heavy metals that are allowing the most dangerous toxic, lead and cadmium. The synthesized zeolite was analyzed by XRD and SEM aims to verify its purity and its good morphology; after it was undergoing ion exchange operations by aqueous solution with lead and cadmium in two salts Pb(CH3COOH)2 and CdCl2 at different concentrations. The exchange was carried out under the effect of two temperatures (25 °C and 60 °C). The contents of Pb++, Cd++ and Na+ were analyzed by atomic absorption and the results are given in the form of exchange rates. At the end the samples are analyzed by XRD exchanged to confirm their conservation of their zeolite framework. It is found that the exchange rate increases with the increase of initial concentration and the best results are found for the temperature of 60 °C.

Keywords: exchange rate, ion exchange, LTA zeolite, zeolite NaA

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3818 Wastewater Treatment from Heavy Metals by Nanofiltration and Ion Exchange

Authors: G. G. Kagramanov, E. N. Farnosova, Linn Maung Maung

Abstract:

The technologies of ion exchange and nanofiltration can be used for treatment of wastewater containing copper and other heavy metal ions to decrease the environmental risks. Nanofiltration characteristics under water treatment of heavy metals have been studied. The influence of main technical process parameters - pressure, temperature, concentration and pH value of the initial solution on flux and rejection of nanofiltration membranes has been considered. And ion exchange capacities of resins in removal of heavy metal ions from wastewater have been determined.

Keywords: exchange capacity, heavy metals, ion exchange, membrane separation, nanofiltration

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3817 Information Exchange Process Analysis between Authoring Design Tools and Lighting Simulation Tools

Authors: Rudan Xue, Annika Moscati, Rehel Zeleke Kebede, Peter Johansson

Abstract:

Successful buildings’ simulation and analysis inevitably require information exchange between multiple building information modeling (BIM) software. The BIM infor-mation exchange based on IFC is widely used. However, Industry Foundation Classifi-cation (IFC) files are not always reliable and information can get lost when using dif-ferent software for modeling and simulations. In this research, interviews with lighting simulation experts and a case study provided by a company producing lighting devices have been the research methods used to identify the necessary steps and data for suc-cessful information exchange between lighting simulation tools and authoring design tools. Model creation, information exchange, and model simulation have been identi-fied as key aspects for the success of information exchange. The paper concludes with recommendations for improved information exchange and more reliable simulations that take all the needed parameters into consideration.

Keywords: BIM, data exchange, interoperability issues, lighting simulations

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3816 Dynamic Comovements between Exchange Rates, Stock Prices and Oil Prices: Evidence from Developed and Emerging Latin American Markets

Authors: Nini Johana Marin Rodriguez

Abstract:

This paper applies DCC, EWMA and OGARCH models to compare the dynamic correlations between exchange rates, oil prices, exchange rates and stock markets to examine the time-varying conditional correlations to the daily oil prices and index returns in relation to the US dollar/local currency for developed (Canada and Mexico) and emerging Latin American markets (Brazil, Chile, Colombia and Peru). Changes in correlation interactions are indicative of structural changes in market linkages with implications to contagion and interdependence. For each pair of stock price-exchange rate and oil price-US dollar/local currency, empirical evidence confirms of a strengthening negative correlation in the last decade. Methodologies suggest only two events have significatively impact in the countries analyzed: global financial crisis and Europe crisis, both events are associated with shifts of correlations to stronger negative level for most of the pairs analyzed. While, the first event has a shifting effect on mainly emerging members, the latter affects developed members. The identification of these relationships provides benefits in risk diversification and inflation targeting.

Keywords: crude oil, dynamic conditional correlation, exchange rates, interdependence, stock prices

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3815 Impacts of Exchange Rate and Inflation Rate on Foreign Direct Investment in Pakistan

Authors: Saad Bin Nasir

Abstract:

The study identifies the impact of inflation and foreign exchange rate on foreign direct investment in Pakistan. Inflation and exchange rates are used as independent variables and foreign direct investment is taken as dependent variable. Discreet time series data has been used from the period of 1999 to 2009. The results of regression analysis reveal that high inflation has negative impact on foreign direct investment and higher exchange rates has positive impact on foreign direct investment in Pakistan. The inflation and foreign exchange rates both are insignificant in the analysis.

Keywords: inflation rate, foreign exchange rate, foreign direct investment, foreign assets

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3814 Recovery of Heavy Metals by Ion Exchange on the Zeolite Materials

Authors: K. Menad, A. Faddeg

Abstract:

Zeolites are a family of mineral compounds. With special properties that have led to several important industrial applications. Ion exchange has enabled the first industrial application in the field of water treatment. The exchange by aqueous pathway is the method most used in the case of such microporous materials and this technique will be used in this work. The objective of this work is to find performance materials for the recovery of heavy metals such as cadmium. The study is to compare the properties of different ion exchange zeolite Na-X, Na-A, their physical mixture and the composite A (LTA) / X (FAU). After the synthesis of various zeolites X and A, it was designed a model Core-Shell to form a composite zeolite A on zeolite X. Finally, ion exchange studies were performed on these zeolite materials. The cation is exclusively tested for cadmium, a toxic element and is harmful to health and the environment.

Keywords: zeolite A, zeolite X, ion exchange, water treatment

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3813 Unsupervised Text Mining Approach to Early Warning System

Authors: Ichihan Tai, Bill Olson, Paul Blessner

Abstract:

Traditional early warning systems that alarm against crisis are generally based on structured or numerical data; therefore, a system that can make predictions based on unstructured textual data, an uncorrelated data source, is a great complement to the traditional early warning systems. The Chicago Board Options Exchange (CBOE) Volatility Index (VIX), commonly referred to as the fear index, measures the cost of insurance against market crash, and spikes in the event of crisis. In this study, news data is consumed for prediction of whether there will be a market-wide crisis by predicting the movement of the fear index, and the historical references to similar events are presented in an unsupervised manner. Topic modeling-based prediction and representation are made based on daily news data between 1990 and 2015 from The Wall Street Journal against VIX index data from CBOE.

Keywords: early warning system, knowledge management, market prediction, topic modeling.

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3812 Investment Adjustments to Exchange Rate Fluctuations Evidence from Manufacturing Firms in Tunisia

Authors: Mourad Zmami Oussema BenSalha

Abstract:

The current research aims to assess empirically the reaction of private investment to exchange rate fluctuations in Tunisia using a sample of 548 firms operating in manufacturing industries between 1997 and 2002. The micro-econometric model we estimate is based on an accelerator-profit specification investment model increased by two variables that measure the variation and the volatility of exchange rates. Estimates using the system the GMM method reveal that the effects of the exchange rate depreciation on investment are negative since it increases the cost of imported capital goods. Turning to the exchange rate volatility, as measured by the GARCH (1,1) model, our findings assign a significant role to the exchange rate uncertainty in explaining the sluggishness of private investment in Tunisia in the full sample of firms. Other estimation attempts based on various sub samples indicate that the elasticities of investment relative to the exchange rate volatility depend upon many firms’ specific characteristics such as the size and the ownership structure.

Keywords: investment, exchange rate volatility, manufacturing firms, system GMM, Tunisia

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3811 Exchange Rate Forecasting by Econometric Models

Authors: Zahid Ahmad, Nosheen Imran, Nauman Ali, Farah Amir

Abstract:

The objective of the study is to forecast the US Dollar and Pak Rupee exchange rate by using time series models. For this purpose, daily exchange rates of US and Pakistan for the period of January 01, 2007 - June 2, 2017, are employed. The data set is divided into in sample and out of sample data set where in-sample data are used to estimate as well as forecast the models, whereas out-of-sample data set is exercised to forecast the exchange rate. The ADF test and PP test are used to make the time series stationary. To forecast the exchange rate ARIMA model and GARCH model are applied. Among the different Autoregressive Integrated Moving Average (ARIMA) models best model is selected on the basis of selection criteria. Due to the volatility clustering and ARCH effect the GARCH (1, 1) is also applied. Results of analysis showed that ARIMA (0, 1, 1 ) and GARCH (1, 1) are the most suitable models to forecast the future exchange rate. Further the GARCH (1,1) model provided the volatility with non-constant conditional variance in the exchange rate with good forecasting performance. This study is very useful for researchers, policymakers, and businesses for making decisions through accurate and timely forecasting of the exchange rate and helps them in devising their policies.

Keywords: exchange rate, ARIMA, GARCH, PAK/USD

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3810 A Comparative Study of Multi-SOM Algorithms for Determining the Optimal Number of Clusters

Authors: Imèn Khanchouch, Malika Charrad, Mohamed Limam

Abstract:

The interpretation of the quality of clusters and the determination of the optimal number of clusters is still a crucial problem in clustering. We focus in this paper on multi-SOM clustering method which overcomes the problem of extracting the number of clusters from the SOM map through the use of a clustering validity index. We then tested multi-SOM using real and artificial data sets with different evaluation criteria not used previously such as Davies Bouldin index, Dunn index and silhouette index. The developed multi-SOM algorithm is compared to k-means and Birch methods. Results show that it is more efficient than classical clustering methods.

Keywords: clustering, SOM, multi-SOM, DB index, Dunn index, silhouette index

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3809 Money and Inflation in Cambodia

Authors: Siphat Lim

Abstract:

The result of the study revealed that the interaction between money, exchange rate, and price level was mainly derived from the policy-induced by the central bank. Furthermore, the variation of inflation was explained weakly by exchange rate and money supply. In the period of twelfth-month, the variation of inflation which caused by exchange rate and money supply were not more than 1.78 percent and 9.77 percent, respectively.

Keywords: money supply, exchange rate, price level, VAR model

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3808 The Impact of Exchange Rate Volatility on Real Total Export and Sub-Categories of Real Total Export of Malaysia

Authors: Wong Hock Tsen

Abstract:

This study aims to investigate the impact of exchange rate volatility on real export in Malaysia. The moving standard deviation with order three (MSD(3)) is used for the measurement of exchange rate volatility. The conventional and partially asymmetric autoregressive distributed lag (ARDL) models are used in the estimations. This study finds exchange rate volatility to have significant impact on real total export and some sub-categories of real total export. Moreover, this study finds that the positive or negative exchange rate volatility tends to have positive or negative impact on real export. Exchange rate volatility can be harmful to export of Malaysia.

Keywords: exchange rate volatility, autoregressive distributed lag, export, Malaysia

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3807 Modelling of Passengers Exchange between Trains and Platforms

Authors: Guillaume Craveur

Abstract:

The evaluation of the passenger exchange time is necessary for railway operators in order to optimize and dimension rail traffic. Several influential parameters are identified and studied. Each parameter leads to a modeling completed with the buildingEXODUS software. The objective is the modelling of passenger exchanges measured by passenger counting. Population size is dimensioned using passenger counting files which are a report of the train service and contain following useful informations: number of passengers who get on and leave the train, exchange time. These information are collected by sensors placed at the top of each train door. With passenger counting files it is possible to know how many people are engaged in the exchange and how long is the exchange, but it is not possible to know passenger flow of the door. All the information about observed exchanges are thus not available. For this reason and in order to minimize inaccuracies, only short exchanges (less than 30 seconds) with a maximum of people are performed.

Keywords: passengers exchange, numerical tools, rolling stock, platforms

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3806 Revisiting the Impact of Oil Price on Trade Deficit of Pakistan: Evidence from Nonlinear Auto-Regressive Distributed Lag Model and Asymmetric Multipliers

Authors: Qaiser Munir, Hamid Hussain

Abstract:

Oil prices are believed to have a major impact on several economic indicators, leading to several instances where a comparison between oil prices and a trade deficit of oil-importing countries have been carried out. Building upon the narrative, this paper sheds light on the ongoing debate by inquiring upon the possibility of asymmetric linkages between oil prices, industrial production, exchange rate, whole price index, and trade deficit. The analytical tool used to further understand the complexities of a recent approach called nonlinear auto-regressive distributed lag model (NARDL) is utilised. Our results suggest that there are significant asymmetric effects among the main variables of interest. Further, our findings indicate that any variation in oil prices, industrial production, exchange rate, and whole price index on trade deficit tend to fluctuate in the long run. Moreover, the long-run picture denotes that increased oil price leads to a negative impact on the trade deficit, which, in its true essence, is a disproportionate impact. In addition to this, the Wald test simultaneously conducted concludes the absence of any significant evidence of the asymmetry in the oil prices impact on the trade balance in the short-run.

Keywords: trade deficit, oil prices, developing economy, NARDL

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