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Author : Oreste Napolitano
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (535 download)
Download or read book The Exchange Rate Market Efficiency and the Risk Premium written by Oreste Napolitano and published by . This book was released on 1998 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Mark P. Taylor
Publisher : International Monetary Fund
ISBN 13 : 1451964390
Total Pages : 61 pages
Book Rating : 4.4/5 (519 download)
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.
Author : Ronald MacDonald
Publisher :
ISBN 13 :
Total Pages : 552 pages
Book Rating : 4.:/5 (321 download)
Download or read book Exchange Rate Economics: Foreign exchange market efficiency written by Ronald MacDonald and published by . This book was released on 1992 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Warren J. Tease
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (22 download)
Download or read book Risk Premia, Market Efficiency and the Exchange Rate written by Warren J. Tease and published by . This book was released on 1986 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mike Wickens
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.X/5 (2 download)
Download or read book Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency written by Mike Wickens and published by . This book was released on 1989 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Wickens
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (599 download)
Download or read book Non-parametric Estimates of the Foreign Exchange Risk Premium and Tests of Exchange Market Efficiency written by Michael Wickens and published by . This book was released on 1991 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R. Hodrick
Publisher : Routledge
ISBN 13 : 1136455213
Total Pages : 185 pages
Book Rating : 4.1/5 (364 download)
Download or read book The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by R. Hodrick and published by Routledge. This book was released on 2014-05-01 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author : Lucio Sarno
Publisher : Cambridge University Press
ISBN 13 : 1139435043
Total Pages : 334 pages
Book Rating : 4.1/5 (394 download)
Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by Cambridge University Press. This book was released on 2003-01-09 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.
Author : Craig Hakkio
Publisher : Routledge
ISBN 13 : 1351801686
Total Pages : 100 pages
Book Rating : 4.3/5 (518 download)
Download or read book Expectations and the Foreign Exchange Market written by Craig Hakkio and published by Routledge. This book was released on 2017-04-21 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
Author : Dimitris Margaritis
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.3/5 ( download)
Download or read book Time-varying Risk Premia and the Efficiency of the New Zealand Foreign Exchange Market written by Dimitris Margaritis and published by . This book was released on 1991 with total page 20 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 : Kathryn Dominguez
Publisher : Routledge
ISBN 13 : 1317559126
Total Pages : 122 pages
Book Rating : 4.3/5 (175 download)
Download or read book Exchange Rate Efficiency and the Behavior of International Asset Markets (Routledge Revivals) written by Kathryn Dominguez and published by Routledge. This book was released on 2014-10-20 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 1992, examines the subject of foreign exchange market efficiency and, in particular, the effectiveness of central bank intervention in the market. This book is ideal for students of economics.
Author : Robert J. Hodrick
Publisher : CRC Press
ISBN 13 : 1000943380
Total Pages : 190 pages
Book Rating : 4.0/5 (9 download)
Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author : Ronald MacDonald
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 650 pages
Book Rating : 4.:/5 (321 download)
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Edward Elgar Publishing. This book was released on 1992 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important reference collection presents the leading papers on theoretical and empirical modelling of exchange rates. Volume I: Exchange Rate Determination: Theory and Evidence, consists of four sections. Section 1 contains 'groundwork' papers; these are essentially survey papers, which set the scene for much of the theoretical and empirical work presented in the volumes. Seminal papers relating to the theoretical determination of exchange rates are contained in Section 2, whilst the empirical evidence on such models is contained in Section 3. Volume I closes with a number of papers indicating the likely future development of research on the exchange rates. The papers in Volume II: Foreign Exchange Market Efficiency, are again grouped into four sections. The key papers from the efficiency of foreign exchange markets are presented in Section 1, with papers which seek to explain the oft-quoted finding of market inefficiency grouped in Section 2. Papers which seek to model the influence of new information on the exchange rate are contained in Section 3. The final section of the book contains papers on key international parity conditions, which are so central to exchange rate economics. As an introduction to both volumes, the editors have prepared a comprehensive literature survey. This survey places the papers contained in the volumes in the context of the exchange rate literature.
Author : Frank Leiber
Publisher :
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.:/5 (832 download)
Download or read book Efficiency of Foreign Exchange Markets written by Frank Leiber and published by . This book was released on 1993 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyse: The efficient market hypothesis is tested using both a forward looking proxy of the risk premium and data on currency futures/-options contracts.
Author : Richard E. Baldwin
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
Download or read book Re-interpreting the Failure of Foreign Exchange Market Efficiency Tests written by Richard E. Baldwin and published by . This book was released on 1990 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Small transaction costs and uncertainty imply that optimal cross-currency interest rate speculation is marked by a first-order hysteresis band. Consequently uncovered interest parity does not hold and market efficiency tests based on it are misspecified. Indeed measured prediction errors are a combination of true prediction errors and a wedge that consists of the "option value" of being in foreign currency and either plus or minus the transaction cost. Due to the nature of this wedge, we should expect measured prediction errors to be serially correlated, correlated with the current forward rate and perhaps have a non-zero mean, if the interest differential itself is serially correlated. The existence of the wedge helps account both for the failure of market efficiency tests and the difficulties in finding an empirically successful model of the risk premium
Author : Rui M. Campos Guimarães
Publisher :
ISBN 13 :
Total Pages : 828 pages
Book Rating : 4.:/5 (321 download)
Download or read book A Reappraisal of the Efficiency of Financial Markets written by Rui M. Campos Guimarães and published by . This book was released on 1989 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt:
