Download or read book EMU Exchange Rate Volatility and Bid ask Spreads written by Nuno Cassola and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Este estudio trata dos problemas relacionados con la determinacion de la horquilla del tipo de cambio en la transicion a la UEM. En primer lugar, se analiza como un anuncio creible de tipos de conversion afecta a la volatilidad de los tipos de cambio en la fase final de la introduccion del euro. En segundo lugar, se discute la relacion teorica que existe entre incertidumbre y horquilla de los tipos de cambio. La teoria sugiere que hay una asociacion positiva entre incertidumbre de los tipos de cambio y costes de transaccion y que se observaria una reduccion gradual de la volatilidad de los tipos de cambio en la transicion a la UEM. Esta teoria implica una contraccion gradual de la horquilla de los tipos de cambio en el periodo de transicion. Estas hipotesis se comprueban empiricamente en el caso de los tipos de cambio del escudo portugues frente al marco aleman. (nc) (cs) (pgp).

Download or read book Mircostructure Effects Bid ask Spreads and Volatility in the Spot Foreign Exchange Market Pre and Post EMU written by Frank McGroarty and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Microstructure Effects Bid ask Spreads and Volatility in the Spot Foreign Exchange Market Pre and Post EMU written by Frank McGroarty and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Anticipations of Foreign Exchange Volatility and Bid ask Spreads written by Shang-Jin Wei and published by . This book was released on 1994 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an option model of the spread, but the magnitude is smaller. An increase in trading volume of spot exchange rates also widens the spread. The omission of the trading volume, however, does not bias the estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of the spread is close to linear, some form of nonlinearity can still be detected from the data.

Download or read book Currency Competition and Foreign Exchange Markets written by Philipp Hartmann and published by Cambridge University Press. This book was released on 1998-12-10 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currency Competition and Foreign Exchange Markets by Philipp Hartmann of the European Central Bank is a major theoretical and empirical study of international currencies, which focuses on the role which the Euro will play in the international monetary and financial system along with the US dollar and the Japanese yen. In contrast to much of the existing literature which approaches the subject from a macroeconomic perspective, Philipp Hartmann develops a theoretical model which uses game theory, time series and panel econometrics, and links financial markets analysis with transaction cost economics. The results of Currency Competition and Foreign Exchange Markets are presented with reference to political, historical and institutional considerations, and provide accessible answers to policy-makers, business people and scholars worldwide. The sections on Spread Estimation and Multiple Vehicles with Inter-Dealer Price and Entry Competition will be of particular use for finance professionals.

Download or read book Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery written by Gunther Schnabl and published by . This book was released on 2007 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Risk and Volatility Evidence from Bid ask Spreads written by Glassman, Debra and published by . This book was released on 1984 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Volatility and Experts in the Run up to the EMU Accession written by Łukasz Goczek and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Foreign Exchange Markets Perceptions of Emu Participation by Finland France Italy and Portugal written by Bernd Wilfling and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov-switching GARCH model, this paper estimates the volatility processes of four EMU exchange rate returns vis-a-vis the German mark using daily data for the time prior to Stage III of EMU. Statistical inference traces the dates at which foreign exchange markets began to incorporate the expected EMU participation of each country into currency pricing. The data exhibits econometric evidence for two distinct country-specific views concerning the ultimate EMU membership. The analysis reveals that in an early phase there was market uncertainty about the actual implementation of Stage III of EMU.

Download or read book Exchange Rate Volatility and Exports in the Run up to the EMU Accession written by Łukasz Goczek and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book EMU and Portfolio Adjustment written by Kpate Adjaouté and published by Centre for Economic Policy Research. This book was released on 2000 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of the euro is a significant event for portfolio managers, both within and outside the monetary union. The euro will affect portfolio decisions through a variety of channels and the emergence of a single currency marks the disappearance of explicit and psychological barriers to international investing. The set of investment opportunities qualifying as 'domestic' is expanding, while the need for diversification across currencies must now be met by an increased demand for assets which are not denominated in euros. This paper examines the principal factors influencing the portfolio reallocation process following the introduction of the euro. Three broad categories of possible portfolio allocation are considered: domestic versus non-domestic investment, debt versus equity investment, and public debt versus private debt investment.

Download or read book Who Needs Bands Exchange Rate Policy Before Emu written by Mr.Tamim Bayoumi and published by International Monetary Fund. This book was released on 1995-04-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two issues are discussed. The first is which countries might benefit from entry into EMU before the millennium. Germany and her immediate neighbors appear the most likely to gain; however, our knowledge is too uncertain to say whether all, some, or no countries would reap net economic benefits. The second issue is how to avoid exchange rate instability in the transition to EMU. Experience from earlier exchange rate regimes suggests that an early announcement the parities at which different currencies would enter EMU could reduce such instability if governments were willing to accept the required limitations on domestic policies.

Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.

Download or read book Exchange Rates and the Firm written by R. Friberg and published by Springer. This book was released on 1999-07-26 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book to provide an integrated treatment of financial and operating strategies to exchange rate variability. The choice of price-setting currency, when and how to adjust prices, the limitations of hedging and segmentation of national markets are some of the issues analyzed. The book investigates the impact of EMU.

Download or read book European Monetary Union written by Paul J.J. Welfens and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paul J. J. Welfens European monetary union has been discussed for more than three decades and is likely to be realized in 1999. One may anticipate generous interpretations of the fiscal convergence criteria. Such generosity consistent with the Maastricht Treaty might impair the credibility of the ECB and the stability of the Euro, respectively, despite the fact that inflation is a monetary phenomenon and has little to do with government deficits, unless they were financed via the printing press, which is excluded in the Maastricht Treaty. The European Commission's forecast of spring 1997 suggests that Italy will have problems in joining the EMU starter group as the is expected to be 3. 2% in 1997 and even 3. 9% in 1998. A Italian deficitlGDP ratio fully developed EMU group (with all 15 cowltries included) would represent 38% of the OECD GDP, slightly higher than the U. S. with 33% (Japan 21%). The exports/GDP ratio of EU countries is 30%, the ratio with respect to exports outside the EU would be 10% (Japan, U. S. 8%). The share of the U. S. dollar in international currency reserves fell from 67% to 40% in 1995, while the share of European currencies increased from 13% to 37%. Prior to the EMU, market participants have to anticipate whether a transition to 1999 will bring windfall losses or gains in various bond markets.

Download or read book EMU Adjustment and Exchange Rate Variability written by Luca Antonio Ricci and published by International Monetary Fund. This book was released on 1998 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a three-country, three-good, factor-specific model of trade with wage rigidities to investigate how European Monetary Union (EMU) is likely to affect exchange rate variability. Focusing on international macroeconomic adjustment under both exogenous and optimizing monetary policies, it shows that the relative variability (against external currencies) of the euro (under EMU) and a basket of present currencies (pre-EMU) depends on relative sizes and specialization patterns of EMU countries and the relative importance of different shocks. EMU is likely to decrease (increase) exchange rate variability for shocks to industries in which large (small) EMU countries are specialized.

Download or read book Fixed Versus Flexible written by William P. Killeen and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two ways. First, our microstructural model provides a qualitatively new explanation for the puzzle. Second, we test implications of our model using Europe's recent shift to rigidly fixed rates (EMS to EMU). In the model, shocks to order flow induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the same shocks do not have portfolio-balance effects. These effects arise in one regime and not the other because the elasticity of speculative demand for foreign exchange is (endogenously) regime-dependent: low elasticity under flexible rates magnifies portfolio-balance effects; under credibly fixed rates, elasticity of speculative demand is infinite, eliminating portfolio-balance effects. New data on FF/DM transactions show that order flow had persistent effects on the exchange rate before EMU parities were announced. After announcement, determination of the FF/DM rate was decoupled from order flow, as predicted by the model.