A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All
Sayed, Imam Abu
- VAR Model and forecasting of Exchange Rate of Bangladesh
Authors
1 Monetary Policy Department, Bangladesh Bank, BD
Source
Indian Journal of Economics and Development, Vol 2, No 3 (2014), Pagination: 29-36Abstract
Background: Volatility clustering exchange rate of Bangladesh is market driven based on managed float. Besides vector auto regression (VAR) approach is used to determine the exchange rate in order to form rational expectation regarding exchange rate of Bangladesh.
Methods: Technical analyses ranging from unit ischolar_main to VAR have been used to forecast the monthly average exchange rate following new convention.
Results: It will help to determine the exchange rate stochastically.
Application: SWAP and forward exchange rate will be determined taking into account absolute and comparative advantage and rational expectation.
Keywords
Central Bank And Policies, Exchange Rate And Forecasting And Model ApplicationFull Text
- ARIMA Model and forecasting of Exchange Rate of Bangladesh and Economic Dynamics
Authors
1 Monetary Policy, Department, Bangladesh Bank, BD
Source
Indian Journal of Economics and Development, Vol 2, No 3 (2014), Pagination: 37-41Abstract
Background: This paper concentrates technical analysis to address stochastic and deterministic approach to forecast exchange rate of Bangladesh.
Methods: Using auto regressive integrated moving average (ARIMA) model.
Results: ARIMA model is useful to determine the exchange rate stochastically. Economic dynamics is discussed to achieve technology based higher sustainable GDP growth, which is the base for classical economy and forecasting. ARIMA (1,0,0) is followed for getting forecasted exchange rate with the help of Minitab software. Non seasonality in ARIMA predicted stable exchange rate for next six months (July-December, 2012), which is mostly close to actual rate.
Application: This exercise will help to forming rational expectation from quantitative point of view.
Keywords
Central Bank And Policies, Exchange Rate And Forecasting And Model Application.Full Text
- Yield Curve of Bangladesh and Burning Economic Issues
Authors
1 Joint Director (Research), Monetary Policy Department, Bangladesh Bank, BD
Source
Indian Journal of Economics and Development, Vol 2, No 4 (2014), Pagination: 92-97Abstract
Background: Yield curve is the combination of interest rates against different maturity of bills and bonds. Weighted average interest rate of accepted bids is used to derive the yield curve. 91-day government treasury bill rate is the reference rate of the economy. Yield curve may be concave, convex or relatively flat depending on the short term and long term interest rates and amount. Interpolation and extrapolation method is used to derive the yield of a particular maturity due to lack of secondary market in Bangladesh.
Methods: Summation of all individual auction rates provides shape of the yield curve. Mathematical convention is demonstrated to formulate the price and interest rate of bill and bond. Macroeconomic development is considered to derive the yield curve rates. Amount of liquidity and need of the government and central bank specifically establish the yield rate.
Results: It will help to determine the interest rate of the economy impacting the exchange rate, CPI inflation rate and GDP growth.
Application: Yield curve rate is used for calculating deposit and lending rates of banks bearing in mind the liquidity position of the economy. It will also help to evaluate the held to maturity (HTM) and held for trade (HFT) securities of the banking and trading book of the banks.
Keywords
Budget Systems, Debt Management And Monetary Policy.Full Text
- Technical Stock Valuation of a Company: Bangladesh Perspective
Authors
1 Monetary Policy Department (MPD), Bangladesh Bank, BD
Source
Indian Journal of Economics and Development, Vol 3, No 3 (2015), Pagination: 206-212Abstract
Background: The paper describes the relationship between risk and expected return and determination of risk free rate in valuation of a stock. In a stock pricing we find that expected return of a stock is the sum of risk-free government bill rate and risk premium. If this expected return does not fulfill the required return, then the investment should be taken carefully considering the growth potentiality of the stock.
Findings: We can compute the expected return using the ACI stock price and DSE all share price index. If the average risk-free rate of 91-day government Treasury bill is 7 percent, the beta (risk measure derived from regression) of the stock is 1.14 and the average expected market return over the period is calculated as 10 percent, the stock expected return is 10.42 percent (7 percent +1.14(10 percent -7 percent)). Here the risk premium is 3.42 percent.
Methods: In evaluating the ACI stock we have used the OLS method considering the unit ischolar_main and other tests of signification. The time path of risk free rate is impacted by trend, seasonality, cycle and irregularities. BB prudently maintains the inflation rate among others through risk free rate using its instruments.
Application/Improvements: Risk free rate has role to calculate the value of a stock and maintaining inflation and GDP growth. This paper analyzes the risk free rate, risk premium and related variables to evaluate the stock in order to maintain financial stability.
Keywords
Financial Econometrics, Financial Market, Central Bank and Policies and Model Application, C58, D53, E58 and F47Full Text
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