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Author : Dimitris G. Kirikos
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (33 download)
Download or read book Assessing Asset Market Models of the Exchange Rate written by Dimitris G. Kirikos and published by . This book was released on 1992 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexander Groß
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110902109
Total Pages : 408 pages
Book Rating : 4.1/5 (19 download)
Download or read book The Role of the Current Account in Asset Market Models of Exchange Rate Determination written by Alexander Groß and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-07-08 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "The Role of the Current Account in Asset Market Models of Exchange Rate Determination".
Author : Jessica James
Publisher : John Wiley & Sons
ISBN 13 : 1118445775
Total Pages : 674 pages
Book Rating : 4.1/5 (184 download)
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
ISBN 13 : 1451847580
Total Pages : 38 pages
Book Rating : 4.4/5 (518 download)
Download or read book Asset Market and Balance of Payments Characteristics written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1995-06-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we use an exchange rate model that combines asset market characteristics with balance of payments interactions to examine the nominal effective exchange rates of the German mark, Japanese yen, and U.S. dollar for the recent experience with floating exchange rates. Our approach may be interpreted as one which attempts to flesh out the missing links that arise in conditioning an exchange rate solely on relative prices, as occurs in a standard PPP analysis. In contrast to much other empirical exchange rate modeling, our approach explicitly involves the use of a current account sustainability term. Amongst the findings reported in this paper are: significant, and sensible, long-run relationships for all of the currencies studied; appealing short-run dynamics for two of the currencies; and a finding that the Japanese effective exchange rate closely tracks the long-run exchange rate defined in this paper.
Author : Jacob Frenkel
Publisher : Routledge
ISBN 13 : 1135043493
Total Pages : 389 pages
Book Rating : 4.1/5 (35 download)
Download or read book The Monetary Approach to the Balance of Payments written by Jacob Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.
Author : John F. Bilson
Publisher : University of Chicago Press
ISBN 13 : 0226050998
Total Pages : 542 pages
Book Rating : 4.2/5 (26 download)
Download or read book Exchange Rate Theory and Practice written by John F. Bilson and published by University of Chicago Press. This book was released on 2007-12-01 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
Author : Ronald MacDonald
Publisher : Routledge
ISBN 13 : 1134838220
Total Pages : 334 pages
Book Rating : 4.1/5 (348 download)
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""
Author : Peter Isard
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (318 download)
Download or read book Equilibrium Exchange Rates written by Peter Isard and published by International Monetary Fund. This book was released on 2007-12 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper describes six different methodologies that have been used to assess the equilibrium values of exchange rates and discusses their limitations. It applies several of the approaches to data for the United States as of 2006, illustrates that different approaches sometimes provide substantially different assessments, and asks which methodologies deserve the most weight in such situations. It argues that while it is generally desirable to consider the implications of several different approaches, since different approaches provide different types of perspectives, two of the methodologies seem particularly relevant for identifying threats to macroeconomic stability and growth.
Author : Mr.Lorenzo Giorgianni
Publisher : International Monetary Fund
ISBN 13 : 1451849222
Total Pages : 21 pages
Book Rating : 4.4/5 (518 download)
Download or read book Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1999-05-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.
Author : Ronald MacDonald
Publisher : Springer Science & Business Media
ISBN 13 : 1475729979
Total Pages : 226 pages
Book Rating : 4.4/5 (757 download)
Download or read book Exchange Rate Modelling written by Ronald MacDonald and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.
Author : S. A. Cooper
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.3/5 ( download)
Download or read book Exchange Rate Determination written by S. A. Cooper and published by . This book was released on 1988 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Enrique Martínez-García
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Quantitative Assessment of the Role of Incomplete Asset Markets on the Dynamics of the Real Exchange Rate written by Enrique Martínez-García and published by . This book was released on 2016 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: I develop a two-country New Keynesian model with capital accumulation and incomplete international asset markets that provides novel insights on the effect that imperfect international risk-sharing has on international business cycles and RER dynamics. I find that business cycles appear similar whether international asset markets are complete or not when driven by a combination of non-persistent monetary shocks and persistent productivity (TFP) shocks. In turn, international asset market incompleteness has sizeable effects if (persistent) investment-specific technology (IST) shocks are a main driver of business cycles. I also show that the model with incomplete international asset markets can approximate the RER volatility and persistence observed in the data, for instance, if IST shocks are near-unit-root. Hence, I conclude that the nature of shocks, the extent of financial integration across countries and the existing limitations on asset trading are central to understand the dynamics of the real exchange rate and the endogenous international transmission over the business cycles.
Author : Mark A. Roberts
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (246 download)
Download or read book An Asset Market Model of the Exchange Rate with Individual Expectations of Aggregate Expectations and Learning written by Mark A. Roberts and published by . This book was released on 1988 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ron Alquist
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment written by Ron Alquist and published by . This book was released on 2006 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of net exports and net foreign assets. In addition to bringing Gourinchas and Rey's new approach and more recent data to bear, we implement the Clark and West (forthcoming) procedure for testing the significance of out-of-sample forecasts. The interest rate parity relation holds better at long horizons and the net exports variable does well in predicting exchange rates at short horizons in-sample. In out-of-sample forecasts, we find evidence that our proxy for Gourinchas and Rey's measure of external imbalances outperforms a random walk at short horizons as do some of other models, although no single model uniformly outperforms the random walk forecast.
Author : Eric J. Pentecost
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.F/5 ( download)
Download or read book Exchange Rate Dynamics written by Eric J. Pentecost and published by Edward Elgar Publishing. This book was released on 1993 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work examines the development of the determinants of the exchange rate system since the mid-1970s. It scrutinises the main theoretical models of exchange rate determination and assesses their empirical validity drawn from recent econometric results (based on cointegration methodology).
Author : Andreas Steiner
Publisher : Elsevier
ISBN 13 : 0128104031
Total Pages : 206 pages
Book Rating : 4.1/5 (281 download)
Download or read book Global Imbalances, Financial Crises, and Central Bank Policies written by Andreas Steiner and published by Elsevier. This book was released on 2016-07-25 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global Imbalances, Financial Crises, and Central Bank Policies assesses the relationships between global imbalances, financial crises, and central bank policies, with a specific focus on their reserves. The book contains a strictly international perspective with an analysis based on empirical research that enables the reader to develop an analytical model that emphasizes interactions among individual central banks. With this innovative approach, the book develops a new method for defining an optimal demand for reserves. In addition, the book describes implications for financial reforms that might ultimately be more important than its empirical findings. Presents a systematic account of the relationship between the build-up of reserves and central bank policies Emphasizes a global view of currency reserves, which is usually ignored in analyses of their effect Includes datasets as well as all illustrations and figures in online ancillary materials
Author : Magnus Dahlquist
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.X/5 (6 download)
Download or read book An Evaluation of International Asset Pricing Models written by Magnus Dahlquist and published by . This book was released on 2002 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
