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A Regime Switching Approach To Uncovered Interest Parity
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Book Synopsis A Regime Switching Approach to Uncovered Interest Parity by : Simon Van Norden
Download or read book A Regime Switching Approach to Uncovered Interest Parity written by Simon Van Norden and published by . This book was released on 1989 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the empirical evidence on violations of uncovered interest parity and explores whether the evidence is consistent with the behaviour of speculative bubbles. The problem of testing for bubbles in exchange rates, without an accepted model of fundamentals, are then examined and a variety of tests are suggested. Extensive tests are run using weekly forward rate and survey data for seven major exchange rates. Results are presented.
Book Synopsis Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity by :
Download or read book Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Regimes in Middle East and North Africa (MENA) by : Mahmoud Abdelbaky
Download or read book Exchange Rate Regimes in Middle East and North Africa (MENA) written by Mahmoud Abdelbaky and published by . This book was released on 2006 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of introductory chapter and an additional three papers. There are three common aspects in these three papers. First, the main topic of each paper is the nominal exchange rate regime. Second, the entire three papers use a Markov Switching Regime model as the empirical approach of the analysis. Third, the region covered by the study is Middle East and North Africa (MENA). The first paper is entitled "Identifying De Facto Exchange Rate Regimes: An Alternative Markov Switching Approach." In this paper, a new alternative methodology is applied to classify de facto exchange regimes. The proposed approach is based on a Markov Switching Model (MSM). The paper introduces current methodologies available and their cons and pros. The proposed MSM provides several advantages over existing methodologies and gives additional insightful information for policy makers. The second paper is entitled "Exchange Rate Misalignment Across De Facto Exchange Rate Regimes: A Markov Switching Model Analysis." In this paper, I estimate equilibrium exchange rates for 8 selected countries of MENA region using a panel cointegration technique. The difference between equilibrium and actual exchange rates is identified as exchange rate misalignment. Misalignment, then, is analyzed with a de facto exchange rate regime index using a Markov Switching Model. The main objective of this paper is to determine empirically, which regime is associated with lower misalignment. This result is of interest to policy maker so as to avoid currency crises. The third paper is entitled "Excess Returns Across Exchange Rate Regimes: A Markov Switching Model Analysis." In this paper, a MSM is used to analyze the excess returns over what uncovered interest rate parity predicts for four MENA countries: Egypt, Jordan, Morocco and Tunisia. The main purpose of this paper is to examine the effects of liberalization - signified by applying more flexible exchange rate regimes - on the degree of integration into international financial markets measured as the magnitude of the excess return over what uncovered interest rate parity predicts.
Book Synopsis Uncovered Interest Parity by : Mr.Peter Isard
Download or read book Uncovered Interest Parity written by Mr.Peter Isard and published by International Monetary Fund. This book was released on 1991-05 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and discusses the implications for macroeconomic analysis. The uncovered interest parity assumption has been an important building block in multiperiod and continuous time models of open economies, and although its validity is strongly challenged by the empirical evidence, its retention in macroeconomic models is supported on pragmatic grounds, at least for the time being, by the lack of much empirical support for existing models of the exchange risk premium.
Book Synopsis On Biases in the Measurement of Foreign Exchange Risk Premiums by : Geert Bekaert
Download or read book On Biases in the Measurement of Foreign Exchange Risk Premiums written by Geert Bekaert and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Regime Switching Approach to Studying Speculative Attacks by : Maria Soledad Martinez Peria
Download or read book A Regime Switching Approach to Studying Speculative Attacks written by Maria Soledad Martinez Peria and published by . This book was released on 1999 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Economics by : Ronald MacDonald
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Book Synopsis Regime Switching as a Test for Exchange Rate Bubbles by : Simon Van Norden
Download or read book Regime Switching as a Test for Exchange Rate Bubbles written by Simon Van Norden and published by . This book was released on 1993 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Covered Interest Parity Deviations: Macrofinancial Determinants by : Mr.Eugenio M Cerutti
Download or read book Covered Interest Parity Deviations: Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 1992 with total page 652 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Econometric Modelling of Financial Time Series by : Terence C. Mills
Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 2008-03-20 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
Book Synopsis Estimates of the NAIRU Using an Extended Okun's Law by : Robert Ford
Download or read book Estimates of the NAIRU Using an Extended Okun's Law written by Robert Ford and published by . This book was released on 1989 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Regimes in the Modern Era by : Michael W. Klein
Download or read book Exchange Rate Regimes in the Modern Era written by Michael W. Klein and published by MIT Press. This book was released on 2012-08-24 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: An analysis of the operation and consequences of exchange rate regimes in an era of increasing international interdependence. The exchange rate is sometimes called the most important price in a highly globalized world. A country's choice of its exchange rate regime, between government-managed fixed rates and market-determined floating rates has significant implications for monetary policy, trade, and macroeconomic outcomes, and is the subject of both academic and policy debate. In this book, two leading economists examine the operation and consequences of exchange rate regimes in an era of increasing international interdependence. Michael Klein and Jay Shambaugh focus on the evolution of exchange rate regimes in the modern era, the period since 1973, which followed the Bretton Woods era of 1945–72 and the pre-World War I gold standard era. Klein and Shambaugh offer a comprehensive, integrated treatment of the characteristics of exchange rate regimes and their effects. The book draws on and synthesizes data from the recent wave of empirical research on this topic, and includes new findings that challenge preconceived notions.
Book Synopsis Money, Banking and Financial Markets in Central and Eastern Europe by : R. Matousek
Download or read book Money, Banking and Financial Markets in Central and Eastern Europe written by R. Matousek and published by Springer. This book was released on 2015-12-04 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a deep insight into the market changes and policy challenges that transition economies have undergone in the last twenty years. It not only comments on and evaluates the development of financial markets in transition economies, but also highlights the key obstacles to full integration of financial markets into the EU market.
Book Synopsis Introductory Econometrics for Finance by : Chris Brooks
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2014-05-08 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: The only econometrics textbook written specifically for finance students with no prior knowledge of econometrics, including extensive online student support.
Book Synopsis Economics for Investment Decision Makers by : Christopher D. Piros
Download or read book Economics for Investment Decision Makers written by Christopher D. Piros and published by John Wiley & Sons. This book was released on 2013-03-05 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economics background investors need to interpret global economic news distilled to the essential elements: A tool of choice for investment decision-makers. Written by a distinguished academics and practitioners selected and guided by CFA Institute, the world’s largest association of finance professionals, Economics for Investment Decision Makers is unique in presenting microeconomics and macroeconomics with relevance to investors and investment analysts constantly in mind. The selection of fundamental topics is comprehensive, while coverage of topics such as international trade, foreign exchange markets, and currency exchange rate forecasting reflects global perspectives of pressing investor importance. Concise, plain-English introduction useful to investors and investment analysts Relevant to security analysis, industry analysis, country analysis, portfolio management, and capital market strategy Understand economic news and what it means All concepts defined and simply explained, no prior background in economics assumed Abundant examples and illustrations Global markets perspective
Book Synopsis Introductory Econometrics for Finance by : Chris Brooks
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
