The autoregressive conditional heteroskedasticity (ARCH) estimation procedure provides a specification of the error terms as well as estimates of the coefficients. A simple interest rate equation is estimated using least squares and also using ARCH. Then the stochastic simulation methodology is...

The demand for cash balances of financial intermediaries that establish contractual liabilities with credit-sensitive customers is characterized. As stated by Merton, the success of the business activities of such firms crucially depends on their credit quality, and hence, they are obliged to...

In recent years, there has been a renewed interest in the fact that a change in exchange rates has an impact on main economic indicators and therefore on macroeconomic performance. The aim of this paper is to study the implications of the relationship between exchange rates and changes in...

This study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities: gold and oil and the financial variables (interest rate, exchange rate and stock price) of Japan – a major oil-consuming and gold-holding country....

This paper tries to find out, whether the Covered Interest Rate Parity (CIRP) theory was valid for exchange rate CZK/EUR during the period ranging from May 2001 to November 2007. As a main tool, a common OLS regression was chosen. It was augmented by MA(1) process of residuals and by ARCH (6)...

This paper examines the macroeconomic determinants of workers’ remittances in Bangladesh. Various regressions in the paper find that the macroeconomic variables such as inflation, interest rate, exchange rate of Bangladesh and GDP of the five remittance sending countries have significant...

The present study investigates the role of exchange rate and interest rate in stock price discovery in Indonesia. Indonesia is experiencing a kind of bubble which is indicated by surplus of current account accompanied by high capital inflow. Capital inflow simustaneusly influences exchange rate,...

Understanding the empirical relationship between the exchange rates, interest rates and stock prices are important and useful to the policy makers, professional investors and academics. Although the scholars and practitioners have studied the subject extensively, few empirical studies are...