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Symmetries or Asymmetries: How MSCI Index Advanced European Markets’ Exchange Rates Respond to Macro-Economic Fundamentals

Author

Listed:
  • Mosab I. Tabash

    (Department of Business Administration, College of Business, Al Ain University, Al Ain P.O. Box 64141, United Arab Emirates)

  • Muhammad AsadUllah

    (Karachi Institute of Economics and Technology, College of Management Sciences, Karachi 75080, Pakistan)

  • Quratulain Siddiq

    (School of Economics and Business Administration, Chongqing University, Chongqing 400044, China)

  • Marwan Mansour

    (Accounting Department, Business Faculty, Amman Arab University, Amman 11953, Jordan
    Jadara Research Center, Jadara University, Irbid 21110, Jordan)

  • Linda Nalini Daniel

    (Business Department, Higher Colleges of Technology, Abu Dhabi P.O. Box 41012, United Arab Emirates)

  • Mujeeb Saif Mohsen Al-Absy

    (Accounting and Financial Science Department, College of Administrative and Financial Science, Gulf University, Sanad 26489, Bahrain)

Abstract

The purpose of this study is to find symmetries and asymmetries in the exchange rate and macroeconomic fundamentals of advanced European markets, namely Denmark, the Euro Area, and United Kingdom, for the period of 2011 to 2022 via application of the NARDL technique. The findings reveal that interest rate affects DKK exchange rate asymmetrically in the long and short run, whereas money supply affects it in the short run. Foreign reserves are found to be helpful for all three currencies in stabilizing the exchange rate. A decline in gold price weakens GBP, DKK, and EUR in the long run. Previous studies suggest that the existence of asymmetrical relationships justifies the selection of NARDL for empirical analysis. This study makes a contribution to the existing literature, as it proves that forecasting via NARDL is also robust for analysis. The findings have significant policy implications for financial applications.

Suggested Citation

  • Mosab I. Tabash & Muhammad AsadUllah & Quratulain Siddiq & Marwan Mansour & Linda Nalini Daniel & Mujeeb Saif Mohsen Al-Absy, 2024. "Symmetries or Asymmetries: How MSCI Index Advanced European Markets’ Exchange Rates Respond to Macro-Economic Fundamentals," Economies, MDPI, vol. 12(12), pages 1-16, November.
    • Handle: RePEc:gam:jecomi:v:12:y:2024:i:12:p:326-:d:1532316
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    References listed on IDEAS

    as
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    4. Funashima, Yoshito, 2020. "Money stock versus monetary base in time–frequency exchange rate determination," Journal of International Money and Finance, Elsevier, vol. 104(C).
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