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Nonlinearity In Deviations From Uncovered Interest Parity An Explanation Of The Forward Bias Puzzle
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Book Synopsis Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle by : Lucio Sarno
Download or read book Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle written by Lucio Sarno and published by International Monetary Fund. This book was released on 2006-05 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow us to reconcile these results with the large empirical literature on the forward bias puzzle since we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the anomalies documented in previous research.
Book Synopsis The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity by : Giorgio Valente
Download or read book The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity written by Giorgio Valente and published by . This book was released on 2005 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide empirical evidence that deviations from the uncovered interest rate parity (UIP) condition display significant nonlinearities, which have a natural interpretation consistent with several recent theories based on transactions costs or limits to speculation in the foreign exchange market. This evidence suggests that the forward bias documented in the literature may be less indicative of major inefficiencies in the foreign exchange market than previously thought. Further, Monte Carlo experiments allow us to reconcile our results with the large empirical literature on the forward bias puzzle since we show that, if the true data generating process of UIP deviations were of the nonlinear form we consider, estimation of conventional linear spot-forward regressions would generate the well known anomalies documented in much previous research.
Book Synopsis Limits to Speculation and Nonlinearity in Deviations from Uncovered Interest Parity by : Lucio Sarno
Download or read book Limits to Speculation and Nonlinearity in Deviations from Uncovered Interest Parity written by Lucio Sarno and published by . This book was released on 2008 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine empirically the hypothesis that limits to speculation in the foreign exchange market may induce nonlinearities in the spot-forward relationship and in the process driving the deviations from the uncovered interest rate parity (UIP) condition. Our empirical results provide strong evidence of nonlinearities which are consistent with a model of deviations from UIP with two extreme regimes: one regime with persistent but tiny deviations from UIP, and another regime where UIP holds. In a battery of Monte Carlo experiments, we show that if the true data generating process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the well known forward bias puzzle and the predictability of foreign exchange excess returns documented in the literature. In turn, these findings have implications for the economic significance of the statistical rejection of foreign exchange market efficiency.
Book Synopsis Nonlinearity in Deviations from Uncovered Parity by : Lucio Sarno
Download or read book Nonlinearity in Deviations from Uncovered Parity written by Lucio Sarno and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Uncovered Interest Parity by : Mr.Peter Isard
Download or read book Uncovered Interest Parity written by Mr.Peter Isard and published by International Monetary Fund. This book was released on 1991-05 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and discusses the implications for macroeconomic analysis. The uncovered interest parity assumption has been an important building block in multiperiod and continuous time models of open economies, and although its validity is strongly challenged by the empirical evidence, its retention in macroeconomic models is supported on pragmatic grounds, at least for the time being, by the lack of much empirical support for existing models of the exchange risk premium.
Book Synopsis Exchange Rate Economics by : Norman C. Miller
Download or read book Exchange Rate Economics written by Norman C. Miller and published by Edward Elgar Publishing. This book was released on 2014-09-26 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Uncovered Interest Parity (UIP) puzzle has remained a moot point since it first circulated economic discourse in 1984 and, despite a number of attempts at a solution, the UIP puzzle and other anomalies in Exchange Rate Economics continue to perplex
Book Synopsis Essays in International Money and Finance by : James R Lothian
Download or read book Essays in International Money and Finance written by James R Lothian and published by World Scientific. This book was released on 2017-06-29 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.
Book Synopsis International Finance by : Keith Pilbeam
Download or read book International Finance written by Keith Pilbeam and published by Bloomsbury Publishing. This book was released on 2023-02-23 with total page 569 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Finance is an established and internationally renowned introduction to the subject. It draws on recent events to provide comprehensive coverage of traditional theories and new research relating to the balance of payments, exchange rate determination and the international monetary system.
Book Synopsis One Currency, Two Markets by : Edwin L.-C. Lai
Download or read book One Currency, Two Markets written by Edwin L.-C. Lai and published by Cambridge University Press. This book was released on 2021-07-08 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic analysis of the future of the international monetary system and the USD, and the rising importance of the RMB.
Book Synopsis TURKISH ECONOMIC ASSOCIATION INTERNATIONAL CONFERENCE ON ECONOMICS ICE-TEA 2018 by : Ercan Uygur
Download or read book TURKISH ECONOMIC ASSOCIATION INTERNATIONAL CONFERENCE ON ECONOMICS ICE-TEA 2018 written by Ercan Uygur and published by Türkiye Ekonomi Kurumu. This book was released on 2018-12-31 with total page 2118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book IMF Research Bulletin written by and published by . This book was released on 2004 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Palgrave Handbook of Econometrics by : Terence C. Mills
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Palgrave Handbook of Econometr. This book was released on 2009-06-25 with total page 1432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Palgrave Handbooks of Econometrics comprises 'landmark' essays by the world's leading scholars and provides authoritative guidance in key areas of econometrics. With definitive contributions on the subject, the Handbook is an essential source for reference for professional econometricians, economists, researchers and students. Following the successful Palgrave Handbook of Econometrics: Volume 1, this second volume brings together leading academics working in econometrics today and explores applied econometrics. Volume 2 contains contributions on subjects including growth/development econometrics, computing, microeconomics, macroeconomics, finance, spatial and urban economics and international economics.
Book Synopsis International Macroeconomics by : Robert C. Feenstra
Download or read book International Macroeconomics written by Robert C. Feenstra and published by Macmillan. This book was released on 2011-03 with total page 984 pages. Available in PDF, EPUB and Kindle. Book excerpt: Combining classic international economics with straight-from-the- headlines immediacy, Feenstra and Taylor’s text seamlessly integrates the subject’s established core content with topic areas and ideas that have emerged from recent empirical studies. A MODERN APPROACH FOR THE 21ST CENTURY International economics texts traditionally place greater emphasis on theory and a strong focus on the advanced countries. Feenstra/Taylor links theory to empirical evidence throughout the book, and incorporates coverage of emerging markets and developing economies (India, China, SE Asia) to reflect the evolving realities of the global economy. The new edition has been extensively revised and updated, especially in light of the ongoing world financial crisis. NOTE: Feenstra/Taylor, International Economics, Second Edition, is available in four versions: International Economics, 2e: 1-4292-3118-1 International Trade, 2e: 1-4292-4104-7 International Macroeconomics, 2e: 1-4292-4103-9 Essentials of International Economics, 2e: 1-4292-7710-5
Book Synopsis International Macroeconomics in the Wake of the Global Financial Crisis by : Laurent Ferrara
Download or read book International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Book Synopsis Exchange Rate Economics by : Norman C. Miller
Download or read book Exchange Rate Economics written by Norman C. Miller and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Uncovered Interest Parity (UIP) puzzle has remained a moot point since it first circulated economic discourse in 1984 and, despite a number of attempts at a solution, the UIP puzzle and other anomalies in Exchange Rate Economics continue to perplex economic thought in international finance. This fundamental book fill gaps in scholarly literature by amalgamating key discourse to generate synthesis models which appear consistent with the UIP puzzle and related anomalies, uniquely bringing them together in one place. Through a comprehensive and current review of the literature, Norman C. Miller reveals new explanations for exchange rate anomalies and offers an alternative approach towards the UIP puzzle, stimulating and guiding future research.
Book Synopsis Imperfect Knowledge Economics by : Roman Frydman
Download or read book Imperfect Knowledge Economics written by Roman Frydman and published by Princeton University Press. This book was released on 2023-09-26 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Posing a major challenge to economic orthodoxy, Imperfect Knowledge Economics asserts that exact models of purposeful human behavior are beyond the reach of economic analysis. Roman Frydman and Michael Goldberg argue that the longstanding empirical failures of conventional economic models stem from their futile efforts to make exact predictions about the consequences of rational, self-interested behavior. Such predictions, based on mechanistic models of human behavior, disregard the importance of individual creativity and unforeseeable sociopolitical change. Scientific though these explanations may appear, they usually fail to predict how markets behave. And, the authors contend, recent behavioral models of the market are no less mechanistic than their conventional counterparts: they aim to generate exact predictions of "irrational" human behavior. Frydman and Goldberg offer a long-overdue response to the shortcomings of conventional economic models. Drawing attention to the inherent limits of economists' knowledge, they introduce a new approach to economic analysis: Imperfect Knowledge Economics (IKE). IKE rejects exact quantitative predictions of individual decisions and market outcomes in favor of mathematical models that generate only qualitative predictions of economic change. Using the foreign exchange market as a testing ground for IKE, this book sheds new light on exchange-rate and risk-premium movements, which have confounded conventional models for decades. Offering a fresh way to think about markets and representing a potential turning point in economics, Imperfect Knowledge Economics will be essential reading for economists, policymakers, and professional investors.
Book Synopsis Currency and International Equity Trading Strategies and the Behavior of Exchange Rates by : Sanders S. Chang
Download or read book Currency and International Equity Trading Strategies and the Behavior of Exchange Rates written by Sanders S. Chang and published by . This book was released on 2010 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
