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Author : Harry Grammatikos
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.0/5 ( download)
Download or read book Stability and the Hedging Performance of Foreign Exchange Futures written by Harry Grammatikos and published by . This book was released on 1982 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr. Zhongxia Jin
Publisher : International Monetary Fund
ISBN 13 : 1513584847
Total Pages : 22 pages
Book Rating : 4.5/5 (135 download)
Download or read book Establishing a Foreign Exchange Futures Market in China written by Mr. Zhongxia Jin and published by International Monetary Fund. This book was released on 2021-11-12 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: During China’s transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although over-the-counter (OTC) FX derivatives markets already exist in China, it lacks a FX futures market that offers critical complementarities. With standardized products, greater transparency and centralized oversight, a FX futures market can better satisfy the hedging needs of small and medium-sized enterprises and enhance regulatory efficiency. To address concerns regarding whether FX futures market will amplify the volatility of spot exchange rates, this paper analyzes the impact of establishing FX futures markets on spot market volatility using data from major emerging market economies. The result shows that FX futures market is not empirically associated with an increase in spot market volatility; in some cases, it is even associated with a decrease in spot market volatility. This paper further suggests that for a well-functioning FX futures market to be established, it is essential for China to substitute the inefficient documentation requirement of underlying exposures with a new set of market-oriented measures for the purpose of prudent regulation.
Author : Lee R. Thomas
Publisher : Ifr Publishing
ISBN 13 :
Total Pages : 364 pages
Book Rating : 4.3/5 (512 download)
Download or read book The Currency Hedging Debate written by Lee R. Thomas and published by Ifr Publishing. This book was released on 1990 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title provides a forum for the discussion surrounding the use of currency hedging for portfolio managment and examines the arguments for the different hedging techniques. The main arguments are outlined with contributions from both academics and practitioners. The evidence on the performance of various funds is examined in detail.
Author : Kenneth F. Kroner
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.0/5 ( download)
Download or read book Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures written by Kenneth F. Kroner and published by . This book was released on 1991 with total page 44 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)
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:
Author : Jochen M. Schmittmann
Publisher : International Monetary Fund
ISBN 13 : 1455200557
Total Pages : 47 pages
Book Rating : 4.4/5 (552 download)
Download or read book Currency Hedging for International Portfolios written by Jochen M. Schmittmann and published by International Monetary Fund. This book was released on 2010-06-01 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
Author : John Lee
Publisher : Springer Nature
ISBN 13 : 3031142837
Total Pages : 521 pages
Book Rating : 4.0/5 (311 download)
Download or read book Essentials of Excel VBA, Python, and R written by John Lee and published by Springer Nature. This book was released on 2023-03-23 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced textbook for business statistics teaches, statistical analyses and research methods utilizing business case studies and financial data with the applications of Excel VBA, Python and R. Each chapter engages the reader with sample data drawn from individual stocks, stock indices, options, and futures. Now in its second edition, it has been expanded into two volumes, each of which is devoted to specific parts of the business analytics curriculum. To reflect the current age of data science and machine learning, the used applications have been updated from Minitab and SAS to Python and R, so that readers will be better prepared for the current industry. This second volume is designed for advanced courses in financial derivatives, risk management, and machine learning and financial management. In this volume we extensively use Excel, Python, and R to analyze the above-mentioned topics. It is also a comprehensive reference for active statistical finance scholars and business analysts who are looking to upgrade their toolkits. Readers can look to the first volume for dedicated content on financial statistics, and portfolio analysis.
Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 3319388673
Total Pages : 1041 pages
Book Rating : 4.3/5 (193 download)
Download or read book Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses written by Cheng-Few Lee and published by Springer. This book was released on 2016-11-24 with total page 1041 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introductory textbook for business statistics teaches statistical analysis and research methods via business case studies and financial data using Excel, Minitab, and SAS. Every chapter in this textbook engages the reader with data of individual stock, stock indices, options, and futures. One studies and uses statistics to learn how to study, analyze, and understand a data set of particular interest. Some of the more popular statistical programs that have been developed to use statistical and computational methods to analyze data sets are SAS, SPSS, and Minitab. Of those, we look at Minitab and SAS in this textbook. One of the main reasons to use Minitab is that it is the easiest to use among the popular statistical programs. We look at SAS because it is the leading statistical package used in industry. We also utilize the much less costly and ubiquitous Microsoft Excel to do statistical analysis, as the benefits of Excel have become widely recognized in the academic world and its analytical capabilities extend to about 90 percent of statistical analysis done in the business world. We demonstrate much of our statistical analysis using Excel and double check the analysis and outcomes using Minitab and SAS—also helpful in some analytical methods not possible or practical to do in Excel.
Author : Graf Enzio Pfeil
Publisher : Palgrave Macmillan
ISBN 13 : 9780312015749
Total Pages : 308 pages
Book Rating : 4.0/5 (157 download)
Download or read book Effective Control of Currency Risks written by Graf Enzio Pfeil and published by Palgrave Macmillan. This book was released on 1988-05-15 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows its reader how to get the right currency--and not how to get the currency right, thus avoiding substantial currency risk in the first place.
Author : Enzio Von Pfeil
Publisher : Springer
ISBN 13 : 134907280X
Total Pages : 296 pages
Book Rating : 4.3/5 (49 download)
Download or read book Effective Control of Currency Risks written by Enzio Von Pfeil and published by Springer. This book was released on 1988-06-18 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard T. Baillie
Publisher : Cambridge University Press
ISBN 13 : 9780521396905
Total Pages : 280 pages
Book Rating : 4.3/5 (969 download)
Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Author : Romain Lafarguette
Publisher : International Monetary Fund
ISBN 13 : 1513569406
Total Pages : 33 pages
Book Rating : 4.5/5 (135 download)
Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author : David G. Dickinson
Publisher : Edward Elgar Publishing
ISBN 13 : 9781781009987
Total Pages : 420 pages
Book Rating : 4.0/5 (99 download)
Download or read book Finance, Governance and Economic Performance in Pacific and South East Asia written by David G. Dickinson and published by Edward Elgar Publishing. This book was released on 2000-01-01 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: '. . . this is an interesting and valuable collection of papers that addresses a highly topical area of research. The quality of writing is high in the main and the econometric methodology and models transparent. The appendices to many of the empirical chapters provide detailed information about data sources as well as model results. The book should be required reading for researchers and graduate students in this field, and the review papers provide valuable teaching material. It will be especially useful for those concerned with the contribution of governance structures to economic performance, financial crises and the still-disputed relationship between growth and financial liberalization.' - Jenifer Piesse, Asia Pacific Business Review Finance, Governance and Economic Performance in Pacific and South East Asia focuses on key aspects of government policy, financial systems and their links to the economic miracle in Pacific and South East Asia. It also considers the financial crises that have affected those economies and their economic progress. The contributors examine the success of governance in the form of government involvement with the macroeconomy, and with the deregulation of markets in general. Attention is drawn not only to the need for further liberalisation, but also the need to introduce regulatory structures to produce orderly markets.
Author :
Publisher :
ISBN 13 :
Total Pages : 808 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Review of Futures Markets written by and published by . This book was released on 1993 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alex Greyserman
Publisher : John Wiley & Sons
ISBN 13 : 1118890973
Total Pages : 470 pages
Book Rating : 4.1/5 (188 download)
Download or read book Trend Following with Managed Futures written by Alex Greyserman and published by John Wiley & Sons. This book was released on 2014-08-25 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
Author : Ms.Li L. Ong
Publisher : International Monetary Fund
ISBN 13 : 145196353X
Total Pages : 47 pages
Book Rating : 4.4/5 (519 download)
Download or read book FX Swaps written by Ms.Li L. Ong and published by International Monetary Fund. This book was released on 2010-03-01 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008, giving rise to concerns over the ability of banks to roll over their funding requirements and manage their liquidity risk. The turmoil also raised questions about banks' ability to continue their supply of credit to the local economy, as well as the external financing gap it could create. In this paper, we examine the channels through which FX swap transactions could affect a country's financial and economic stability, and highlight the strategies central banks can employ to mitigate market pressures. While not offering any judgment on the instrument itself, we show that the use of FX swaps for funding and hedging purposes is not infallible, especially during periods of market stress.
Author :
Publisher :
ISBN 13 :
Total Pages : 748 pages
Book Rating : 4.3/5 (555 download)
Download or read book Review of Research in Futures Markets written by and published by . This book was released on 1990 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consists of the proceedings of seminars on futures markets held by the Chicago Board of Trade.
