Download or read book A study of actual deviations from ther interest parity theory of forward exchange written by Eugene Yu-seng Tsoa and published by . This book was released on 1975 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Study of Actual Deviations from the Interest Parity Theory of Forward Exchange written by Eugene Yu-seng Tsoa and published by . This book was released on 1975 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Download or read book A Study of Actual Devisitions from the Interest Parity Theory of Forward Exchange written by and published by . This book was released on 1975 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity written by Giorgio Valente and published by . This book was released on 2005 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide empirical evidence that deviations from the uncovered interest rate parity (UIP) condition display significant nonlinearities, which have a natural interpretation consistent with several recent theories based on transactions costs or limits to speculation in the foreign exchange market. This evidence suggests that the forward bias documented in the literature may be less indicative of major inefficiencies in the foreign exchange market than previously thought. Further, Monte Carlo experiments allow us to reconcile our results with the large empirical literature on the forward bias puzzle since we show that, if the true data generating process of UIP deviations were of the nonlinear form we consider, estimation of conventional linear spot-forward regressions would generate the well known anomalies documented in much previous research.
Download or read book Uncovered Interest Parity written by Mr.Peter Isard and published by International Monetary Fund. This book was released on 1991-05 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and discusses the implications for macroeconomic analysis. The uncovered interest parity assumption has been an important building block in multiperiod and continuous time models of open economies, and although its validity is strongly challenged by the empirical evidence, its retention in macroeconomic models is supported on pragmatic grounds, at least for the time being, by the lack of much empirical support for existing models of the exchange risk premium.
Download or read book What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia written by Mr.Gee Hee Hong and published by International Monetary Fund. This book was released on 2019-08-02 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asian countries have high demand for U.S. dollars and are sensitive to U.S. dollar funding costs. An important, but often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are deviations from covered interest parity (CIP). CIP deviations mean that investors need to pay a premium to borrow U.S. dollars or other currencies on a hedged basis via cross-currency swap markets. These deviations can be explained by regulatory changes since the global financial crisis, which have limited arbitrage opportunities and country-specific factors that contribute to a mismatch in the demand and supply of U.S. dollars. We find that an increase in the basis spread tightens financial conditions in net debtor countries, while easing financial conditions in net creditor countries. The main reason is that net debtor countries are, in general, unable to substitute smoothly to other domestic funding channels. Policies that promote reliable alternative funding sources, such as long-term corporate bond market or stable long-term investors, including a “hedging counterpart of last resort,” can help stabilize financial intermediation when U.S. dollar funding markets come under stress.
Download or read book The Monetary Approach to the Balance of Payments written by Jacob Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.
Download or read book Limits to Speculation and Nonlinearity in Deviations from Uncovered Interest Parity written by Lucio Sarno and published by . This book was released on 2008 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine empirically the hypothesis that limits to speculation in the foreign exchange market may induce nonlinearities in the spot-forward relationship and in the process driving the deviations from the uncovered interest rate parity (UIP) condition. Our empirical results provide strong evidence of nonlinearities which are consistent with a model of deviations from UIP with two extreme regimes: one regime with persistent but tiny deviations from UIP, and another regime where UIP holds. In a battery of Monte Carlo experiments, we show that if the true data generating process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the well known forward bias puzzle and the predictability of foreign exchange excess returns documented in the literature. In turn, these findings have implications for the economic significance of the statistical rejection of foreign exchange market efficiency.
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
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.
Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1999 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Download or read book Foreign Currency Bank Funding and Global Factors written by Signe Krogstrup and published by International Monetary Fund. This book was released on 2018-05-09 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on the drivers of capital flows stresses the prominent role of global financial factors. Recent empirical work, however, highlights how this role varies across countries and time, and this heterogeneity is not well understood. We revisit this question by focusing on financial intermediaries’ funding flows in different currencies. A concise portfolio model shows that the sign and magnitude of the response of foreign currency funding flows to global risk factors depend on the financial intermediary’s pre-existing currency exposure. An analysis of a rich dataset of European banks’ aggregate balance sheets lends support to the model predictions, especially in countries outside the euro area.
Download or read book The Princeton Encyclopedia of the World Economy Two volume set written by Kenneth A. Reinert and published by Princeton University Press. This book was released on 2010-08-02 with total page 1329 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential reference to all facets of the world economy Increasing economic globalization has made understanding the world economy more important than ever. From trade agreements to offshore outsourcing to foreign aid, this two-volume encyclopedia explains the key elements of the world economy and provides a first step to further research for students and scholars in public policy, international studies, business, and the broader social sciences, as well as for economic policy professionals. Written by an international team of contributors, this comprehensive reference includes more than 300 up-to-date entries covering a wide range of topics in international trade, finance, production, and economic development. These topics include concepts and principles, models and theory, institutions and agreements, policies and instruments, analysis and tools, and sectors and special issues. Each entry includes cross-references and a list of sources for further reading and research. Complete with an index and a table of contents that groups entries by topic, The Princeton Encyclopedia of the World Economy is an essential resource for anyone who needs to better understand the global economy. More than 300 alphabetically arranged articles on topics in international trade, finance, production, and economic development International team of contributors Annotated list of further reading with each article Topical list of entries Full index and cross-references Entry categories and sample topics: Concepts and principles: globalization, anti-globalization, fair trade, foreign direct investment, international migration, economic development, multinational enterprises Models and theory: Heckscher-Ohlin model, internalization theory, New Trade Theory, North-South trade, Triffin dilemma Institutions and agreements: European Union, International Monetary Fund, World Trade Organization, World Bank, Doha Round, international investment agreements Policies and instruments: dollar standard, international aid, sanctions, tariffs Analysis and tools: exchange rate forecasting, effective protection, monetary policy rules Sectors and special issues: child labor, corporate governance, the digital divide, health and globalization, illegal drugs trade, petroleum, steel
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.
