The aim of the article is to check the accuracy of forecasts of neural networks on the currency market and the impact of fuzzy sets on their accuracy. The study presented in this article uses an ...original approach that considers the use of neural networks and fuzzy sets in the mechanism of investment decision making. The empirical study is based on projections of the three currency pairs of the Swiss franc, British pound, and the dollar against the euro. These currencies are forecasted using three different neural networks - ELM, MLP and LSTM, for ten different forecast horizons (from 1 to 10 days). In forecasting, neural networks use historical data, both for price levels and rates of return. The research carried out confirmed that the presented method is in many cases more accurate than the methods compared to it in this study
In order to understand the impact of Covid-19 on different economies, this paper tries to underline the effects of the Covid-19 pandemic over some of the most traded currencies. For this purpose, a ...period of 3 years has been taken into consideration and the data was analyzed with the help of MetaTrader platform. The findings indicate a correlation between the pandemic and the volatility of the analyzed exchange rates. The results indicate that the observed pairs where affected negatively by the pandemic crisis. Thus, the effect of the pandemic is not only on a short time, but the effects will also be seen on a longer period of time.
Structural changes occurring in the crude oil market have stimulated the emergence of hypotheses suggesting that the relationship between prices of this raw material and the US dollar exchange rate ...can gradually become similar to that observed between oil prices and exchange rates of the currencies of the countries whose revenues from the export of this resource are a significant part of their current account balance. The purpose of this study was to determine and evaluate the time-varying dependence between oil prices and the exchange rate of the US dollar in the context of the same relationship for the Chinese, European, Japanese, Saudi, and Russian currencies. The results of our analyses implicate that a negative correlation between the variables in question grows stronger in time periods preceding global shocks and during thereof. The dominance of the USD in the crude oil market is reflected in similar characteristics of the correlations of the currencies of other countries, such as China, countries of the Euro area, or Japan. As for countries exporting crude oil, the situation varies. The results of our research suggest the lack of a stable relationships between prices of crude oil and currency exchange rates. It is also impossible to observe a long-term, unequivocal tendency of the currencies of oil exporting countries being positively correlated with oil prices. Russia was the closest to this situation. In Saudi Arabia, a positive correlation emerged during moments of crisis.
The economic development of globalized economies is facing severe challenges in the context of a new era. Therefore, the purpose of the study is to assess how crucial factors like oil price ...fluctuations, renewable energy use, economic growth, the exchange rate, exports, imports, and trade affect the economic performance in the top 25 oil-importing countries using panel data from 2005 to 2021 collected annually. The present investigation employs a method for calculating the stability of associations between variables called AMG estimation. The robustness and reliability of CCEMG and DCCEMG estimates are tested in the present study. Consumption, exports, and trade in renewable energy all had a favorable effect on economic growth. The fluctuation of oil prices, the state of the economy, the currency exchange rate, and imports make things worse. In addition, the findings of the study indicate that the moderate effect of trade with fluctuating oil prices, rising finance, and economic expansion is aided by the current exchange rate. In addition to helping create an appropriate path forward for economic growth, the computed coefficients have policy implications for both the chosen developing economy and the other markets.
Over the past decades, both the quantity and quality of food supply for millions of people have improved substantially in the course of economic growth across the developing world. However, the ...number of undernourished people has resumed growth in the 2010s amid food supply disruptions, economic slowdowns, and protectionist restrictions to agricultural trade. Having been common to most nations, these challenges to the food security status of the population still vary depending on the level of economic development and national income of individual countries. In order to explore the long-run determinants of food supply transformations, this study employs five-stage multiple regression analysis to identify the strengths and directions of effects of agricultural production parameters, income level, price indices, food trade, and currency exchange on supply of calories, proteins, and fats across 11 groups of agricultural products in 1980–2018. To address the diversity of effects across developing nations, the study includes 99 countries of Asia, Europe, Latin America, the Middle East, and Africa categorized as low-income, lower-middle-income, and upper-middle-income economies. It is found that in low-income countries, food supply parameters are more strongly affected by production factors compared to economic and trade variables. The effect of economic factors on the food supply of higher-value food products, such as meat and dairy products, fruit, and vegetables, increases with the rise in the level of income, but it stays marginal for staples in all three groups of countries. The influence of trade factors on food supply is stronger compared to production and economic parameters in import-dependent economies irrelevant of the gross national income per capita. The approach presented in this paper contributes to the research on how food supply patterns and their determinants evolve in the course of economic transformations in low-income countries.
This paper provides an empirical analysis of the distributional properties and statistical regularities of virtual, intra-virtual and traditional currency exchange rates. To perform the analysis, the ...most relevant virtual, intra-virtual and foreign currency exchange rates between October 2015 and December 2018 are examined. The analysis shows that, in spite of their differing mode of formation, daily log-returns of all currency types share tent-shaped empirical densities, one of the characteristics of a Laplace distribution at semi-log scale. This peculiar property has also been examined thoroughly in other fields of economic literature. Moreover, the empirical results show that virtual and traditional currencies hold the same functional form, even after the 2018 hype. However, in spite of these similarities virtual and intra-virtual currencies display fatter tails and steeper towering peaks than regular foreign currencies which underscores the rather speculative nature of this asset class.
•A hybrid model for predicting exchange rate return volatility is proposed.•The model is an artificial neural network – Glosten, Jagannathan, and Runkle model.•The model improves forecasting accuracy ...over applied benchmark models by 90%.•Accurate forecasting with respect to time horizon and model configuration is achieved.•Commodity price series as input financial variables can improve model performance.
The study examines the integration of an asymmetric Glosten, Jagannathan, and Runkle (GJR) model into an artificial neural network (ANN) comprising of a NARX (Nonlinear Autoregressive model with eXogenous inputs) augmented by a NAR network. The empirical results obtained from the study of five (5) major currency pairings reveal that, compared to the benchmark generalized autoregressive conditional heteroskedasticity (GARCH), GJR and Asymmetric Power Generalised Autoregressive Conditional Heteroskedasticity (APGARCH) models, the proposed hybrid ANN-GJR model provides an overall substantial improvement in exchange rate volatility forecasting precision by effectively capturing asymmetric volatility as well as volatility clusters. In terms of the MSE, the MAD and the MAPE measures, a significant improvement of the measured forecast accuracy was found when using the ANN hybrid model compared to the benchmark models. Applying measurements from a heteroscedasticity-adjusted mean squared error (HMSE) model, the hybrid ANN-GJR model can significantly reduce the error associated with using only the GJR model by 90%. The study also investigated the effect of incorporating commodity prices series of oil and gold as additional input variables. It was found that depending on the specific currency pair understudy, the inclusion of commodity price series potentially improves model performance over different forecast horizons.
Various studies have discussed the coordination of product and supply chain design decisions for global supply chain management. However, the impact of currency exchange rate uncertainty on the ...selection of product architectures and their suppliers has not been sufficiently addressed. As a response, this study proposes a two-stage stochastic optimization model in which the first stage determines the product architecture, and the second stage identifies suppliers for the modules and components in an optimal fashion based on the product architecture and uncertain currency exchange rates. The overall objective of two-stage stochastic programming is to determine the optimal product architecture that minimizes the expected total supply chain cost over uncertain currency exchange rate scenarios. The proposed model is applied to a bicycle supply chain case study for three global marketplaces associated with multiple currency exchange rates. The results demonstrate that optimal product architecture and its suppliers should be varied based on currency exchange rates and their uncertain fluctuation levels. Also, a product architecture for the supply chain of each marketplace maintains its optimality in the total supply chain cost, up to a specific exchange rate. The findings show the importance of joint integration between product and supply chain design when considering currency exchange rates. Additionally, the benefit of stochastic modelling is demonstrated by comparing the solution quality of the model with its deterministic counterpart.
Development assistance for health (DAH) remains a significant and important source of health financing in many low and lower middle-income countries. However, this assistance has not been fully ...effective. This study explores the effect of currency exchange rate fluctuations on volatility of DAH in Zambia using a mixed methods approach. Data covering the period 1997–2008 were collected from various financial and programmatic reports, while six key informant interviews were conducted to validate and translate findings from the quantitative analysis. Results show fluctuations in the volume of funds disbursed to the Ministry of Health by donors due to changes in the exchange rates between non-US$ currencies and the US$, ranging from? 11.1% to þ13.4% during the period 1997–2008. The overall effect was a loss of US $ 13.4 million over the period 1997–2008 which is equivalent to an annual average loss of US $ 1.1 million per annum. There were also fluctuations in the US $ amount that was converted to the Zambian Kwacha to fund districts ranging from? 22 % to þ22 % over the same period. The monthly average loss that was incurred was US $ 302 214 per month, but large gains and losses were observed when individual months were analysed. Information from key informants suggest that currency exchange rate losses contribute to reductions in the health workforce, quantity and quality of health services, while currency exchange rate gains can contribute to reduced absorption capacity and/or low utilization of financial resources. The study concludes that fluctuations in currency exchange rates contribute to volatility in DAH, reduces financial stability and leads to unpredictability of DAH which ultimately affects health service delivery. For DAH to be effective, governments and donors should increase awareness and work systematically to mitigate currency exchange risks.
L'aide au développement dans le domaine de la santé continue d'être une importante source de financement de la santé dans de nombreux pays à revenu faible ou intermédiaire. Cependant, cette assistance n'a pas été totalement efficace. La présente étude explore l’incidence des fluctuations des taux de change sur la volatilité de la DAH en Zambie en utilisant une approche mixte. Les données couvrant la période 1997-2008 ont été recueillies à partir de divers rapports financiers et de programmes, tandis que six entretiens avec des informateurs clés ont été menés pour valider et traduire les résultats de l’analyse quantitative. Les résultats montrent des fluctuations dans le volume des fonds versés au ministère de la Santé par les donateurs en raison de l’évolution des taux de change entre les autres monnaies et le dollar américain, allant de - 11,1% à + 13,4% au cours de la période 1997-2008. L’incidence globale a été une perte de 13,4 millions USD sur la période 1997-2008, ce qui équivaut à une perte moyenne de 1,1 million USD par an. On a également observé des fluctuations de - 22% à þ 22% au cours de la même période au niveau des montants USD convertis en kwacha zambien pour le financement des districts. La perte mensuelle moyenne subie se chiffrait à 302 214 USD par mois, mais on a observé également des gains et pertes importants dans le cadre de l’analyse de chaque mois pris individuellement. Les informations fournies par les informateurs clés suggèrent que les pertes de change ont pour effet de réduire les effectifs des personnels de santé, la quantité et la qualité des services de santé, tandis que les gains de change peuvent contribuer à réduire la capacité d’absorption et/ou la faible utilisation des ressources financières. L’étude conclut que les fluctuations des taux de change contribuent à la volatilité de la DAH, réduisent la stabilité financière et entraînent une imprévisibilité de la DAH, ce qui, en définitive, affecte la prestation des services de santé. Pour que la DAH soit efficace, les gouvernements et les donateurs doivent davantage prendre conscience du problème et s’efforcer systématiquement d’atténuer les risques liés au change.
卫生发展援助 （DAH） 仍是许多中低收入国家重要的 卫生筹资来源。但是, DAH 未能完全发挥效果。本研究采用 混合方法, 探讨货币汇率浮动对赞比亚DAH 浮动的影响。从 各种金融和项目报告中收集1997 至2008 年数据, 并访谈六 位关键知情人, 验证并转化定性分析的发现。结果显示, 由于 非美元与美元货币汇率变化, 由捐助者支付给卫生部的金额在 1997 年至 2008 年间有所浮动, 幅度在 -11.1% 至 13.4% 之 间。该时期总计损失 1340 万美元, 相当于每年损失 110 万美 元。同一时期, 转换为赞比亚卡瓦查用于资助地区的美元金额 也有 -22% 至 22% 的浮动, 平均每月损失302214 美元, 但单 独分析各个月的数据时观察到大幅度的增加和减少。关键知 情人提供的信息显示, 汇率导致的损失会造成卫生人力减少, 卫生服务数量和质量下降, 而汇率带来的援助增加可导致吸收 能力和/或经济资源利用率降低。本研究的结论是, 汇率浮动 导致 DAH 波动, 削弱金融稳定性, 使得 DAH 不可预计, 最终 影响卫生服务。为了确保 DAH 的有效性, 政府和捐助者必须 增进了解, 有组织地降低货币兑换的风险。
El efecto de las fluctuaciones de la tasa de cambio en la efectividad de la ayuda en el sector de salud en Zambia La ayuda del desarrollo para la salud (ADS) sigue siendo una fuente significativa e importante para la financiación de la salud en muchos países de ingresos bajos y medios. Sin embargo, esta asistencia no ha sido completamente efectiva. Este estudio explora el efecto de la fluctuación de la tasa de cambio de la moneda en la volatilidad de la ADS en Zambia usando un enfoque de métodos mixtos. Los datos que cubren el periodo de 1997-2008 fueron recolectados de diferentes reportes financieros y de programa, y se llevaron a cabo seis entrevistas con informantes claves para validar e interpretar los hallazgos del anílisis cuantitativo. Los resultados muestran fluctuaciones en el volumen de fondos distribuidos al Ministerio de Salud por donantes dado los cambios en las tasas de cambio entre el dólar y otras monedas, las cuales variaron entre -11.1% y 13.4% durante el periodo 1997-2008. El efecto general fue la perdida de $13.4 millones durante el periodo 1997-2008 lo cual equivale en promedio a una pérdida anual de $1.1 millones. También hubo fluctuaciones en la cantidad en dólares que fue convertida a Kwacha zambiana para financiar los distritos entre -22% y + 22% durante el mismo periodo. En promedio la perdida mensual fue de $302, 214, pero grandes pérdidas y ganancias se observaron cuando se analizaron meses individualmente. La información de los informantes claves sugiere que las pérdidas de la tasa de cambio contribuyeron a la reducción del personal de salud, la cantidad y la calidad de servicios de salud, mientras que las ganancias pueden contribuir a la reducción de la capacidad absorbente y/o la baja utilización de los recursos financieros. El estudio concluye que las fluctuaciones en las tasas de cambio contribuyen a la volatilidad de la ADS, reducen la estabilidad financiera y llevan a la imprevisibilidad de ADS lo cual afecta los servicios de salud. Para que la ADS sea efectiva, los gobiernos y los donantes deben incrementar el conocimiento y trabajar de manera sistemítica para mitigar el riesgo de las tasas de cambio.
Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. ...Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate.
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