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Author : Ronald MacDonald
Publisher :
ISBN 13 :
Total Pages : 552 pages
Book Rating : 4.:/5 (321 download)
Download or read book Exchange Rate Economics: Foreign exchange market efficiency written by Ronald MacDonald and published by . This book was released on 1992 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R. Hodrick
Publisher : Routledge
ISBN 13 : 1136455213
Total Pages : 185 pages
Book Rating : 4.1/5 (364 download)
Download or read book The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by R. Hodrick and published by Routledge. This book was released on 2014-05-01 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author : Craig Hakkio
Publisher : Routledge
ISBN 13 : 1351801686
Total Pages : 100 pages
Book Rating : 4.3/5 (518 download)
Download or read book Expectations and the Foreign Exchange Market written by Craig Hakkio and published by Routledge. This book was released on 2017-04-21 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
Author : Mr.Mark P. Taylor
Publisher : International Monetary Fund
ISBN 13 : 1451964390
Total Pages : 61 pages
Book Rating : 4.4/5 (519 download)
Download or read book Exchange Rate Economics written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-06-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss the extant empirical evidence on these models and conclude by discussing how the future research strategy in the area of exchange rate determination is likely to develop. We also discuss the literature on foreign exchange market efficiency, on exchange rates and ‘news’ and on international parity conditions.
Author : Ronald MacDonald
Publisher : Psychology Press
ISBN 13 : 0415125510
Total Pages : 465 pages
Book Rating : 4.4/5 (151 download)
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Psychology Press. This book was released on 2007 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the influence of fiscal policy on exchange rates, recent development in the econometric modelling of exchange rates, and exchange rate modelling for developing countries.
Author : Kathryn Dominguez
Publisher : Routledge
ISBN 13 : 1317559126
Total Pages : 122 pages
Book Rating : 4.3/5 (175 download)
Download or read book Exchange Rate Efficiency and the Behavior of International Asset Markets (Routledge Revivals) written by Kathryn Dominguez and published by Routledge. This book was released on 2014-10-20 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 1992, examines the subject of foreign exchange market efficiency and, in particular, the effectiveness of central bank intervention in the market. This book is ideal for students of economics.
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 : Jacob A. Frenkel
Publisher : Routledge
ISBN 13 : 1135039461
Total Pages : 252 pages
Book Rating : 4.1/5 (35 download)
Download or read book The Economics of Exchange Rates (Collected Works of Harry Johnson) written by Jacob A. Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: The studies in this book deal with the determination of foreign exchange rates and the characteristics of the foreign exchange market. Analysis is made of flexible exchange rates through an approach developed by the authors, called the ‘asset-market approach’. Theory is combined with practical application in a clear concise way that will be understood by readers with a basic understanding of economics.
Author : Robert J. Hodrick
Publisher : CRC Press
ISBN 13 : 1000943380
Total Pages : 190 pages
Book Rating : 4.0/5 (9 download)
Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author : Simon Brooks
Publisher : Routledge
ISBN 13 : 1351757520
Total Pages : 375 pages
Book Rating : 4.3/5 (517 download)
Download or read book The Exchange Rate Environment written by Simon Brooks and published by Routledge. This book was released on 2017-04-21 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1986. This helpful text sets out what appears to make exchange rates change and shows how these various factors contribute to an explanation of the past. It considers the problems of providing satisfactory forecasts of the exchange rate while presenting the methods used, outlining their drawbacks and speculating on future ways forward. Laid out to move from empirical issues to theory and on to policy, this book is easily of use to those interested in macroeconomics, applied economics and international economics as well as economic history.
Author : Noureddine Menaagri
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (181 download)
Download or read book Exchange Rate Determination, Foreign Exchange Market Efficiency written by Noureddine Menaagri and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Costas I. Karfakis
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book Exchange Rate Convergence and Market Efficiency written by Costas I. Karfakis and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jacob A. Frenkel
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (657 download)
Download or read book Efficiency of Foreign Exchange Markets and Measures of Turbulence written by Jacob A. Frenkel and published by . This book was released on 1980 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the move to generalized floating in1973, exchange rates between major currencies have displayed large fluctuations. This turbulence of foreign exchange rates is an important concern of government policy and its explanation is a challenge for theories of foreign exchange market behavior. In Section I of this paper, we document the extent of turbulence in foreign exchange markets by examining (i) the magnitude of short-run variations in exchange rates relative to other measures of economic variability; (ii) the degree of divergence between actual and expected changes in exchange rates; and (iii) the extent to which exchange-rate movements have diverged from movements of relative national price levels. In Section II, we provide a general explanation of this turbulence in terms of the modern "asset market theory" to exchange-rate determination. This theory emphasizes that exchange rates, like the prices of other assets determined in organized markets, are strongly influenced by the market's expectation of future events. In this context, we also discuss the narrower technical question of "foreign exchange market efficiency." Finally, in Section III, we address the question of whether turbulence in the foreign exchange markets has been "excessive" and what policy measures can (or should) be taken to reduce it
Author : Lucio Sarno
Publisher :
ISBN 13 :
Total Pages : 344 pages
Book Rating : 4.F/5 ( download)
Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by . This book was released on 2002 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Table of contents
Author : Masahiro Hori
Publisher : International Monetary Fund
ISBN 13 : 1451870574
Total Pages : 32 pages
Book Rating : 4.4/5 (518 download)
Download or read book Efficiency Costs of Myanmar’s Multiple Exchange Rate Regime written by Masahiro Hori and published by International Monetary Fund. This book was released on 2008-08-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Myanmar's multiple exchange rate system creates various economic distortions. This paper describes the exchange rate practices in Myanmar, develops a model of foreign exchange markets, and presents the efficiency costs imposed by quasi-fiscal operation under the current exchange rate regime. The results of our model-based analyses indicate that the equilibrium exchange rate under the unified market could be at around K 400-500 per U.S. dollar, and using the equilibrium exchange rate (instead of the official exchange rate) as the accounting rate increases trade openness to more than 20 percent from less than 1 percent measured by official statistics. The total efficiency loss caused by the current multiple exchange rate regime is estimated at about 14-17 percent of GDP in 2006/07.
Author : Richard E. Baldwin
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
Download or read book Re-interpreting the Failure of Foreign Exchange Market Efficiency Tests written by Richard E. Baldwin and published by . This book was released on 1990 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Small transaction costs and uncertainty imply that optimal cross-currency interest rate speculation is marked by a first-order hysteresis band. Consequently uncovered interest parity does not hold and market efficiency tests based on it are misspecified. Indeed measured prediction errors are a combination of true prediction errors and a wedge that consists of the "option value" of being in foreign currency and either plus or minus the transaction cost. Due to the nature of this wedge, we should expect measured prediction errors to be serially correlated, correlated with the current forward rate and perhaps have a non-zero mean, if the interest differential itself is serially correlated. The existence of the wedge helps account both for the failure of market efficiency tests and the difficulties in finding an empirically successful model of the risk premium
Author : Laurence S. Copeland
Publisher : Financial Times/Prentice Hall
ISBN 13 :
Total Pages : 516 pages
Book Rating : 4.:/5 (321 download)
Download or read book Exchange Rates and International Finance written by Laurence S. Copeland and published by Financial Times/Prentice Hall. This book was released on 2000 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange Rates and International Finance looks at exchange rates and their fluctuation, change and effect. Topics covered include prices in the open economy, flexible prices and market efficiency.
