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Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options
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Author :Christian Pierdzioch Publisher :Springer Science & Business Media ISBN 13 :9783540427452 Total Pages :232 pages Book Rating :4.4/5 (274 download)
Book Synopsis Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options by : Christian Pierdzioch
Download or read book Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options written by Christian Pierdzioch and published by Springer Science & Business Media. This book was released on 2001-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Book Synopsis Central Bank Participation in Currency Options Markets by : Mr.Peter Breuer
Download or read book Central Bank Participation in Currency Options Markets written by Mr.Peter Breuer and published by International Monetary Fund. This book was released on 1999-10-01 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that selling rather than buying options will result in market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective. Selling a “strangle” allows a central bank to increase the credibility of its commitment to a target zone, and could have a lower expected cost than spot market interventions. However, this strategy also exposes the central bank to an unlimited loss potential.
Book Synopsis Global Governance: An Architecture for the World Economy by : Horst Siebert
Download or read book Global Governance: An Architecture for the World Economy written by Horst Siebert and published by Springer Science & Business Media. This book was released on 2003-06-24 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Globalization deeply affects economic structures and raises the issue of how governments should respond to new challenges. In this book, various ways of improving the institutional setup for global governance are discussed by renowned experts. The discussion focuses on further liberalizing international trade, preventing international financial crises, and protecting global environmental systems. The advantages of free international trade as well as the fears of those who are against globalization are considered in the contributions.
Download or read book Kiel Reports written by and published by . This book was released on 2000 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Economic Literature written by and published by . This book was released on 2002 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Bulletin by : Deutsches Institut für Wirtschaftsforschung
Download or read book Economic Bulletin written by Deutsches Institut für Wirtschaftsforschung and published by . This book was released on 2002 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Central Bank Emergency Support to Securities Markets by : Darryl King
Download or read book Central Bank Emergency Support to Securities Markets written by Darryl King and published by International Monetary Fund. This book was released on 2017-07-10 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the central bank mandate with respect to financial stability and identifies the links to the functioning of securities markets. It argues that while emergency support to securities markets is an important part of the crisis management response, a high bar should be set for its use. Importantly, it should be used only as part of a comprehensive policy package. The paper considers what types of securities markets may be important for financial stability, what market conditions could trigger emergency support measures, and how programs can be designed to restore market functioning while minimizing moral hazard.
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2003 with total page 1182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Earlier place of publication varies.
Book Synopsis The Microstructure of Foreign Exchange Markets by : Jeffrey A. Frankel
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Book Synopsis The Japanese Yen as an International Currency by : Mr.George S. Tavlas
Download or read book The Japanese Yen as an International Currency written by Mr.George S. Tavlas and published by International Monetary Fund. This book was released on 1991-01-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of the Japanese yen as an international currency is assessed. It is found that the determinants of international-currency use imply some increase for the yen’s use in international finance; however, the implications for the yen’s use in international trade are mixed. It is also shown that, despite Japan’s emergence as the world’s largest net creditor nation, Japan’s capital outflows have not significantly facilitated the yen’s internationalization. Data are presented showing that, although the yen’s use as an international currency has increased, it is still rather modest. Wider use of the yen as a regional currency in Asia has occurred, though a “yen-zone” does not appear to be emerging.
Book Synopsis Noise Traders and Herding Behavior by : Lee Scott Redding
Download or read book Noise Traders and Herding Behavior written by Lee Scott Redding and published by International Monetary Fund. This book was released on 1996-09-01 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent developments in financial economics have included many explorations into market microstructure, that is, the internal functioning of markets and the ways in which they provide liquidity to traders. An important contribution of this literature is that prices can deviate from their fundamental values. This paper describes models of imperfect liquidity and improperly processed information in financial markets, focusing on the noise trader and investor herding literature. The motivations for this line of research are presented, followed by a description of some of the major contributions and tests of some of their empirical implications.
Book Synopsis The Microstructure Approach to Exchange Rates by : Richard K. Lyons
Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.
Book Synopsis American Book Publishing Record by :
Download or read book American Book Publishing Record written by and published by . This book was released on 2002 with total page 2252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Economics by : Ronald MacDonald
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Download or read book Document de Travail written by and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis How Do Central Banks Talk? by : Alan S. Blinder
Download or read book How Do Central Banks Talk? written by Alan S. Blinder and published by Centre for Economic Policy Research. This book was released on 2001 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Not long ago, secrecy was the byword in central banking circles, but now the unmistakable trend is towards greater openness and transparency. This, the third Geneva Report on the World Economy, describes and evaluates some of the changes in how central banks talk to the markets, to the press, and to the public. The report first assesses the case for transparency ? defined as providing sufficient information for the public to understand the policy regime ? and concludes that it is very strong, based on both policy effectiveness and democratic accountability. It then examines what should be the content of communication and argues that central banks ought to spell out their long-run objectives and methods. It then investigates the link between the decision-making process and central bank communication, drawing a distinction between individualistic and collegial committees. The report concludes with a review of the communications strategies of some of the main central banks.
