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Finance and Financial Management Commons™
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- Growth (3)
- Monetary and fiscal policy (3)
- Parity theorems (3)
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- Trade and capital flows (2)
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- Accounting disclosures (1)
- Bank shares (1)
- Causality (1)
- Earnings response coefficient (1)
- Economic determinants (1)
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Articles 1 - 5 of 5
Full-Text Articles in Finance and Financial Management
Parity And Non-Parity Determinants Of Exchange Rates In Latin American Economies, Catherine S.F. Ho, Mohamed Ariff
Parity And Non-Parity Determinants Of Exchange Rates In Latin American Economies, Catherine S.F. Ho, Mohamed Ariff
Mohamed Ariff
This paper reports how non-parity fundamental factors together with parity factors are correlated with exchange rate movements. Seven Latin American countries were included in this study using a selection criterion that for a pair of countries to be included, the pair must have more than 50 per cent of trade with the group chosen. The econometric methods applied are appropriate to this topic and include pooled time series regression and seemingly unrelated regression. The findings show that there is support for short and long-run effects on exchange rates from inflation and interest rates. We entered non-parity factors suggested in recent …
Earnings Response Coefficients Of Oecd Banks: Tests Extended To Include Bank Risk Factors, Mohamed Ariff, Cheng Fan Fah, Soh Wei Ni
Earnings Response Coefficients Of Oecd Banks: Tests Extended To Include Bank Risk Factors, Mohamed Ariff, Cheng Fan Fah, Soh Wei Ni
Mohamed Ariff
We investigate two issues: Do share prices of banks in European markets respond to unexpected accounting earnings disclosures? Are share prices as well as unexpected earnings changes correlated with bank-relevant risk factors? Results reveal that bank share prices respond to unexpected earnings changes at the time of accounting reports in the same manner as the shares of the more widely-researched non-bank firms. Apart from finding significant earnings response coefficients in eight countries, we find that credit risk, price risk, exchange rate risk, and solvency risk are significantly correlated with share price changes. Third, three bank risk factors are significantly correlated …
Examining Foreign Exchange Behaviour In Asia Pacific And Eastern European Emerging Countries, Catherine S. F. Ho, Mohamed Ariff
Examining Foreign Exchange Behaviour In Asia Pacific And Eastern European Emerging Countries, Catherine S. F. Ho, Mohamed Ariff
Mohamed Ariff
This paper reports new findings on exchange rate dynamics concerning whether non-parity fundamentals and parity factors affect exchange rates within a group of trade-related emerging countries: non-parity fundamentals suggested by economic theories have yet been systematically related to exchange rates. We use high- and low-frequency multi-country pooled time series panel data approach. The evidence that emerges from this paper is that non-parity factors are significant contributors to exchange rates. These new findings on other-than-parity fundamentals add to a richer understanding of exchange rate behaviour as well as clarifying why existing findings are mixed.
The Role Of Non-Parity Fundamentals In Exchange Rate Determination: Australia And The Asia Pacific Region, Mohamed Ariff, Catherine S. F. Ho
The Role Of Non-Parity Fundamentals In Exchange Rate Determination: Australia And The Asia Pacific Region, Mohamed Ariff, Catherine S. F. Ho
Mohamed Ariff
This paper extends the literature by looking at the contribution of non-parity variables after extracting the impact of parity variables on exchange rates of Australia and the Asia Pacific countries. Exchange rates are examined using high- and low-frequency multi-country panel time series data for a group of trade-related nations in the Asia Pacific, including Japan. Our findings suggest that exchange rate is affected by growth rate, and trade and capital flows: other less significant variables include sovereign debt; balance of payments; money supply; and trade openness. It also confirms that interest rate has significant effect on exchange rates while price …
Derivative Markets And Economic Growth: Is There A Relationship?, A. Baluch, Mohamed Ariff
Derivative Markets And Economic Growth: Is There A Relationship?, A. Baluch, Mohamed Ariff
Mohamed Ariff
The spread of capital markets during the half century to-date is a notable global phenomenon in economic development. Derivative markets spread globally in the last quarter century spreading form just two to some 50 in 2007. But the role of derivative markets to economic development has yet been studied. This paper reports new findings on the relationship between derivative market development and (a) economic growth and (b) spot market factors. The results provide very scant support to a positive functional contribution hypothesis by some scholars about derivative markets. However, a negative relationship between the liquidity level of derivative markets and …