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How to cite this paper
APA: Al-Hussaini, A. (2019). A study on exchange rate risk through lagged predictors, market risk and financial sector indicators: Time series analysis from Kuwait. Management Science Letters, 9(2), 325-338.
Chicago/Turabian: Al-Hussaini, A. 2019. "A study on exchange rate risk through lagged predictors, market risk and financial sector indicators: Time series analysis from Kuwait." Management Science Letters 9, no. 2 (2019): 325-338.
AMA: Al-Hussaini, A. A study on exchange rate risk through lagged predictors, market risk and financial sector indicators: Time series analysis from Kuwait. Management Science Letters. 2019;9(2):325-338.
References
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Ahmad, N. H., & Ariff, M. (2007). Multi-country study of bank credit risk determinants. International Journal of Banking and Finance, 5(1), 6.
Ajayi, R. A., & Mougouė, M. (1996). On the dynamic relation between stock prices and exchange rates. Journal of Financial Research, 19(2), 193-207.
Albasu, J., & Nyameh, J. (2017). Relevance of stakeholders theory, organizational identity theory and social exchange theory to corporate social responsibility and employees performance in the commer-cial banks in Nigeria. International Journal of Business, Economics and Management, 4(5), 95-105.
Aliber, R. Z. (1973). The interest rate parity theorem: A reinterpretation. Journal of political economy, 81(6), 1451-1459.
Arize, A. C., Osang, T., & Slottje, D. J. (2000). Exchange-rate volatility and foreign trade: evidence from thirteen LDC's. Journal of Business & Economic Statistics, 18(1), 10-17.
Aura, C. M., Hassan, F., Osore, M. K., Musa, S., Morara, G., & Uku, J. (2015). A comprehensive pub-lic-private partnership concept for resources sustainability from a mega-project management multi-level perspective. International Journal of Management and Sustainability, 4(11), 218-236.
Azad, A. M. S., Raza, A., & Zaidi, S. S. Z. (2018). Empirical relationship between operational efficiency and profitability (Evidence from Pakistan Exploration Sector). Journal of Accounting, Business and Finance Research, 2(1), 7-11.
Bahmani-Oskooee, M., & Harvey, H. (2006). How sensitive are Malaysia's bilateral trade flows to de-preciation? Applied Economics, 38(11), 1279-1286.
Balassa, B. (1964). The purchasing-power parity doctrine: a reappraisal. Journal of political economy, 72(6), 584-596.
Basher, S. A., Haug, A. A., & Sadorsky, P. (2016). The impact of oil shocks on exchange rates: a Mar-kov-switching approach. Energy Economics, 54, 11-23.
Benigno, P., & Woodford, M. (2003). Optimal monetary and fiscal policy: A linear-quadratic approach. NBER Macroeconomics Annual, 18, 271-333.
Cheung, Y.-W., & Chinn, M. D. (2001). Currency traders and exchange rate dynamics: a survey of the US market. Journal of International Money and Finance, 20(4), 439-471.
Chidoko, C. (2014). Labor and Economic Growth in Zimbabwe. The Economics and Finance Letters, 1(4), 24-29.
Chidoko, C., & Mashavira, N. (2014). An analysis of corporate governance in the banking sector of Zimbabwe. Humanities and Social Sciences Letters, 2(3), 174-180.
Chima, P & Kasim, U (2018). Public-private partnership as a strategy for e-governance funding in Afri-ca: The gains and the pains. International Journal of Public Policy and Administration Research, 5(2), 37-47.
Doğanlar, M. (2002). Estimating the impact of exchange rate volatility on exports: evidence from Asian countries. Applied Economics Letters, 9(13), 859-863.
Dooley, M. P., & Isard, P. (1980). Capital controls, political risk, and deviations from interest-rate parity. Journal of Political Economy, 88(2), 370-384.
Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of Political Economy, 84(6), 1161-1176.
Doroodian, K. (1999). Does exchange rate volatility deter international trade in developing countries? Journal of Asian Economics, 10(3), 465-474.
Eichenbaum, M., Johannsen, B. K., & Rebelo, S. (2017). Monetary policy and the predictability of nom-inal exchange rates: National Bureau of Economic Research.
Eiteman, D. K., Stonehill, A. I., & Moffett, M. H. (2007). Multinational business finance.
Eiteman, D. K., Stonehill, A. I., & Moffett, M. H. (2016). Multinational business finance. Pearson High-er Ed.
English, W. B., Van den Heuvel, S. J., & Zakrajšek, E. (2018). Interest rate risk and bank equity valua-tions. Journal of Monetary Economics, 98, 80-97.
Fattouh, B. (2007). The drivers of oil prices: the usefulness and limitations of non-structural model, the demand-supply framework and informal approaches.
Feenstra, R. C. (1989). Symmetric pass-through of tariffs and exchange rates under imperfect competi-tion: An empirical test. Journal of International Economics, 27(1-2), 25-45.
Ferraro, D., Rogoff, K., & Rossi, B. (2015). Can oil prices forecast exchange rates? An empirical analy-sis of the relationship between commodity prices and exchange rates. Journal of International Money and Finance, 54, 116-141.
Ford, R., & Laxton, D. (1999). World public debt and real interest rates. Oxford Review of Economic Policy, 15(2), 77-94.
Fox, R., & Madura, J. (2017). International Financial Management. 4th ed., Cengage Learning.
Fx-exchnage. (2018). Kuwaiti Dinar(KWD) To US Dollar(USD) History. Retrieved 04-10-2018, 2018, from https://www.fx-exchange.com/kwd/usd-exchange-rates-history.html
Gabaix, X., & Maggiori, M. (2015). International liquidity and exchange rate dynamics. The Quarterly Journal of Economics, 130(3), 1369-1420.
Ghosh, A. R., Ostry, J. D., & Chamon, M. (2016). Two targets, two instruments: monetary and exchange rate policies in emerging market economies. Journal of International Money and Finance, 60, 172-196.
Ghura, D., & Grennes, T. J. (1993). The real exchange rate and macroeconomic performance in Sub-Saharan Africa. Journal of Development Economics, 42(1), 155-174.
Hall, M. G. (2018). Exchange rate crises in developing countries: the political role of the banking sec-tor. Routledge.
Heider, F., Hoerova, M., & Holthausen, C. (2015). Liquidity hoarding and interbank market rates: The role of counterparty risk. Journal of Financial Economics, 118(2), 336-354.
Hoffmann, P., Klaus, B., & Langfield, S. (2018). The distribution of interest rate risk in the euro area. Financial Stability Review.
Hooper, P., & Kohlhagen, S. W. (1978). The effect of exchange rate uncertainty on the prices and vol-ume of international trade. Journal of International Economics, 8(4), 483-511.
Ilzetzki, E., Reinhart, C. M., & Rogoff, K. S. (2017). The Country Chronologies to Exchange Rate Ar-rangements into the 21st Century: will the anchor currency hold? (No. w23135). National Bureau of Economic Research.
Jankee, K. (2003). Interest rate determination in the post-liberalization period in Mauritius. Law, Man-agement and Social Sciences Research Journal, 5, 1-18.
Juselius, K. (1995). Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model. Journal of Econometrics, 69(1), 211-240.
Keynes, J. M. (1936). The general theory of employment, investment, and money. London and New York, quoted from:
https://sites. google. com/site/biblioeconomicus/KeynesJohnMaynard-TheGeneralTheoryOf Employ-mentInterestAndMoney. pdf [Accessed 07 Jan 2014].
Kim, D. H., & Orphanides, A. (2012). Term structure estimation with survey data on interest rate fore-casts. Journal of Financial and Quantitative Analysis, 47(1), 241-272.
Lee, M., Nziramasanga, M., & Ahn, S. K. (2002). The real exchange rate: an alternative approach to the PPP puzzle. Journal of Policy Modeling, 24(6), 533-538.
Madura, J., & McCarty, D. E. (1989). Research trends and gaps in international financial management: a note. Management International Review, 29(2), 75-79.
Madura, J., & Zhang, J. (2006). International corporate finance. Thomson/South-Western.
Meese, R., & Rogofp, K. (1988). Was it real? The exchange rate‐interest differential relation over the modern floating‐rate period. The Journal of Finance, 43(4), 933-948.
Mishkin, F. S. (1992). Is the Fisher effect for real?: A reexamination of the relationship between infla-tion and interest rates. Journal of Monetary Economics, 30(2), 195-215.
Miyakoshi, T. (2003). Real exchange rate determination: Empirical observations from East-Asian coun-tries. Empirical Economics, 28(1), 173-180.
Nyen Wong, K., & Cheong Tang, T. (2008). The effects of exchange rate variability on Malaysia's dis-aggregated electrical exports. Journal of Economic Studies, 35(2), 154-169.
Obstfeld, M., & Rogoff, K. (1995). Exchange rate dynamics redux. Journal of Political Economy, 103(3), 624-660.
Okoli, A. C. (2017). Disarmament, Demobilization and Reintegration (DDR) in Rwanda, 1997-2008: A Desk Exegesis and Agenda for Praxis. International Journal of Emerging Trends in Social Sciences, 1(1), 1-8.
Purnama, C. (2014). Improved performance through empowerment of small industry. Journal of Social Economics Research, 1(4), 72-86.
Santhi, N. S., & Gurunathan, K. B. (2014). Fama-French three factors model in Indian mutual fund market. Asian Journal of Economics and Empirical Research, 1(1), 1-5.
Sauer, C., & Bohara, A. K. (2001). Exchange rate volatility and exports: regional differences between developing and industrialized countries. Review of International Economics, 9(1), 133-152.
Sercu, P., & Uppal, R. (2006). Exchange rate volatility, trade, and capital flows under alternative ex-change rate regimes. Cambridge University Press.
Sercu, P., & Vanhulle, C. (1992). Exchange rate volatility, international trade, and the value of exporting firms. Journal of Banking & Finance, 16(1), 155-182.
Somanath, V. S. (1986). Efficient exchange rate forecasts: lagged models better than the random walk. Journal of International Money and Finance, 5(2), 195-220.
Su, S. (2018). An Investigation of Foreign Exchange Risk Management in Chinese Multinational Com-panies Compared with US and UK MNEs. Advances in Social Science, Education and Humanities Research, 176, 530-534.
Wicksell, K., Kahn, R. F., Ohlin, B., Uhr, C. G., & Kahn, R. F. (1936). Interest and prices: a study of the causes regulating the value of money. Macmillan London.
Wong, K. N., & Tang, T. C. (2011). Exchange rate variability and the export demand for Malaysia's semiconductors: an empirical study. Applied Economics, 43(6), 695-706.
Woodford, M. (2003). Optimal interest-rate smoothing. The Review of Economic Studies, 70(4), 861-886.
Yiadom, K. B. (2016). An investigation into the effects of foreign exchange rate risk on stock prices: ev-idence from Ghana Stock Exchange (Doctoral dissertation).
Yip, P. S., Tse, Y.-K., & Dong, Y. (2017). The exchange rate system reform in China: US pressure, im-plicit gradual appreciation and explicit exchange rate bands. Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
Lubis, M. A., & Wekke, I. S. (2009). Integrated Islamic education in Brunei Darussalam: the hopes and challenges. EDUCARE, 1(2).
Suardi Wekke, I., Yandra, A., & Hamuddin, B. (2017, December). Learning strategy in class manage-ment. A Reflection from Manado Case. In IOP Conference Series: Earth and Environmental Science (Vol. 97, No. 1, p. 012053).
Wekke, I. S. (2015). Curriculum development in Madrasa: Exploration from Muslim minority of west Papua. Jurnal Pendidikan Islam, 1(3), 372-392.
Ahmad, N. H., & Ariff, M. (2007). Multi-country study of bank credit risk determinants. International Journal of Banking and Finance, 5(1), 6.
Ajayi, R. A., & Mougouė, M. (1996). On the dynamic relation between stock prices and exchange rates. Journal of Financial Research, 19(2), 193-207.
Albasu, J., & Nyameh, J. (2017). Relevance of stakeholders theory, organizational identity theory and social exchange theory to corporate social responsibility and employees performance in the commer-cial banks in Nigeria. International Journal of Business, Economics and Management, 4(5), 95-105.
Aliber, R. Z. (1973). The interest rate parity theorem: A reinterpretation. Journal of political economy, 81(6), 1451-1459.
Arize, A. C., Osang, T., & Slottje, D. J. (2000). Exchange-rate volatility and foreign trade: evidence from thirteen LDC's. Journal of Business & Economic Statistics, 18(1), 10-17.
Aura, C. M., Hassan, F., Osore, M. K., Musa, S., Morara, G., & Uku, J. (2015). A comprehensive pub-lic-private partnership concept for resources sustainability from a mega-project management multi-level perspective. International Journal of Management and Sustainability, 4(11), 218-236.
Azad, A. M. S., Raza, A., & Zaidi, S. S. Z. (2018). Empirical relationship between operational efficiency and profitability (Evidence from Pakistan Exploration Sector). Journal of Accounting, Business and Finance Research, 2(1), 7-11.
Bahmani-Oskooee, M., & Harvey, H. (2006). How sensitive are Malaysia's bilateral trade flows to de-preciation? Applied Economics, 38(11), 1279-1286.
Balassa, B. (1964). The purchasing-power parity doctrine: a reappraisal. Journal of political economy, 72(6), 584-596.
Basher, S. A., Haug, A. A., & Sadorsky, P. (2016). The impact of oil shocks on exchange rates: a Mar-kov-switching approach. Energy Economics, 54, 11-23.
Benigno, P., & Woodford, M. (2003). Optimal monetary and fiscal policy: A linear-quadratic approach. NBER Macroeconomics Annual, 18, 271-333.
Cheung, Y.-W., & Chinn, M. D. (2001). Currency traders and exchange rate dynamics: a survey of the US market. Journal of International Money and Finance, 20(4), 439-471.
Chidoko, C. (2014). Labor and Economic Growth in Zimbabwe. The Economics and Finance Letters, 1(4), 24-29.
Chidoko, C., & Mashavira, N. (2014). An analysis of corporate governance in the banking sector of Zimbabwe. Humanities and Social Sciences Letters, 2(3), 174-180.
Chima, P & Kasim, U (2018). Public-private partnership as a strategy for e-governance funding in Afri-ca: The gains and the pains. International Journal of Public Policy and Administration Research, 5(2), 37-47.
Doğanlar, M. (2002). Estimating the impact of exchange rate volatility on exports: evidence from Asian countries. Applied Economics Letters, 9(13), 859-863.
Dooley, M. P., & Isard, P. (1980). Capital controls, political risk, and deviations from interest-rate parity. Journal of Political Economy, 88(2), 370-384.
Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of Political Economy, 84(6), 1161-1176.
Doroodian, K. (1999). Does exchange rate volatility deter international trade in developing countries? Journal of Asian Economics, 10(3), 465-474.
Eichenbaum, M., Johannsen, B. K., & Rebelo, S. (2017). Monetary policy and the predictability of nom-inal exchange rates: National Bureau of Economic Research.
Eiteman, D. K., Stonehill, A. I., & Moffett, M. H. (2007). Multinational business finance.
Eiteman, D. K., Stonehill, A. I., & Moffett, M. H. (2016). Multinational business finance. Pearson High-er Ed.
English, W. B., Van den Heuvel, S. J., & Zakrajšek, E. (2018). Interest rate risk and bank equity valua-tions. Journal of Monetary Economics, 98, 80-97.
Fattouh, B. (2007). The drivers of oil prices: the usefulness and limitations of non-structural model, the demand-supply framework and informal approaches.
Feenstra, R. C. (1989). Symmetric pass-through of tariffs and exchange rates under imperfect competi-tion: An empirical test. Journal of International Economics, 27(1-2), 25-45.
Ferraro, D., Rogoff, K., & Rossi, B. (2015). Can oil prices forecast exchange rates? An empirical analy-sis of the relationship between commodity prices and exchange rates. Journal of International Money and Finance, 54, 116-141.
Ford, R., & Laxton, D. (1999). World public debt and real interest rates. Oxford Review of Economic Policy, 15(2), 77-94.
Fox, R., & Madura, J. (2017). International Financial Management. 4th ed., Cengage Learning.
Fx-exchnage. (2018). Kuwaiti Dinar(KWD) To US Dollar(USD) History. Retrieved 04-10-2018, 2018, from https://www.fx-exchange.com/kwd/usd-exchange-rates-history.html
Gabaix, X., & Maggiori, M. (2015). International liquidity and exchange rate dynamics. The Quarterly Journal of Economics, 130(3), 1369-1420.
Ghosh, A. R., Ostry, J. D., & Chamon, M. (2016). Two targets, two instruments: monetary and exchange rate policies in emerging market economies. Journal of International Money and Finance, 60, 172-196.
Ghura, D., & Grennes, T. J. (1993). The real exchange rate and macroeconomic performance in Sub-Saharan Africa. Journal of Development Economics, 42(1), 155-174.
Hall, M. G. (2018). Exchange rate crises in developing countries: the political role of the banking sec-tor. Routledge.
Heider, F., Hoerova, M., & Holthausen, C. (2015). Liquidity hoarding and interbank market rates: The role of counterparty risk. Journal of Financial Economics, 118(2), 336-354.
Hoffmann, P., Klaus, B., & Langfield, S. (2018). The distribution of interest rate risk in the euro area. Financial Stability Review.
Hooper, P., & Kohlhagen, S. W. (1978). The effect of exchange rate uncertainty on the prices and vol-ume of international trade. Journal of International Economics, 8(4), 483-511.
Ilzetzki, E., Reinhart, C. M., & Rogoff, K. S. (2017). The Country Chronologies to Exchange Rate Ar-rangements into the 21st Century: will the anchor currency hold? (No. w23135). National Bureau of Economic Research.
Jankee, K. (2003). Interest rate determination in the post-liberalization period in Mauritius. Law, Man-agement and Social Sciences Research Journal, 5, 1-18.
Juselius, K. (1995). Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model. Journal of Econometrics, 69(1), 211-240.
Keynes, J. M. (1936). The general theory of employment, investment, and money. London and New York, quoted from:
https://sites. google. com/site/biblioeconomicus/KeynesJohnMaynard-TheGeneralTheoryOf Employ-mentInterestAndMoney. pdf [Accessed 07 Jan 2014].
Kim, D. H., & Orphanides, A. (2012). Term structure estimation with survey data on interest rate fore-casts. Journal of Financial and Quantitative Analysis, 47(1), 241-272.
Lee, M., Nziramasanga, M., & Ahn, S. K. (2002). The real exchange rate: an alternative approach to the PPP puzzle. Journal of Policy Modeling, 24(6), 533-538.
Madura, J., & McCarty, D. E. (1989). Research trends and gaps in international financial management: a note. Management International Review, 29(2), 75-79.
Madura, J., & Zhang, J. (2006). International corporate finance. Thomson/South-Western.
Meese, R., & Rogofp, K. (1988). Was it real? The exchange rate‐interest differential relation over the modern floating‐rate period. The Journal of Finance, 43(4), 933-948.
Mishkin, F. S. (1992). Is the Fisher effect for real?: A reexamination of the relationship between infla-tion and interest rates. Journal of Monetary Economics, 30(2), 195-215.
Miyakoshi, T. (2003). Real exchange rate determination: Empirical observations from East-Asian coun-tries. Empirical Economics, 28(1), 173-180.
Nyen Wong, K., & Cheong Tang, T. (2008). The effects of exchange rate variability on Malaysia's dis-aggregated electrical exports. Journal of Economic Studies, 35(2), 154-169.
Obstfeld, M., & Rogoff, K. (1995). Exchange rate dynamics redux. Journal of Political Economy, 103(3), 624-660.
Okoli, A. C. (2017). Disarmament, Demobilization and Reintegration (DDR) in Rwanda, 1997-2008: A Desk Exegesis and Agenda for Praxis. International Journal of Emerging Trends in Social Sciences, 1(1), 1-8.
Purnama, C. (2014). Improved performance through empowerment of small industry. Journal of Social Economics Research, 1(4), 72-86.
Santhi, N. S., & Gurunathan, K. B. (2014). Fama-French three factors model in Indian mutual fund market. Asian Journal of Economics and Empirical Research, 1(1), 1-5.
Sauer, C., & Bohara, A. K. (2001). Exchange rate volatility and exports: regional differences between developing and industrialized countries. Review of International Economics, 9(1), 133-152.
Sercu, P., & Uppal, R. (2006). Exchange rate volatility, trade, and capital flows under alternative ex-change rate regimes. Cambridge University Press.
Sercu, P., & Vanhulle, C. (1992). Exchange rate volatility, international trade, and the value of exporting firms. Journal of Banking & Finance, 16(1), 155-182.
Somanath, V. S. (1986). Efficient exchange rate forecasts: lagged models better than the random walk. Journal of International Money and Finance, 5(2), 195-220.
Su, S. (2018). An Investigation of Foreign Exchange Risk Management in Chinese Multinational Com-panies Compared with US and UK MNEs. Advances in Social Science, Education and Humanities Research, 176, 530-534.
Wicksell, K., Kahn, R. F., Ohlin, B., Uhr, C. G., & Kahn, R. F. (1936). Interest and prices: a study of the causes regulating the value of money. Macmillan London.
Wong, K. N., & Tang, T. C. (2011). Exchange rate variability and the export demand for Malaysia's semiconductors: an empirical study. Applied Economics, 43(6), 695-706.
Woodford, M. (2003). Optimal interest-rate smoothing. The Review of Economic Studies, 70(4), 861-886.
Yiadom, K. B. (2016). An investigation into the effects of foreign exchange rate risk on stock prices: ev-idence from Ghana Stock Exchange (Doctoral dissertation).
Yip, P. S., Tse, Y.-K., & Dong, Y. (2017). The exchange rate system reform in China: US pressure, im-plicit gradual appreciation and explicit exchange rate bands. Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
Lubis, M. A., & Wekke, I. S. (2009). Integrated Islamic education in Brunei Darussalam: the hopes and challenges. EDUCARE, 1(2).
Suardi Wekke, I., Yandra, A., & Hamuddin, B. (2017, December). Learning strategy in class manage-ment. A Reflection from Manado Case. In IOP Conference Series: Earth and Environmental Science (Vol. 97, No. 1, p. 012053).
Wekke, I. S. (2015). Curriculum development in Madrasa: Exploration from Muslim minority of west Papua. Jurnal Pendidikan Islam, 1(3), 372-392.