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Essays On The Foreign Exchange Market
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Book Synopsis Managing Foreign Exchange Risk by : Richard J. Herring
Download or read book Managing Foreign Exchange Risk written by Richard J. Herring and published by Cambridge University Press. This book was released on 1986-04-30 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays about foreign exchange risk and how to cope with it.
Book Synopsis Three Essays on China's Foreign Exchange Markets by : Yi David Wang
Download or read book Three Essays on China's Foreign Exchange Markets written by Yi David Wang and published by Stanford University. This book was released on 2011 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a compilation of three essays I wrote during my investigation of China's foreign exchange markets. I list the abstract of each in the following paragraphs. Essay 1: Anomaly in China's Dollar--RMB Forward Market Newly-established data on onshore deliverable US dollar--RMB forwards and the Shanghai Interbank Offered Rate from October 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper hypothesizes that these violations are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China's State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy. Essay 2: Convertibility Restriction in China's Foreign Exchange Market and its Impact on Forward Pricing Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market's expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of future spot rate. Empirical results are consistent with these predictions. Essay 3: The Global Credit Crisis and China's Exchange Rate The case for stabilizing China's exchange rate against the dollar is strong. Before 2005 when the yuan/dollar rate was credibly fixed, it helped anchor China's domestic price level. But gradual RMB appreciation from July 2005 to July 2008 created a "one-way-bet" that disordered China's financial markets in two respects: (1) no private capital outflows to finance China's huge trade surplus leading to an undue build up of official exchange reserves and erosion of monetary control, and (2) a breakdown of the forward exchange market in 2007-08 so that exporters could no longer get trade credit—probably worsening the severe slump in Chinese exports. But after July 2008, the credit crunch induced an unexpected unwinding of the dollar carry trade leading to a sharp appreciation in the dollar's effective exchange rate. The People's Bank of China (PBC) then stopped RMB appreciation against the dollar. China's forward exchange market was restored and monetary control regained. Now the PBC can better support the fiscal stimulus by promoting a parallel expansion of bank credit. But, since March 2009, the fall in the dollar (with the RMB tied to it) again threatens to undermine the yuan/dollar rate and China's monetary stability.
Book Synopsis Foreign Exchange Dealing by : Antti Suvanto
Download or read book Foreign Exchange Dealing written by Antti Suvanto and published by . This book was released on 1993 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
Author :Eastman Professor of Political Economy Jerome L Stein Publisher : ISBN 13 :9781258081898 Total Pages :60 pages Book Rating :4.0/5 (818 download)
Book Synopsis The Nature and Efficiency of the Foreign Exchange Market by : Eastman Professor of Political Economy Jerome L Stein
Download or read book The Nature and Efficiency of the Foreign Exchange Market written by Eastman Professor of Political Economy Jerome L Stein and published by . This book was released on 2011-08 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Foreign Exchange Market and Structural Breaks by : Thanin Cheunsomchit
Download or read book Essays on the Foreign Exchange Market and Structural Breaks written by Thanin Cheunsomchit and published by . This book was released on 1998 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Workings of the Foreign Exchange Market by : Stephen Gregory Sapp
Download or read book Essays on the Workings of the Foreign Exchange Market written by Stephen Gregory Sapp and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the significant quantity of research that has been focused on the foreign exchange market, the forces influencing short- and medium-term exchange rate movements and the mechanisms through which they operate are surprisingly poorly understood. Traditional analyses have used macroeconomic theory to describe how fundamental economic factors influence exchange rates, but have been largely unsuccessful at explaining observed exchange rate behavior. This dissertation uses a variety of empirical techniques to characterize the impact of different economic and financial factors on exchange rate movements. By identifying factors related to exchange rate movements, the studies in this dissertation will allow the development of more realistic models of the short- and medium-term exchange rate determination process.
Book Synopsis Essays on the Microstructure of Foreign Exchange Markets by : Anusha Chari
Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Anusha Chari and published by . This book was released on 2000 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Volatility in the Foreign Exchange Market by : Haakon O. Solheim
Download or read book Essays on Volatility in the Foreign Exchange Market written by Haakon O. Solheim and published by . This book was released on 2004 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Foreign Exchange Crises by : Paul Einzig
Download or read book Foreign Exchange Crises written by Paul Einzig and published by . This book was released on 1970 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Latin American Foreign Exchange Market by : Isabel Ruiz
Download or read book Essays on the Latin American Foreign Exchange Market written by Isabel Ruiz and published by . This book was released on 2006 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in International Finance by : Byong-Ju Lee
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Book Synopsis Essays on Foreign Exchange Market Efficiency by : Andrew Charles Szakmary
Download or read book Essays on Foreign Exchange Market Efficiency written by Andrew Charles Szakmary and published by . This book was released on 1989 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Foreign Exchange Market by : Ali Abdelhadi Ali Shehadeh
Download or read book Essays on the Foreign Exchange Market written by Ali Abdelhadi Ali Shehadeh and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Jerome L. Stein Publisher :Princton, N.J. : International Finance Section, Department of Economics, Princeton University ISBN 13 : Total Pages :58 pages Book Rating :4.:/5 (247 download)
Book Synopsis The Nature and Efficiency of the Foreign Exchange Market by : Jerome L. Stein
Download or read book The Nature and Efficiency of the Foreign Exchange Market written by Jerome L. Stein and published by Princton, N.J. : International Finance Section, Department of Economics, Princeton University. This book was released on 1962 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Foreign Exchange Market by : Zhiyong Li
Download or read book Essays on the Foreign Exchange Market written by Zhiyong Li and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Foreign Exchange Market Efficiency Conditions and Implications from Asset Pricing Models by : Mehboob Uddin Ahmed
Download or read book Essays in Foreign Exchange Market Efficiency Conditions and Implications from Asset Pricing Models written by Mehboob Uddin Ahmed and published by . This book was released on 2001 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on China's Foreign Exchange Markets by : Yi David Wang
Download or read book Three Essays on China's Foreign Exchange Markets written by Yi David Wang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a compilation of three essays I wrote during my investigation of China's foreign exchange markets. I list the abstract of each in the following paragraphs. Essay 1: Anomaly in China's Dollar--RMB Forward Market Newly-established data on onshore deliverable US dollar--RMB forwards and the Shanghai Interbank Offered Rate from October 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper hypothesizes that these violations are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China's State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy. Essay 2: Convertibility Restriction in China's Foreign Exchange Market and its Impact on Forward Pricing Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market's expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of future spot rate. Empirical results are consistent with these predictions. Essay 3: The Global Credit Crisis and China's Exchange Rate The case for stabilizing China's exchange rate against the dollar is strong. Before 2005 when the yuan/dollar rate was credibly fixed, it helped anchor China's domestic price level. But gradual RMB appreciation from July 2005 to July 2008 created a "one-way-bet" that disordered China's financial markets in two respects: (1) no private capital outflows to finance China's huge trade surplus leading to an undue build up of official exchange reserves and erosion of monetary control, and (2) a breakdown of the forward exchange market in 2007-08 so that exporters could no longer get trade credit--probably worsening the severe slump in Chinese exports. But after July 2008, the credit crunch induced an unexpected unwinding of the dollar carry trade leading to a sharp appreciation in the dollar's effective exchange rate. The People's Bank of China (PBC) then stopped RMB appreciation against the dollar. China's forward exchange market was restored and monetary control regained. Now the PBC can better support the fiscal stimulus by promoting a parallel expansion of bank credit. But, since March 2009, the fall in the dollar (with the RMB tied to it) again threatens to undermine the yuan/dollar rate and China's monetary stability.
