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Author : Ian Domowitz
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (11 download)
Download or read book Conditional Variance and the Risk Premium in the Foreign Exchange Market written by Ian Domowitz and published by . This book was released on 1983 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Lorenzo Giorgianni
Publisher : International Monetary Fund
ISBN 13 : 1451845790
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)
Download or read book Foreign Exchange Risk Premium written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-04-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to measure exchange rate expectations—are found to be sizable (relative to the dimension of the forward premium), highly volatile (relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests that anticipated fiscal contractions in Italy and lower uncertainty about the future path of fiscal policy are associated with a lower risk premium on lira-denominated assets.
Author : Khosrow Fatemi
Publisher : Routledge
ISBN 13 : 1136267441
Total Pages : 298 pages
Book Rating : 4.1/5 (362 download)
Download or read book Foreign Exchange Issues, Capital Markets and International Banking in the 1990s (RLE Banking & Finance) written by Khosrow Fatemi and published by Routledge. This book was released on 2012-10-12 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
Author : Richard Baillie
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.3/5 ( download)
Download or read book The Risk Premium in Forward Foreign Exchange Markets and G-3 Central Bank Intervention written by Richard Baillie and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Khosrow Fatemi
Publisher : Routledge
ISBN 13 : 0415538807
Total Pages : 298 pages
Book Rating : 4.4/5 (155 download)
Download or read book Foreign Exchange Issues, Capital Markets and International Banking in the 1990s (RLE Banking and Finance) written by Khosrow Fatemi and published by Routledge. This book was released on 2012-05-25 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
Author : Mr.Tigran Poghosyan
Publisher : International Monetary Fund
ISBN 13 : 1455209554
Total Pages : 26 pages
Book Rating : 4.4/5 (552 download)
Download or read book Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries written by Mr.Tigran Poghosyan and published by International Monetary Fund. This book was released on 2010-11-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emirates. The analysis is based on the stochastic discount factor methodology, which imposes a no arbitrage condition on the relationship between the foreign exchange risk premium and its macroeconomic determinants. Estimation results suggest that U.S. inflation and consumption growth are important factors driving the risk premium, which is in line with the standard C-CAPM model. In addition, growth in international oil prices influences the risk premium, reflecting the important role played by the hydrocarbon sector in GCC economies. The methodology employed in this paper can be used for forecasting the risk premium on a monthly basis, which has important practical implications for policymakers interested in the timely monitoring of risks in the GCC.
Author : Richard T. Baillie
Publisher : Cambridge University Press
ISBN 13 : 9780521396905
Total Pages : 280 pages
Book Rating : 4.3/5 (969 download)
Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Author : Francesco Giavazzi
Publisher : Cambridge University Press
ISBN 13 : 9780521389051
Total Pages : 452 pages
Book Rating : 4.3/5 (89 download)
Download or read book The European Monetary System written by Francesco Giavazzi and published by Cambridge University Press. This book was released on 1988 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recoge: 1. The international environment - 2. Disinflation, external adjustment and cooperation - 3. Exchange rates, capital mobility and monetary coordination - 4. The future og the European monetary system.
Author : Mallick, Pradeep Kumar
Publisher : IGI Global
ISBN 13 : 1522557946
Total Pages : 314 pages
Book Rating : 4.5/5 (225 download)
Download or read book Emerging Trends and Applications in Cognitive Computing written by Mallick, Pradeep Kumar and published by IGI Global. This book was released on 2018-12-28 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Though an individual can process a limitless amount of information, the human brain can only comprehend a small amount of data at a time. Using technology can improve the process and comprehension of information, but the technology must learn to behave more like a human brain to employ concepts like memory, learning, visualization ability, and decision making. Emerging Trends and Applications in Cognitive Computing is a fundamental scholarly source that provides empirical studies and theoretical analysis to show how learning methods can solve important application problems throughout various industries and explain how machine learning research is conducted. Including innovative research on topics such as deep neural networks, cyber-physical systems, and pattern recognition, this collection of research will benefit individuals such as IT professionals, academicians, students, researchers, and managers.
Author : Cheng-Few Lee
Publisher : Springer Nature
ISBN 13 : 3030912310
Total Pages : 2746 pages
Book Rating : 4.0/5 (39 download)
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.
Author : Van-Nam Huynh
Publisher : Springer Science & Business Media
ISBN 13 : 3642354432
Total Pages : 323 pages
Book Rating : 4.6/5 (423 download)
Download or read book Uncertainty Analysis in Econometrics with Applications written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2012-12-14 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike uncertain dynamical systems in physical sciences where models for prediction are somewhat given to us by physical laws, uncertain dynamical systems in economics need statistical models. In this context, modeling and optimization surface as basic ingredients for fruitful applications. This volume concentrates on the current methodology of copulas and maximum entropy optimization. This volume contains main research presentations at the Sixth International Conference of the Thailand Econometrics Society held at the Faculty of Economics, Chiang Mai University, Thailand, during January 10-11, 2013. It consists of keynote addresses, theoretical and applied contributions. These contributions to Econometrics are somewhat centered around the theme of Copulas and Maximum Entropy Econometrics. The method of copulas is applied to a variety of economic problems where multivariate model building and correlation analysis are needed. As for the art of choosing copulas in practical problems, the principle of maximum entropy surfaces as a potential way to do so. The state-of-the-art of Maximum Entropy Econometrics is presented in the first keynote address, while the second keynote address focusses on testing stationarity in economic time series data.
Author : Terence C. Mills
Publisher : Cambridge University Press
ISBN 13 : 9780521624923
Total Pages : 386 pages
Book Rating : 4.6/5 (249 download)
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 1999-08-26 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides detailed coverage of the models currently being used in the empirical analysis of financial markets. Copyright © Libri GmbH. All rights reserved.
Author : Meher Manzur
Publisher : Routledge
ISBN 13 : 1134885121
Total Pages : 224 pages
Book Rating : 4.1/5 (348 download)
Download or read book Exchange Rates, Prices and World Trade written by Meher Manzur and published by Routledge. This book was released on 2002-09-11 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic treatment of the interaction between national price levels and exchange rates, and the formation of expectation regarding exchange rates on trade flows. The thrust is empirical and the study is made up of five self-contained chapters with a common theme, viz., the behaviour of prices and quantities in international goods and financial markets. The major motivation is to distill the key issues addressed in the extremely large literature and present these issues in a succinct analytical manner.
Author : Arvind Virmani
Publisher : Academic Foundation
ISBN 13 : 9788171885312
Total Pages : 500 pages
Book Rating : 4.8/5 (853 download)
Download or read book Propelling India from Socialist Stagnation to Global Power: Policy reforms written by Arvind Virmani and published by Academic Foundation. This book was released on 2006 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting a comprehensive retrospective of India's economic policies and performances, this study includes an an in-depth analysis of a wide range of issues from a variety of perspectives: historical, global, institutional, and political-economic. The discussion explores the "tripolar world" comprised of the United States, China, and India as the changing dominant players in global power.
Author : Jeffrey A. Frankel
Publisher : MIT Press
ISBN 13 : 9780262061544
Total Pages : 468 pages
Book Rating : 4.0/5 (615 download)
Download or read book On Exchange Rates written by Jeffrey A. Frankel and published by MIT Press. This book was released on 1993 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.
Author : Jack C. Lee
Publisher : Springer
ISBN 13 : 1461224144
Total Pages : 458 pages
Book Rating : 4.4/5 (612 download)
Download or read book Modelling and Prediction Honoring Seymour Geisser written by Jack C. Lee and published by Springer. This book was released on 2013-12-20 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modelling and Prediction Honoring Seymour Geisser contains the refereed proceedings of the Conference on Forecasting, Prediction, and Modelling held at National Chiao Tung University, Taiwan in 1994. The papers discuss general methodological issues; prediction; design of experiments and classification; prior distributions and estimation; posterior odds, testing, and model selection; modelling and prediction in finance; and time series modelling and applications. Specific topics include very interesting and topical statistical issues related to DNA fingerprinting and spatial image reconstruction, foundational issues for applied statistics and testing hypotheses, forecasting tax revenues and bond prices, and assessing oxone depletion.
Author : G.M. Grossman
Publisher : Elsevier
ISBN 13 : 9780444815477
Total Pages : 904 pages
Book Rating : 4.8/5 (154 download)
Download or read book Handbook of International Economics written by G.M. Grossman and published by Elsevier. This book was released on 1995-12-13 with total page 904 pages. Available in PDF, EPUB and Kindle. Book excerpt: This reference accords recognition to the recent revolution in macroeconomics wrought by imperfect competition. Grossman and Rogoff (Princeton U.) present chapters by two dozen contributors on two prime areas of research interest: international trade theory and policy (e.g. strategic trade patterns and policies, the relationship between trade and technological progress), and open economy macroeconomics and international finance (covering such topics as exchange rates, foreign lending, and policy coordination). The volume commences with Krugman's overview of the positive theory of international trade, and concludes with analyses of sovereign debt. Annotation copyrighted by Book News, Inc., Portland, OR.
