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Author : Eliana A. Cardoso
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (318 download)
Download or read book Exchange Rate Dynamics and the Stock Market written by Eliana A. Cardoso and published by . This book was released on 1983 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin D. D. Evans
Publisher : Princeton University Press
ISBN 13 : 1400838843
Total Pages : 561 pages
Book Rating : 4.4/5 (8 download)
Download or read book Exchange-Rate Dynamics written by Martin D. D. Evans and published by Princeton University Press. This book was released on 2011-03-14 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas
Author : Michael K. Gavin
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.:/5 (697 download)
Download or read book The Stock Market and Exchange Rate Dynamics written by Michael K. Gavin and published by . This book was released on 1986 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fabiola Ravazzolo
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stock Prices and Exchange Rate Dynamics written by Fabiola Ravazzolo and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets. We apply the analysis to a group of Pacific Basin countries and examine whether foreign exchange controls and the Asian financial crisis of mid 1997 affected the links between the markets. The evidence shows that the US stock market acts as a conduit through which the foreign exchange market and the local stock markets are linked. It also provides support for a close relationship between financial and economic integration. Finally, the evidence shows that the financial crisis had a temporary effect on the long-run comovement between the various markets.
Author : Paul J. J. Welfens
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (697 download)
Download or read book Exchange Rate Developments and Stock Market Dynamics in Transition Countries written by Paul J. J. Welfens and published by . This book was released on 2004 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present new theoretical approaches to exchange rate determination and stock market price dynamics as well as first empirical results for selected transition countries. The exchange rate is considered as reflecting both the interest parity - with a specific formulation for exchange rate expectations - and impulses from purchasing power parity which in turn is related to a modified monetary approach to exchange rate determination; the modification concerns the role of stock market prices in the demand for money. Our main focus is on the nominal exchange rate. The empirical results for the dollar exchange rate presented, based on quarterly data, are two-stage and three-stage least squares estimations. The three stage estimation reflects - which is a superior approach to the two-stage estimates in terms of exploiting the information in the data of the sample - the theoretical basis, namely that exchange rate dynamics and stock market prices are interdependent. The estimations for Hungary, the Czech Republic and Poland show significant coefficients for the lagged exchange rate, the stock market price and US GDP as well as other variables which are significant only in some of the countries considered. The in-sample forecast is excellent for all three countries so that anticipation of future exchange rate changes seems to be possible: this is not only relevant for economic actors but also for the issue of Euro area membership. Moreover, the considerable impact of stock market prices on the nominal exchange rate suggest that problems of stock market bubbles in the US might strongly contribute to unstable exchange rates in Europe.
Author : Kai Tim Wong (Douglas)
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays on International Stock Markets and Real Exchange Rate Dynamics written by Kai Tim Wong (Douglas) and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kai Tim Wong
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays on International Stock Markets and Real Exchange Rate Dynamics written by Kai Tim Wong and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451974493
Total Pages : 52 pages
Book Rating : 4.4/5 (519 download)
Download or read book Exchange Rate Movements and International Interdependence of Stock Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1989-05-12 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Author : John F. Bilson
Publisher : University of Chicago Press
ISBN 13 : 0226050998
Total Pages : 542 pages
Book Rating : 4.2/5 (26 download)
Download or read book Exchange Rate Theory and Practice written by John F. Bilson and published by University of Chicago Press. This book was released on 2007-12-01 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
Author : Jean-OIiver Hairault
Publisher : Routledge
ISBN 13 : 1134426127
Total Pages : 446 pages
Book Rating : 4.1/5 (344 download)
Download or read book Exchange Rate Dynamics written by Jean-OIiver Hairault and published by Routledge. This book was released on 2003-12-18 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book builds upon the seminal work by Obsfeld and Rogoff, Foundations of International Macroeconomics and aims at providing a coherent and modern framework for thinking about exchange rate dynamics. With a wide range of contributions, this book is likely to be welcomed by the macroeconomics and financial community.
Author : Johannes Voit
Publisher : Springer Science & Business Media
ISBN 13 : 3540262857
Total Pages : 385 pages
Book Rating : 4.5/5 (42 download)
Download or read book The Statistical Mechanics of Financial Markets written by Johannes Voit and published by Springer Science & Business Media. This book was released on 2005-10-21 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully. This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.
Author : Van-Hop Nguyen
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book Dynamics Between Exchange Rates and Stock Prices written by Van-Hop Nguyen and published by . This book was released on 2019 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the long- and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six countries, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period December 2007 to May 2013. The evidence suggests that the global financial crisis 2007-2009 is an important determinant of the link between the domestic stock and foreign exchange markets. The exchange rate is negatively related to the domestic stock market for emerging countries but positively for developed countries for entire sample and during the crisis. However, this relationship became positive for all countries after the crisis, except United Kingdom. The finding also indicates that the exchange rate movements contain some significant information to forecast the stock returns of these markets.
Author : Michael K. Gavin
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.3/5 ( download)
Download or read book The Stock Market and Exchange Rate Dynamics written by Michael K. Gavin and published by . This book was released on 1986 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Los Angeles television reporter Maxi Poole must help her next-door neighbors' housekeeper locate her missing young son, Robert Ochoa"--Provided by the publisher
Author : Ozge Akinci
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (112 download)
Download or read book Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets written by Ozge Akinci and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jürg NIEHANS
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book EXCHANGE RATE DYNAMICS WITH STOCK-FLOW INTERACTION written by Jürg NIEHANS and published by . This book was released on 1976 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mohamed El Hedi Arouri
Publisher : Springer Science & Business Media
ISBN 13 : 3790823899
Total Pages : 214 pages
Book Rating : 4.7/5 (98 download)
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Author : Francisco J. Climent
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns written by Francisco J. Climent and published by . This book was released on 2004 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent crises of the nineties have made it clear that the links between exchange rates and stock market prices are relevant factors in the transmission of the crises. Using daily exchange rates and stock index prices of the last decade (1990-1999) the interactions between the stock market and exchange rates returns of twenty-three countries of two different geographical areas (Asia and Europe) are analysed. Our results suggest that: (i) short term relationships seem to be more relevant than long term ones, (ii) it is more relevant the presence of linear and nonlinear causality in the Asian countries, and (iii) the periods of crisis affect asymmetrically the relationship between exchange rates and stock market prices.
