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Author : B. A. Goss
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book Expectations and Forecasting in the US Dollar/British Pound Market written by B. A. Goss and published by . This book was released on 1994 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qianying Chen
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (13 download)
Download or read book Exchange Rate Dynamics, Expectations, and Monetary Policy written by Qianying Chen and published by . This book was released on 2016 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy for market expectations. The analysis on the Deutsche mark, Canadian dollar, Japanese yen, and the British pound relative to the U.S. dollar from 1979 to 2008 shows that, through the expectations of future monetary policy, Taylor rule fundamentals are able to forecast changes in the exchange rate, even over short-term horizons of less than two years. Furthermore, the market expectation formation processes of short-term interest rates change over time and differ across countries, which contributes to the time varying relationship between exchange rates and macroeconomic fundamentals, together with the time varying currency risk premia and exchange rate forecast errors.
Author : David Stamp
Publisher : Financial Times/Prentice Hall
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.F/5 ( download)
Download or read book Market Prophets written by David Stamp and published by Financial Times/Prentice Hall. This book was released on 2002 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In Market Prophets , David Stamp enjoyably shows how fallible financial forecasts are. Yet the public demand for them, particularly by exactly the same politicians who claim to be most sceptical, shows no signs of abating. One needs a balanced judgment on the uses and abuses of economic forecasting. This book is good on the potential abuses of forecasts. I hope that he will also write a companion on how to use forecasts more sensibly." - Charles Goodhart, Professor of Banking and Finance at the London School of Economics Can the U.S. economy fully recover from the twin blows of September 11 and the technology crash, or will the prosperous 1990s fade to a distant memory for ordinary Americans? If the United States stumbles, what hope is there for people across the industrial nations, let alone the hundreds of millions trying to escape poverty in the Third World? Will Wall Street soar, crash or stagnate? Are world interest rates heading up or down? Is the euro's nose-dive finally over and will Britain ever adopt the common currency? Financial markets have spawned a forecasting industry to answer such questions serving everyone from private investors to multinational corporations, central banks and the world's governments. But can anyone predict the seemingly unpredicatable? Market Prophets is a guide to the financial forecasting business: an analysis of how the pundits succeed and fail in predicting the ups and downs of markets and economies. It asks if we should pay attention to these soothsayers and, if so, which ones?
Author : Barry Goss
Publisher : Routledge
ISBN 13 : 1135639434
Total Pages : 190 pages
Book Rating : 4.1/5 (356 download)
Download or read book Models of Futures Markets written by Barry Goss and published by Routledge. This book was released on 2013-05-13 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents an entirely new analysis of the economics of futures markets, that will be of interest to both specialists in the area and the generalist economist seeking a new perspective. Through a combination of theoretical investigation and empirical application, three important themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation.
Author : Sabri Boubaker
Publisher : World Scientific
ISBN 13 : 9813236663
Total Pages : 828 pages
Book Rating : 4.8/5 (132 download)
Download or read book Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Author : Martin Mandler
Publisher : Springer Science & Business Media
ISBN 13 : 3642574289
Total Pages : 227 pages
Book Rating : 4.6/5 (425 download)
Download or read book Market Expectations and Option Prices written by Martin Mandler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities........ .. 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model... . . .. . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation ............................................... 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . .. 13 2.4 Summary............................................... 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model .................................................. 16 Appendix 2B: Some Further Details on the Replication Strategy ... 21 3 Survey of the Related Literature .......................... 23 3.1 The Information Content of Forward and Futures Prices. . . .. . 24 3.2 The Information Content of Implied Volatilities ............. 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density .......................................... 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . .. . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . .. 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium ..... . . . . . . . . . . . . . . . . . . .. . . 45 . . . . . . .
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451975007
Total Pages : 32 pages
Book Rating : 4.4/5 (519 download)
Download or read book Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-05-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author :
Publisher :
ISBN 13 :
Total Pages : 152 pages
Book Rating : 4.3/5 (121 download)
Download or read book Expectations and the Economy written by and published by . This book was released on 1981 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ravi Balakrishnan
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book U.S. Dollar Risk Premiums and Capital Flows written by Ravi Balakrishnan and published by International Monetary Fund. This book was released on 2006-06 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on the attractiveness of U.S. assets by studying dollar risk premiums, calculated using Consensus exchange rate forecasts, and linking them to bilateral capital flows. The paper finds that the presence of negative dollar risk premiums (i.e. expectations of a dollar depreciation net of interest rate effects) amid record capital inflows could suggest that investors may favor U.S. assets for structural reasons. One possible explanation could be that the Asian crisis created a large pool of savings searching for relatively riskless investment opportunities, which were provided by deep, liquid, and innovative U.S. financial markets with robust investor protection. Moreover, the continued attractiveness of U.S. financial markets to European investors suggests that they offer a large array of assets, with different risk/return characteristics, that facilitate the structuring of diversified investment portfolios. Looking forward, this suggests that the allocative efficiency of U.S. financial markets could mitigate risks of a disorderly unwinding of global current account imbalances.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 145197020X
Total Pages : 36 pages
Book Rating : 4.4/5 (519 download)
Download or read book Exchange Rate Expectations written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-06-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a brief survey of the empirical literature on survey-based exchange rate expectations. The literature in general supports the presence of a non-zero risk premium and rejects the hypothesis of rational expectations. The crucial result is that, while short-run expectations tend to move away from some long-run “normal” values, long-run expectations tend to regress toward them. If this nature of short-run expectations increases the volatility of exchange rate movements, there may be a basis for some official measure to minimize short-run exchange rate movements.
Author :
Publisher :
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.3/5 (555 download)
Download or read book FAA Aviation Forecasts written by and published by . This book was released on 1998 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : François Gardes
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.F/5 ( download)
Download or read book Price Expectations in Goods and Financial Markets written by François Gardes and published by Edward Elgar Publishing. This book was released on 2000 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists and scholars in related fields discuss the concept of rationality of expectations from both a theoretical and an empirical point of view, and at both individual and collective levels. Concerning the first aspect, the book focuses on how agents collect and process information and how market opinion is formed. Concerning the second aspect, it presents studies based on individual price expectations and on the consensus revealed by survey data. Contributors analyze price expectations in a variety of markets, periods, and countries, paying special attention to financial markets which have represented the main field of study over the last ten years. Annotation copyrighted by Book News Inc., Portland, OR
Author :
Publisher :
ISBN 13 :
Total Pages : 298 pages
Book Rating : 4.3/5 (555 download)
Download or read book FAA Aerospace Forecasts written by and published by . This book was released on 2001 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 4 pages
Book Rating : 4.:/5 (319 download)
Download or read book Farm Broadcasters Letter written by and published by . This book was released on 1985 with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas J. O'Brien
Publisher : Business Expert Press
ISBN 13 : 1631576135
Total Pages : 175 pages
Book Rating : 4.6/5 (315 download)
Download or read book Introduction to Foreign Exchange Rates, Second Edition written by Thomas J. O'Brien and published by Business Expert Press. This book was released on 2016-12-02 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: As managers expand their international business operations, they are confronted by the puzzling and vexing world of foreign exchange (FX) rates. This book is designed as a resource that can help managers quickly understand and navigate the FX market. The text may be used as an introductory module in a course in international finance, whether the course is oriented to international markets, international investments, or international corporate finance. The primary intended audience is an applied MBA course aimed at executives, managers, and would-be managers. After an introduction to FX rates, the author covers the important topic FX rate valuation. It is important for managers to understand when an FX rate may be incorrectly valued, as this situation may have a bearing on corporate decisions on strategy, risk management, capital structure, and overseas investments and operations. He also discusses the mechanics of forward FX contracts and their use in managing the risk of future foreign currency cash flow and includes a case that unifies the ideas. The case company is faced with FX exposure in the revenues from a proposed new foreign customer. The decision maker applies the text material to estimate whether the FX rate is over-, under-, or correctly valued. The final decisions are whether to expand sales to the foreign market and whether to hedge the FX risk.
Author : James Morrell
Publisher : Routledge
ISBN 13 : 1351744577
Total Pages : 170 pages
Book Rating : 4.3/5 (517 download)
Download or read book How to Forecast: A Guide for Business written by James Morrell and published by Routledge. This book was released on 2017-11-22 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2001. Forecasting is an essential discipline in the planning and running of a business: not only for the business plan and annual budget but for the appraisal of investment projects, the commissioning of research as well as the appraisal of the competition and the feasibility of making acquisitions. Managers are continually confronted with the need to take decisions, and being able to construct a route map of the future is a key way of determining a course of action. This book offers a practical guide to forecasting the environment in which a firm operates. The author goes through the key areas which can affect a business. He includes those which are out of the firm's control such as fiscal and monetary policy, population levels and the labour market; and those that are, such as costs, prices, profits and product development.
