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Short Run And Long Run Expectations Of The Yen Dollar Exchange Rate
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Book Synopsis Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate by : Takatoshi Itō
Download or read book Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate written by Takatoshi Itō and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features. First, the expected exchange rate changes in the short horizon (one month) are of the band-wagon type while the expected changes in the long horizon (three to six months) are of the mean- reversion type. That is, foreign exchange traders infer from recent appreciations or depreciation that the recent change in the exchange rate will continue for a while, but the direction of changes will reverse, eventually. Second, this result is robust for the entire sample period, which includes sub-periods of sharp yen appreciations and of relative calm, and with respect to different specifications. Third, the deviation from an equilibrium exchange rate does not yield a robust estimate in the regression of expectation formation. Although the history of the yen/dollar exchange rate fluctuations in the past two decades shows mean reversion over several years, they are not captured in the six-month expectations in the survey data.
Book Synopsis Anatomy of Sudden Yen Appreciations by : Mr.Fei Han
Download or read book Anatomy of Sudden Yen Appreciations written by Mr.Fei Han and published by International Monetary Fund. This book was released on 2019-07-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The yen is an important barometer for the Japanese economy. Depreciations are typically associated with favorable economic developments such as increased corporate profits, rising equity prices, and upward pressure on domestic consumer prices. On the other hand, large and sharp appreciations run the risk of lowering actual and expected inflation, squeezing corporate profits, generating a negative wealth effect through depressed equity prices, and reducing confidence in the Bank of Japan’s efforts to reflate the domestic economy and achieve the inflation target. This paper takes a closer look at underlying drivers of rapid yen appreciations, highlighting the key role of carry-trade and the zero lower bound as important amplifiers.
Book Synopsis Short-term and Long-term Expectations of the Yen/dollar Exchange Rate by : Jeffrey A. Frankel
Download or read book Short-term and Long-term Expectations of the Yen/dollar Exchange Rate written by Jeffrey A. Frankel and published by . This book was released on 1987 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three surveys of exchange rate expectations allow us to measure directly the expected rates of return on yen versus dollars. Expectations of yen appreciation against the dollar have been (1) consistently large, (2) variable, and (3) greater than the forward premium, implying that investors were willing to accept a lower expected return on dollar assets. At short-term horizons expectations exhibit bandwagon effects, while at longer-term horizons they show the reverse. A 10 percent yen appreciation generates the expectation of a further appreciation of 2.4 percent over the following week, for example, but a depreciation of 3.4 percent over the following year. At any horizon, investors would do better to reduce the absolute magnitude of expected depreciation. The true spot rate process behaves more like a random walk.
Book Synopsis Exchange Rate Expectations by : International Monetary Fund
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.
Book Synopsis Exchange Rate Determination Puzzle by : Falkmar Butgereit
Download or read book Exchange Rate Determination Puzzle written by Falkmar Butgereit and published by Diplomica Verlag. This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor
Book Synopsis Dollar and Yen by : Ronald I. McKinnon
Download or read book Dollar and Yen written by Ronald I. McKinnon and published by MIT Press. This book was released on 1997 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dollar and Yen analyzes the friction between the United States and Japan from the viewpoint of exchange rate economics. From the mid-1950s to the early 1990s, Japan grew faster than any other major industrial economy, displacing the United States in dominance of worldwide manufacturing markets. In the 1970s and 1980s, many books appeared linking the apparent decline of the United States in the world economy to unfair Japanese practices that closed the Japanese market to a wide range of foreign goods. Dollar and Yen analyzes the friction between the United States and Japan from the viewpoint of exchange rate economics. The authors argue against the prevailing view that the trade imbalance should be corrected by dollar depreciation, saying that adjustment through the exchange rate is both ineffective and costly. Stepping outside the traditional dichotomy between international trade and international finance, they link the yen's tremendous appreciation from 1971 to mid-1995 to mercantile pressure from the United States arising from trade tensions between the two countries. Although sometimes resisted by the Bank of Japan, this yen appreciation nevertheless forced unwanted deflation on the Japanese economy after 1985--resulting in two major recessions (endaka fukyos). The authors argue for relaxing commercial tensions between the two countries, and for limiting future economic downturns, by combining a commercial compact for mutual trade liberalization with a monetary accord for stabilizing the yen-dollar exchange rate.
Book Synopsis Exchange Rate Economics by : Peter Isard
Download or read book Exchange Rate Economics written by Peter Isard and published by Cambridge University Press. This book was released on 1995-09-28 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes and evaluates the literature on exchange rate economics. It provides a wide-ranging survey, with background on the history of international monetary regimes and the institutional characteristics of foreign exchange markets, an overview of the development of conceptual and empirical models of exchange rate behavior, and perspectives on the key issues that policymakers confront in deciding whether, and how, to try to stabilize exchange rates. The treatment of most topics is reasonably compact, with extensive references to the literature for those desiring to pursue individual topics further. The level of exposition is relatively easy to comprehend; the historical and institutional material (part I) and the discussion of policy issues (part III) contain no equations or technical notation, while the chapters on models of exchange rate behavior (part II) are written at a level intelligible to first-year graduate students or advanced undergraduates. The book will enlighten both students and policymakers, and should also serve as a valuable reference for many research economists.
Book Synopsis Handbook of Economic Forecasting by : G. Elliott
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-05-30 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing.*Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods *Insights within this volume can be applied to economics, finance and marketing disciplines
Book Synopsis Exchange Rates and Corporate Performance by : Yakov Amihud
Download or read book Exchange Rates and Corporate Performance written by Yakov Amihud and published by Beard Books. This book was released on 2003 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
Book Synopsis Currency Options and Exchange Rate Economics by : Zhaohui Chen
Download or read book Currency Options and Exchange Rate Economics written by Zhaohui Chen and published by World Scientific. This book was released on 1998 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets. The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Book Synopsis Exchange Rate Economics by : Mr.Mark P. Taylor
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.
Book Synopsis Handbook of International Economics by : Ronald Winthrop Jones
Download or read book Handbook of International Economics written by Ronald Winthrop Jones and published by Elsevier. This book was released on 1984 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This Handbook adopts a traditional definition of the subject, and focuses primarily on the explanation of international transactions in goods, services, and assets, and on the main domestic effects of those transactions. The first volume deals with the "real side" of international economics. It is concerned with the explanation of trade and factor flows, with their main effects on goods and factor prices, on the allocation of resources and income distribution and on economic welfare, and also with the effects on national policies designed explicitly to influence trade and factor flows. In other words, it deals chiefly with microeconomic issues and methods. The second volume deals with the "monetary side" of the subject. It is concerned with the balance of payments adjustment process under fixed exchange rates, with exchange rate determination under flexible exchange rates, and with the domestic ramifications of these phenomena. Accordingly, it deals mainly with economic issues, although microeconomic methods are frequently utilized, especially in work on expectations, asset markets, and exchange rate behavior."--Publisher's information
Book Synopsis Handbook of International Economics by : G.M. Grossman
Download or read book Handbook of International Economics written by G.M. Grossman and published by Elsevier. This book was released on 1995-12-13 with total page 904 pages. Available in PDF, EPUB and Kindle. Book excerpt: This reference accords recognition to the recent revolution in macroeconomics wrought by imperfect competition. Grossman and Rogoff (Princeton U.) present chapters by two dozen contributors on two prime areas of research interest: international trade theory and policy (e.g. strategic trade patterns and policies, the relationship between trade and technological progress), and open economy macroeconomics and international finance (covering such topics as exchange rates, foreign lending, and policy coordination). The volume commences with Krugman's overview of the positive theory of international trade, and concludes with analyses of sovereign debt. Annotation copyrighted by Book News, Inc., Portland, OR.
Book Synopsis International Finance by : Dilip Das
Download or read book International Finance written by Dilip Das and published by Routledge. This book was released on 2003-09-02 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this updated fourth edition, author Maurice Levi successfully integrates both the micro and macro aspects of international finance. He sucessfully explores managerial issues and focuses on problems arising from financial trading relations between nations, whilst covering key topics such as: * organization of foreign exchange markets * determination of exchange rates * the fundamental principles of international finance * foreign exchange risk and exposure * fixed and flexible exchange rates. This impressive new edition builds and improves upon the popular style and structure of the original. With new data, improved pedagogy, and coverage of all of the main developments in international finance over the last few years, this book will prove essential reading for students of economics and business.
Book Synopsis International Finance by : Dilip Das
Download or read book International Finance written by Dilip Das and published by Routledge. This book was released on 2003-09-02 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this updated fourth edition, author Maurice Levi successfully integrates both the micro and macro aspects of international finance. He sucessfully explores managerial issues and focuses on problems arising from financial trading relations between nations, whilst covering key topics such as: * organization of foreign exchange markets * determination of exchange rates * the fundamental principles of international finance * foreign exchange risk and exposure * fixed and flexible exchange rates. This impressive new edition builds and improves upon the popular style and structure of the original. With new data, improved pedagogy, and coverage of all of the main developments in international finance over the last few years, this book will prove essential reading for students of economics and business.
Book Synopsis The Value-Added Tax: Orthodoxy and New Thinking by : Murray L. Weidenbaum
Download or read book The Value-Added Tax: Orthodoxy and New Thinking written by Murray L. Weidenbaum and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: IF, WHEN YOU SAY "CONSUMPTION TAX , " YOU MEAN . . . by Ernest S. Christian, Jr. and Cliff Massa III Much has been said and written about consumption taxes in the United States, but mostly in a theoretical context. Dozens of schol arly treatises have been published, along with innumerable papers and speeches most of which were more argumentative than illumi nating in nature. Audiences have sat through uncounted confer ences on the merits or evils of consumption taxes, depending on the speakers' perspectives. There have been only three comprehensive legislative proposals to which these theories and arguments could be 1 applied, no one of which was acted upon in the Congress. Purveyors of conventional wisdom have suggested that this theo retical context might be replaced within a year or two by actual con sideration of a federal-level consumption tax. Some see enactment of such a tax as a desirable -- or at least a necessary -- means for reducing the federal deficit. The National Economic Commission, which was created by legislation in 1987 to recommend deficit reduction measures, was perceived by many skeptics and proponents alike to be the Trojan Horse which would carry a consumption tax Lrhe proposals were H. R. 7015, ''The Tax Restructuring Act of 1980," introduced by Rep. Al Ullman; S. 1102, ''The Business Transfer Tax Act of 1985," introduced by Senator William Roth; and H. R. 4598, introduced by Rep.
Book Synopsis On Exchange Rates by : Jeffrey A. Frankel
Download or read book On Exchange Rates written by Jeffrey A. Frankel and published by MIT Press. This book was released on 1993 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.
