Download or read book Affine Modeling of the Joint Dynamics of Exchange Rates and Interest Rates written by Bing Han and published by . This book was released on 2002 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates written by Bing Han and published by . This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses issues in extending the affine class of term structure models to describe the joint dynamics of exchange rates and interest rates. A standard incomplete markets approach is shown to impose many constraints on exchange rate dynamics in affine settings. A canonical multicountry affine model, and the method to estimate it via Kalman filters, are formulated. Familiar difficulties in reconciling the forward premium anomaly with affine models are overcome, by introducing additional state variables which affect only exchange-rate dynamics. This yields a more adequate model of the observed volatilities of exchange rates and their correlation with interest rates.
Download or read book Empirical Modeling of Exchange Rate Dynamics written by Francis X. Diebold and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Download or read book The Exchange Rate in a Dynamic Optimizing Current Account Model with Nominal Rigidities written by Robert Miguel W. K. Kollman and published by International Monetary Fund. This book was released on 1997-01-01 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G-7 effective exchange rates during the post-Bretton Woods era. The model predicts that a positive domestic money supply shock lowers the domestic nominal interest rate, that it raises output and that it leads to a nominal and real depreciation of the country’s currency. Increases in domestic labor productivity and in the world interest rate too are predicted to induce a nominal and real exchange rate depreciation.
Download or read book The Economics of Foreign Exchange and Global Finance written by Peijie Wang and published by Springer Nature. This book was released on 2020-08-28 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook presents all major topics in international monetary theory, foreign exchange markets, international financial management and investment analysis. It focuses on real-world problems in the sense that it provides guidance on how to solve policy issues as well as how to complete financial assignments across the globe. This in turn helps readers gain an understanding of the theory and refine the framework. This third edition of the book incorporates three new chapters, and most of the chapters from the second edition have been updated to integrate new material, data, and/or the recent developments in the areas. The book can be used in graduate and advanced undergraduate programs in international or global finance, international monetary economics, and international financial management. It is also a valuable reference book for researchers in these areas.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2009-06 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do we need multi country models to explain exchange rate and interest rate dynamics written by Robert Hodrick and published by . This book was released on 1999 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Exchange Rate Dynamics written by Eric J. Pentecost and published by Edward Elgar Publishing. This book was released on 1993 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work examines the development of the determinants of the exchange rate system since the mid-1970s. It scrutinises the main theoretical models of exchange rate determination and assesses their empirical validity drawn from recent econometric results (based on cointegration methodology).
Download or read book Exchange Rate Modelling written by Ronald MacDonald and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.
Download or read book The Dynamics of Interest Rates Inflation and Exchange Rates in the Euro Area written by Karsten Ruth and published by . This book was released on 2005 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Tale of Two Yield Curves written by Alexei V. Egorov and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the joint term structure of interest rates in the United States and the European Union, the two largest economies in the world, is extremely important in international finance. In this paper, we provide both theoretical and empirical analysis of multi-factor joint affine term structure models for dollar and euro interest rates. In particular, we provide a systematic classification of multi-factor joint affine term structure models similar to that of Dai and Singleton (2000). A principal component analysis of daily dollar and euro interest rates reveals four factors in the data. We estimate four-factor joint affine term structure models using the approximate maximum likelihood method of Ait-Sahalia (2002, 2007) and compare the in-sample and out-of-sample performances of these models using some of the latest nonparametric methods. We find that a new four-factor model with two common and two local factors captures the joint term structure dynamics in the U.S. and the E.U. reasonably well.
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:
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Download or read book Annual Commencement written by Stanford University and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Run Exchange Rate Modeling written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1995 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange rates and the closely related work on testing for a unit root in the residual from a regression of the nominal exchange rate on relative prices. We argue that the balance of evidence is supportive of the existence of some form of long-run exchange rate relationship. The form of this relationship, however, does not accord exactly with a traditional representation of the long-run exchange rate. We offer some potential explanations for this lack of conformity.
Download or read book Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets written by Michael W. Brandt and published by . This book was released on 2001 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new continuous-time model of the Joint dynamics of interest rates in two countries and the exchange rate between the two currencies. The model allows financial markets to be incomplete and specifies the degree of incompleteness as a stochastic process. Our empirical results offer several new insights into the dynamics of exchange rates
