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Exchange Rates Equity Prices And Capital Flows
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Book Synopsis Exchange Rates, Equity Prices and Capital Flows by : Harald Hau
Download or read book Exchange Rates, Equity Prices and Capital Flows written by Harald Hau and published by . This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns in the home equity market relative to the foreign equity market are associated with a home currency depreciation; 3) net equity flows into the foreign market are positively correlated with a foreign currency appreciation. The model predictions are strongly supported at daily, monthly and quarterly frequencies for 17 OECD countries vis- ...-vis the U.S. Moreover, correlations are strongest after 1990 and for countries with higher market capitalization relative to GDP, suggesting that the observed exchange rate dynamics is indeed related to equity market development.
Book Synopsis Private Information, Capital Flows, and Exchange Rates by : Mr.Jacob Gyntelberg
Download or read book Private Information, Capital Flows, and Exchange Rates written by Mr.Jacob Gyntelberg and published by International Monetary Fund. This book was released on 2012-08-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors’ stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors’ transactions in government bond markets do not. We relate these differences in the price impact of capital flows to differences in the amounts of private information conveyed by these flows. Our empirical findings are based on novel, daily-frequency datasets on prices and quantities of all transactions of foreign investors in the stock, bond, and onshore FX markets of Thailand.
Book Synopsis Managing Capital Flows and Exchange Rates by : Reuven Glick
Download or read book Managing Capital Flows and Exchange Rates written by Reuven Glick and published by Cambridge University Press. This book was released on 1998-06-13 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is a very timely book that brings the reader to the forefront of current research on macroeconomic policy issues in economies subject to sizable capital flows".--Guillermo A. Calvo, University of Maryland.
Book Synopsis Exchange Rates, Capital Flows and Policy by : Rebecca Driver
Download or read book Exchange Rates, Capital Flows and Policy written by Rebecca Driver and published by Routledge. This book was released on 2013-04-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Combining thorough scholarship with illuminating real-world examples, this edited collection provides insights on the causes and consequences of movements in both exchange rates and external assets and has a strong focus on the policy implications of operating in an open economy, particularly the choice of exchange rate and monetary policy, exchange rate intervention and policies on capital mobility.
Book Synopsis Capital Flows and Exchange Rates by : Gregorios Siourounis
Download or read book Capital Flows and Exchange Rates written by Gregorios Siourounis and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical relationship between capital flows and nominal exchange rates for five major countries. It is well known that no theory, based on current account or interest rates, has ever been shown to work empirically at short to medium horizons. Recent international finance theory, however, suggests that currencies are influenced by capital flows as much as by current account balances and long-term interest rates. Using unrestricted VAR's, we document the following: a) Incorporating net cross-border equity flows into linear exchange rate models can improve their in-sample performance. Using net cross-border bond flows, however, has no such effect; b) Positive shocks to home equity returns (relative to foreign markets) are associated with short-run home currency appreciation and equity inflow. Positive shocks to home interest rates (relative to foreign countries) cause currency movements that are not consistent with uncovered interest rate parity (UIP); c) An equity-augmented linear model supports exchange rate predictability and outperforms a random walk in several cases. Such superior forecast performance, however, depends on the exchange rate and the forecast horizon.
Book Synopsis CAPITAL FLOWS, EXCHANGE RATES, GDP AND STOCK PRICES IMPLICATIONS FOR FINANCIAL STABILITY by : Kaur Jaspreet
Download or read book CAPITAL FLOWS, EXCHANGE RATES, GDP AND STOCK PRICES IMPLICATIONS FOR FINANCIAL STABILITY written by Kaur Jaspreet and published by . This book was released on 2023-02-12 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the current global environment, economists are continuously thriving to keep the pace of meeting global challenges faced by their economies. The trends in this environment are inclusive of the liquidity and asset price bubbles problems. The world economies have been continuously engaged in dealing with dim sides of liberalization and globalization policies after . The externalities of these policies have tended the economists to take rational decisions in order to strike the balance between different macroeconomic variables and hence achieve the objective of the financial stability in the economy. In particular, the Emerging Market Economies have been recorded to be the destinations, where a larger bunch of the conditions leading to financial instability, can be observed. Also, it is seen that the typical banking system, exchange rate regimes, foreign funds inflows, are majorly playing role in these economies. Getting more specific, in the past years, Emerging Markets have faced a lot of the financial shocks and triggers, whether it is Asian Financial Crisisor Global Financial Crisis. The reasons behind these crises are identified to be the unfruitful policies of Central Banks, poor debt management structure, stiffness to the exchange rate and trade, and volatile capital flows.
Book Synopsis Exchange Rates and Capital Flows by : Robin Brooks
Download or read book Exchange Rates and Capital Flows written by Robin Brooks and published by . This book was released on 2006 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the ability of portfolio and foreign direct investment flows to track movements in the euro and the yen against the dollar. Net portfolio flows from the euro area into U.S. stocks - possibly reflecting differences in expected productivity growth - track movements in the euro against the dollar closely. Net FDI flows, which capture the recent burst in cross-border Mamp;A activity, appear less important in tracking movements in the euro-dollar rate, possibly because many Mamp;A transactions consist of share swaps. Movements in the yen versus the dollar remain more closely tied to such conventional variables as the current account and interest differential.
Book Synopsis Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets by : Nasha Ananchotikul
Download or read book Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets written by Nasha Ananchotikul and published by International Monetary Fund. This book was released on 2014-08-19 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.
Book Synopsis Exchange Rates and Capital Flows by : Hali J. Edison
Download or read book Exchange Rates and Capital Flows written by Hali J. Edison and published by INTERNATIONAL MONETARY FUND. This book was released on 2001-12-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the ability of portfolio and foreign direct investment flows to track movements in the euro and the yen against the dollar. Net portfolio flows from the euro area into U.S. stocks—possibly reflecting differences in expected productivity growth—track movements in the euro against the dollar closely. Net FDI flows, which capture the recent burst in cross-border M&A activity, appear less important in tracking movements in the euro-dollar rate, possibly because many M&A transactions consist of share swaps. Movements in the yen versus the dollar remain more closely tied to such conventional variables as the current account and interest differential.
Book Synopsis Capital Flows, Exchange Rate Flexibility, and the Real Exchange Rate by : Mr.Tidiane Kinda
Download or read book Capital Flows, Exchange Rate Flexibility, and the Real Exchange Rate written by Mr.Tidiane Kinda and published by International Monetary Fund. This book was released on 2011-01-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the impact of capital inflows and exchange rate flexibility on the real exchange rate in developing countries based on panel cointegration techniques. The results show that public and private flows are associated with a real exchange rate appreciation. Among private flows, portfolio investment has the highest appreciation effect-almost seven times that of foreign direct investment or bank loans-and private transfers have the lowest effect. Using a de facto measure of exchange rate flexibility, we find that a more flexible exchange rate helps to dampen appreciation of the real exchange rate stemming from capital inflows.
Author :Thomas D. Willett Publisher :Princeton, N.J. : International Finance Section, Princeton University ISBN 13 : Total Pages :46 pages Book Rating :4.4/5 (91 download)
Book Synopsis Exchange-rate Systems, Interest Rates, and Capital Flows by : Thomas D. Willett
Download or read book Exchange-rate Systems, Interest Rates, and Capital Flows written by Thomas D. Willett and published by Princeton, N.J. : International Finance Section, Princeton University. This book was released on 1970 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Currencies and Equity Flows by : Maxym Chaban
Download or read book Commodity Currencies and Equity Flows written by Maxym Chaban and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the relationship among the prices of natural resources, returns on equity and nominal exchange rates of the developed countries where primary commodities are an important share of exports: Australia, Canada and New Zealand. It is found that the portfolio rebalancing motive of Hau and Rey [2006. Exchange rates, equity prices, and capital flows. Review of Financial Studies 19 (1), 273-317] is weaker for these countries. One possible explanation of this finding is that commodity prices due to their flexibility play a special role in the transmission of shocks by linking equity markets across countries and reducing the need for portfolio rebalancing.
Book Synopsis Fundamental Determinants of Exchange Rates by : Jerome L. Stein
Download or read book Fundamental Determinants of Exchange Rates written by Jerome L. Stein and published by Clarendon Press. This book was released on 1998-04-30 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing models fail to explain the large fluctuations in the real exchange rates of most currencies over the past twenty years. The Natural Real Exchange Rate approach (NATREX) taken here offers an alternative paradigm to those which focus on short-run movements of nominal eschange rates, purchasing power parity of the representative agent intertemporal optimization models. Yet it is also neo-classical in its stress upon the accepted fundamentals driving a real economy. It concentrates on the real exchange rate, and explains medium- tolong-run movements in equilibrium real exchange rates in terms of fundamental variables: the productivity of capital and social (public plus private) thrift at home and abroad. The NATREX approach is a family of growth models, each tailored to the characteristics of the countries considered. The authors explain the real international value of the US dollar relativ to the G10 countries, and the US current account. These are two large economies. The model is also applied to small economies, where it explains the real value of the Australian dollar and the Latin American currencies relative to the US dollar. The model is relevant for developing countries where the foreign debt is a concern. Finally, it is applied to two medium-sized economies to explain the bilateral exchange rate between the French franc and the Deutsche Mark. The authors demonstrate both the promise of the NATREX model and its applicability to economies large and small. Alongside the analysis, econometrics, and technical details of these case studies, the introductory chapter explains in accessible terms the rationale behind the approach. The mix of theory and empirical evidence makes this book relevant to academics and advanced graduate students, and to central banks, ministries of finance, and those concerned with the foreign debt of developing countries.
Book Synopsis Dynamic Interactions of Capital Flows Stock Prices, Exchange Rates, and Interest Rates by : Wan-sing Hung (Bill)
Download or read book Dynamic Interactions of Capital Flows Stock Prices, Exchange Rates, and Interest Rates written by Wan-sing Hung (Bill) and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Capital Flows by : Martin Feldstein
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Book Synopsis Capital Mobility, Exchange Rates, and Economic Crises by : George Fane
Download or read book Capital Mobility, Exchange Rates, and Economic Crises written by George Fane and published by Edward Elgar Publishing. This book was released on 2000-01-01 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: If flexible exchange rates are not adopted, central banks should at least avoid the widespread practice of trying to sterilise the monetary effects of capital flows." "The author argues that the implementation of this plan will be a far more effective way of enhancing financial stability than controlling international capital flows, or trying to force private lenders to make new loans to countries that suffer crises."--BOOK JACKET.
Book Synopsis Taming the Tide of Capital Flows by : Atish R. Ghosh
Download or read book Taming the Tide of Capital Flows written by Atish R. Ghosh and published by MIT Press. This book was released on 2018-01-12 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive examination of policy measures intended to help emerging markets contend with large and volatile capital flows. While always episodic in nature, capital flows to emerging market economies have been especially volatile since the global financial crisis. After peaking at $680 billion in 2007, flows to emerging markets turned negative at the onset of crisis in 2008, then rebounded only to recede again during the U.S. sovereign debt downgrade in 2011. Since then, flows have continued to swing wildly, leaving emerging market policy makers wondering whether they can put in place policies during the inflow phase that will soften the blow when flows subsequently recede. This book offers the first comprehensive treatment of policy measures intended to help emerging markets contend with large and volatile capital flows. The authors, all IMF experts, explain that, in the spirit of liberalization and deregulation in the 1980s and 1990s, many emerging market governments eliminated capital inflow controls along with outflow controls. By 2012, however, capital inflow controls were again acknowledged as legitimate policy tools. Focusing on the macroeconomic and financial-stability risks associated with capital flows, the authors combine theoretical and empirical analysis to consider the interaction between monetary, exchange rate, macroprudential, and capital control policies to mitigate these risks. They examine the effectiveness of various policy tools, discuss the practical considerations and multilateral implications of their use, and provide concrete policy advice for dealing with capital inflows.
