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Author : José Manuel Campa
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book “An” Option-based Analysis of Emerging Market Exchange Rate Expectations written by José Manuel Campa and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José M. Campa
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (718 download)
Download or read book An Option-based Analysis of Emerging Market Exchange Rate Expectations written by José M. Campa and published by . This book was released on 1999 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José Campa
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.X/5 (6 download)
Download or read book An Options-based Analysis of Emerging Market Exchange Rate Expectations written by José Campa and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José Manuel CAMPA
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book AN OPTIONS-BASED ANALYSIS OF EMERGING MARKET EXCHANGE RATE EXPECTATION: BRAZIL'S REAL PLAN, 1944-9 written by José Manuel CAMPA and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (951 download)
Download or read book An Options-based Analysis of Emerging Market Exchange Rate Expectations written by and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José Manuel Campa
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (16 download)
Download or read book An Options-based Analysis of Emerging Market Exchange Rate Expectations written by José Manuel Campa and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José Manuel Campa
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Options-Based Analysis of Emerging Market Exchange Rate Expectations written by José Manuel Campa and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through July 1997. Using options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of the credibility of the quot;crawling pegquot; and target zone (quot;maxibandquot;) regimes governing the exchange rate. Since we do not impose an exchange rate model, our analysis is based on either the risk-neutral PDF or arbitrage-based tests of target zones. The paper, one of the first to use options data from an emerging market, finds that target zone credibility was poor prior to February 1996, but improved afterwards. The market anticipated periodic band adjustments, but over time developed greater confidence in the Real. We also test whether devaluation intensities estimated from these option prices can be explained by standard macroeconomic factors.
Author : José Manuel Campa
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (247 download)
Download or read book An Options-based Analysis of Emerging Market Exchange Rate Expectations written by José Manuel Campa and published by . This book was released on 2000 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José Campa
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (245 download)
Download or read book An Options-based Analysis of Emerging Market Exchange Rate Expectations written by José Campa and published by . This book was released on 1999 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through July 1997. Using options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of the credibility of the crawling peg' and target zone ( maxiband') regimes governing the exchange rate. Since we do not impose an exchange rate model, our analysis is based on either the risk-neutral PDF or arbitrage-based tests of target zones. The paper one of the first to use options data from an emerging market, finds that target zone credibility was poor prior to February 1996, but improved afterwards. The market anticipated periodic band adjustments, but over time developed greater confidence in the Real. We also test whether devaluation intensities estimated from these option prices can be explained by standard macroeconomic factors
Author : John Williamson
Publisher : Peterson Institute
ISBN 13 : 9780881322934
Total Pages : 110 pages
Book Rating : 4.3/5 (229 download)
Download or read book Exchange Rate Regimes for Emerging Markets written by John Williamson and published by Peterson Institute. This book was released on 2000 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the Asian/global financial crises of 1997-98, how should emerging markets now structure their exchange rate systems to prevent new crises from occurring? This study challenges current orthodoxy by advocating the revival of intermediate exchange rate regimes. In so doing, Williamson presents a reasoned challenge to the new prevailing attitude which claims that all countries involved in the international capital markets need to polarize to one of the extreme regimes (to a fixed rate with either a currency board or dollarization, or to a lightly-managed float). He concludes that although there is some truth in the allegation that intermediate regimes are vulnerable to speculative crises, they still offer offsetting advantages. He also contends that it would be possible to redesign them to be more flexible so as to reduce their vulnerability to crises.
Author : Jessica James
Publisher : John Wiley & Sons
ISBN 13 : 1118793277
Total Pages : 264 pages
Book Rating : 4.1/5 (187 download)
Download or read book FX Option Performance written by Jessica James and published by John Wiley & Sons. This book was released on 2015-04-23 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific – travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?
Author : Mr.Christian Ebeke
Publisher : International Monetary Fund
ISBN 13 : 1513599984
Total Pages : 36 pages
Book Rating : 4.5/5 (135 download)
Download or read book Inflation Targeting and Exchange Rate Regimes in Emerging Markets written by Mr.Christian Ebeke and published by International Monetary Fund. This book was released on 2015-10-28 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the effects of the adoption of inflation targeting (IT) on the choice of exchange rate regime in emerging markets (EMs), conditional on certain macroeconomic conditions. Using a large sample of EMs and after controlling for the selection bias associated with the adoption of IT, we find that IT countries on average have a relatively more flexible exchange rate regime than other EMs. However, the flexibility of the exchange rate regime shows strong heterogeneity among IT countries depending on their degree of openness and exposure to FX risks. Moreover, we find that the marginal effect of IT adoption on the exchange rate flexibility increases with the duration of the IT regime in place, and with the propensity scores to adopt it.
Author : Jorge A. Chan-Lau
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (318 download)
Download or read book Testing the Informational Efficiency of OTC Options on Emerging Market Currencies written by Jorge A. Chan-Lau and published by . This book was released on 2003 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steve Swidler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Forecasting Emerging Market Exchange Rates from Foreign Equity Options written by Steve Swidler and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of derivatives to infer future exchange rates has long been a subject of interest in the international finance literature. With the recent currency crises in Mexico, Southeast Asia, and Brazil, work on exchange rate expectations in emerging markets is of particular interest. For some emerging markets, foreign equity options are the only liquid exchange traded derivatives with currency information embedded in their prices. Given that emerging markets sometimes undergo currency realignment with discrete jumps in their exchange rate, estimation of risk-neutral probability density functions from foreign equity option data provides valuable evidence concerning market expectations. To illustrate the use of foreign equity options in estimating market beliefs, we consider Telmex options around the 1994 peso devaluation and find evidence that markets anticipated the change in the Mexican government's foreign exchange policy.
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 : Martin Mandler
Publisher : Springer Science & Business Media
ISBN 13 : 3642574289
Total Pages : 227 pages
Book Rating : 4.6/5 (425 download)
Download or read book Market Expectations and Option Prices written by Martin Mandler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities........ .. 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model... . . .. . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation ............................................... 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . .. 13 2.4 Summary............................................... 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model .................................................. 16 Appendix 2B: Some Further Details on the Replication Strategy ... 21 3 Survey of the Related Literature .......................... 23 3.1 The Information Content of Forward and Futures Prices. . . .. . 24 3.2 The Information Content of Implied Volatilities ............. 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density .......................................... 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . .. . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . .. 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium ..... . . . . . . . . . . . . . . . . . . .. . . 45 . . . . . . .
Author : Ibrahim Jamali
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Out-of-Sample Exchange Rate Predictability in Emerging Markets written by Ibrahim Jamali and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide an in-depth analysis of the predictive ability of models with fundamentals and technical indicators for fourteen emerging market currencies. Our findings suggest that the forecasts from the symmetric Taylor rule as well as from a predictive regression exploiting the informational content of the momentum indicator are statistically superior to those of the random walk and other competing models. We combine the forecasts from the two best performing models via simple techniques and assess the economic significance of the out-of-sample forecasts using a trading strategy based on the sign of the predicted currency returns. Our economic significance results demonstrate that the symmetric Taylor rule, momentum and combination forecasts generate the largest net-of-transactions costs and risk-adjusted returns.
