Download or read book Analyzing the Accuracy of Foreign Exchange Advisory Services written by Richard M. Levich and published by . This book was released on 1979 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the introduction of floating exchange rates, the variability of unanticipated exchange rate changes has increased dramatically. A small forecasting industry has developed to provide information about future exchange rates. From an academic viewpoint, it is of interest to examine some of the statistical properties of these forecasts and to relate the forecast errors to other fundamental economic variables in a model with rational behavior. Second, from a more practical viewpoint, we would like to know if foreign exchange forecasts are useful to decision makers. The purpose of this paper is to provide an objective analysis which addresses some of the above questions for a large sample of forecasts. On the basis of the current research, we can draw several conclusions. First, most advisory service forecasts are not as accurate as the forward rate in terms of mean squared error. Second, judgmental forecasters are superior to econometric forecasters for short-term forecasts; the relationship is reversed for longer-term forecasts (one year). Third, two statistical tests indicate that the fraction of "correct" forecasts is significantly larger than what would be expected if the advisory services were only guessing at the direction of the future spot rate. In this sense, the forecast services appear to demonstrate expertise and usefulness. However, a full analysis of the risk-return opportunities available to advisory service users is still incomplete. It should be cautioned that if the forward rate contains a risk premium, then we expect advisory service models to beat the forward rate according to the tests we have outlined. In this case we must measure speculative returns relative to a risk measure. While advisory service forecasts may lead to profits, they may not be unusual after adjusting for risk.
Download or read book Analyzing the Accuracy of Foreign Exchange Advisory Services written by Richard M. Levich and published by . This book was released on 2008 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the introduction of floating exchange rates, the variability of unanticipated exchange rate changes has increased dramatically. A small forecasting industry has developed to provide information about future exchange rates. From an academic viewpoint, it is of interest to examine some of the statistical properties of these forecasts and to relate the forecast errors to other fundamental economic variables in a model with rational behavior. Second, from a more practical viewpoint, we would like to know if foreign exchange forecasts are useful to decision makers. The purpose of this paper is to provide an objective analysis which addresses some of the above questions for a large sample of forecasts. On the basis of the current research, we can draw several conclusions. First, most advisory service forecasts are not as accurate as the forward rate in terms of mean squared error. Second, judgmental forecasters are superior to econometric forecasters for short-term forecasts; the relationship is reversed for longer-term forecasts (one year). Third, two statistical tests indicate that the fraction of quot;correctquot; forecasts is significantly larger than what would be expected if the advisory services were only guessing at the direction of the future spot rate. In this sense, the forecast services appear to demonstrate expertise and usefulness. However, a full analysis of the risk-return opportunities available to advisory service users is still incomplete. It should be cautioned that if the forward rate contains a risk premium, then we expect advisory service models to beat the forward rate according to the tests we have outlined. In this case we must measure speculative returns relative to a risk measure. While advisory service forecasts may lead to profits, they may not be unusual after adjusting for risk.
Download or read book A Comparative Assessment of Forecasting Accuracy written by Erdogan Bilik and published by . This book was released on 1982 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analyzing the Accuracy of Short Run Foreign Exchange Forecasting Using Tests of Rational Expectations Uncovered Interest Parity and Perfect Substitutability written by Vida Loretta Beder and published by . This book was released on 1988 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 198 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.
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.
Download or read book FORECASTING FOREIGN EXCHANGE RATES A PEDAGOGICAL NOTE written by Gunter Dufey and published by . This book was released on 1981 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Finance written by Maurice D. Levi and published by Routledge. This book was released on 2007-05-07 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this updated fourth edition, author Maurice Levi successfully integrates both the micro and macro aspects of international finance. He sucessfully explores managerial issues and focuses on problems arising from financial trading relations between nations, whilst covering key topics such as: * organization of foreign exchange markets * determination of exchange rates * the fundamental principles of international finance * foreign exchange risk and exposure * fixed and flexible exchange rates. This impressive new edition builds and improves upon the popular style and structure of the original. With new data, improved pedagogy, and coverage of all of the main developments in international finance over the last few years, this book will prove essential reading for students of economics and business.
Download or read book International Finance written by Piet Sercu and published by Princeton University Press. This book was released on 2009-03-22 with total page 832 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on international markets and multinational corporate finance, this book is the go-to resource for students seeking a complete understanding of the field.
Download or read book Managing Foreign Exchange Risk written by Richard J. Herring and published by Cambridge University Press. This book was released on 1986-04-30 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays about foreign exchange risk and how to cope with it.
Download or read book Management and Control of Foreign Exchange Risk written by Laurent L. Jacque and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since I first published Management of Foreign Exchange Risk (Lexington Books, 1978), financial innovation-spurred, in part, by exploding volatility in currency prices-has revolutionized the theory and praxis of foreign exchange risk management. Old-fashioned forward contracts have surrendered market share to currency swaps and options as well as to their perpetually multiplying derivatives. Interestingly, forex derivatives now provide a low cost and highly efficient method of transferring risk from the firms that are exposed to risk but which would rather not be (i. e. , risk-hedgers) to those which are not exposed but which-in exchange for a fee-would assume some exposure to risk (i. e. , risk bearers). Perhaps more importantly, foreign exchange risk management, which was once a fairly mechanical task confmed to the international treasury function, is now permeating global strategic management. Indeed, since the demise of the Bretton Woods system of pegged exchange rates, the cost of forex hedging instruments has fallen so dramatically that firms can readily avail themselves of hedging products which can reduce unwanted risk, thereby potentially gaining a competitive advantage over rivals that do not. Management and Control of Foreign Exchange Risk has grown out of a fundamental revision of my earlier work published almost 20 years ago. In the process, my thinking about risk and its mathematics has greatly benefitted from my association with John Cozzolino and Charles Tapiero.
Download or read book Handbook of International Economics written by R.W. Jones and published by Elsevier. This book was released on 1988-05-01 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook adopts a traditional definition of the subject, and focuses primarily on the explanation of international transactions in goods, services, and assets, and on the main domestic effects of those transactions. The first volume deals with the "real side" of international economics. It is concerned with the explanation of trade and factor flows, with their main effects on goods and factor prices, on the allocation of resources and income distribution and on economic welfare, and also with the effects on national policies designed explicitly to influence trade and factor flows. In other words, it deals chiefly with microeconomic issues and methods. The second volume deals with the "monetary side" of the subject. It is concerned with the balance of payments adjustment process under fixed exchange rates, with exchange rate determination under flexible exchange rates, and with the domestic ramifications of these phenomena. Accordingly, it deals mainly with economic issues, although microeconomic methods are frequently utilized, especially in work on expectations, asset markets, and exchange rate behavior. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes
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
Download or read book International Corporate Finance Website written by Laurent L. Jacque and published by John Wiley & Sons. This book was released on 2014-03-24 with total page 885 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough introduction to corporate finance from a renowned professor of finance and banking As globalization redefines the field of corporate finance, international and domestic finance have become almost inseparably intertwined. It's increasingly difficult to understand what is happening in capital markets without a firm grasp of currency markets, the investment strategies of sovereign wealth funds, carry trade, and foreign exchange derivatives products. International Corporate Finance offers thorough coverage of the international monetary climate, including Islamic finance, Asian banking, and cross-border mergers and acquisitions. Additionally, the book offers keen insight on global capital markets, equity markets, and bond markets, as well as foreign exchange risk management and how to forecast exchange rates. Offers a comprehensive discussion of the current state of international corporate finance Provides simple rules and pragmatic answers to key managerial questions and issues Includes case studies and real-world decision-making situations For anyone who wants to understand how finance works in today's hyper-connected global economy, International Corporate Finance is an insightful, practical guide to this complex subject.
Download or read book International Finance 5th Edition written by and published by Routledge. This book was released on with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of International Management written by Tracy Murray and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume grew out of Wiley's well-received Handbook of International Business, published in 1982. The latter has been updated and expanded and now appears as two separate books: the Handbook of International Business, Second Edition, and this book, the Handbook of International Management. Distinguished contributing authors provide enlightening discussion of topics such as the legal and political aspects of managing an international business, international banking, taxation, accounting, international marketing, labor relations, and public relations. Chapters also cover forecasting exchange rates; organization design; offshore sourcing, subcontracting, and manufacturing; technology transfer; international investment banking; and much more.
Download or read book International Corporate Finance written by Laurent L. Jacque and published by John Wiley & Sons. This book was released on 2014-03-07 with total page 885 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough introduction to corporate finance from a renowned professor of finance and banking As globalization redefines the field of corporate finance, international and domestic finance have become almost inseparably intertwined. It's increasingly difficult to understand what is happening in capital markets without a firm grasp of currency markets, the investment strategies of sovereign wealth funds, carry trade, and foreign exchange derivatives products. International Corporate Finance offers thorough coverage of the international monetary climate, including Islamic finance, Asian banking, and cross-border mergers and acquisitions. Additionally, the book offers keen insight on global capital markets, equity markets, and bond markets, as well as foreign exchange risk management and how to forecast exchange rates. Offers a comprehensive discussion of the current state of international corporate finance Provides simple rules and pragmatic answers to key managerial questions and issues Includes case studies and real-world decision-making situations For anyone who wants to understand how finance works in today's hyper-connected global economy, International Corporate Finance is an insightful, practical guide to this complex subject.
