Download or read book Exchange rate dynamics and learning written by Pierre-Olivier Gourinchas and published by . This book was released on 1996 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Dynamics written by Martin D. D. Evans and published by Princeton University Press. This book was released on 2011-03-14 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas
Download or read book EXCHANGE RATE DYNAMICS BUBBLES VS LEARNING written by Marc J. ROBERTS and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Dynamics written by Mark A. Roberts and published by . This book was released on 1987 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Exchange Rate Dynamics and Learning written by Pierre-Olivier Gourinchas and published by . This book was released on 1996 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate expectations are essential for exchange rate determination. Using a unique Survey data set on interest rate forecasts from 1986 to 1995 for G7 countries, we find that interest rate shocks were significantly more persistent in sample than expected by the market. This is consistent with ff3's finding that changes in the forward rate reflect changes in exchange rate expectations. We then present a model of nominal exchange rate determination that rationalizes the forward discount puzzle and exhibits the delayed overshooting pattern found by ee: following a monetary expansion that reduces the domestic interest rate, there is a gradual depreciation of the exchange rate followed by a gradual appreciation several months later. Delayed overshooting results from (a) the interaction of learning about the current state of affairs, and the intrinsic dynamic response of interest rates to monetary shocks and (b) the discrepancy between the actual distribution of shocks in sample and its expectation by market participants. This discrepancy is consistent with rational expectations if either (a) there is a small sample or Peso problem or (b) the true structure of the economy evolves over time and agents are learning with some delay
Download or read book Long Run Exchange Rate Dynamics written by Mr.Karl Friedrich Habermeier and published by International Monetary Fund. This book was released on 1999-04-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced economies, as well as open and high-inflation economies. Using the recently developed mean group and pooled mean group estimators, the paper finds support for the Balassa-Samuelson hypothesis in both advanced and developing economies; and for the influence of shifts in the terms of trade.
Download or read book Expectations Learning and Exchange Rate Dynamics written by Young Se Kim and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: My dissertation studies models of exchange rate determination that are standard in all respects except that market participants have incomplete knowledge about the economic structure, and employ adaptive learning rules to learn about the economic environment. My work on introducing model uncertainty into standard models is motivated by the well documented fact that when the underlying economic environment is known and is common knowledge to market participants, models under rational expectations cannot account for such basic features of the data as the relative volatility between exchange rate and fundamentals or the predictability of future exchange rate returns by the deviation of the exchange rate from the fundamentals. I partly response to this problem to use an alternative view of expectations, adaptive expectations, which can be a reasonable way to form expectations when the environment is excessively complex. I find that the model under adaptive expectations performs better than rational expectations in explaining why the forward exchange rate as a predictor of the future spot rate generates a large bias, why the maximal depreciation of a currency upon an unexpected monetary shock occurs some periods after the initial shock. I consider a standard monetary model where market participants learn about the economic structure using adaptive learning rules. While market participants are assumed to know the functional form of the stochastic process that drives the fundamentals, they do not know the parameter values which they assess by least squares learning. Market participants must also contend with unannounced regime shifts in the fundamental process. I compare the predictions of the model under adaptive learning to those generated under standard rational expectations and under adaptive expectations. I find that the model under adaptive learning dominates the alternative specifications of expectations in its ability to account for why the fundamentals predict exchange rate returns over long horizons, for generating exchange rate return volatility in excess of fundamentals volatility, and in generating persistent deviations of the exchange rate from the fundamentals. I conclude that the underlying model uncertainty goes far in helping to resolve some longstanding puzzles in the foreign exchange market.
Download or read book Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates written by Carl Chiarella and published by . This book was released on 2006 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers a version of the Dornbusch model of exchange rate dynamics which allows a nonlinear domestic demand for foreign assets function and imperfect substitutability between domestic and foreign interest bearing assets. Expectations of exchange rate changes are modelled as adaptive with perfect foresight being obtained as a limiting case. For sufficiently rapid speed of adjustment of expectations the model is able to generate cyclical behaviour of the exchange rate and expectations of its change. In the perfect foresight limit the cycles become relaxation cycles. To this underlying model of the fundamentals a white noise news process is added. Agents are assumed to attempt to learn about the system dynamics and the link between such learning and exchange rate volatility is studied. Two learning scenarios are considered. In the first scenario economic agents are regarded as a uniformly well-informed group of sophisticated traders. In the second scenario a group of naive traders coexist with the sophisticated traders. We find that both learning scenarios lead to increased volatility. However this effect increases in proportion to the weight of the naive traders.
Download or read book Speculation heterogeneity and learning a model of exchange rate dynamics written by Luigi Marengo and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Dynamics Learning and Misperception written by Pierre-Olivier Gourinchas and published by . This book was released on 2003 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new explanation for the forward-premium and the delayed-overshooting puzzles. Both puzzles arise from a systematic under-reaction of short-term interest rate forecasts to current innovations. Accordingly, the forward premium is always a biased predictor of future depreciation; the bias can be so severe as to lead to negative coeffcients in the 'Fama' regression; delayed overshooting may or may not occur depending upon the persistence of interest rate innovations and the degree of under-reaction; lastly, for G-7 countries against the U.S., these puzzles can be rationalized for values of the model's parameters that match empirical estimates.
Download or read book Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rate written by Carl Chiarella and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics written by Carl Chiarella and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Dynamics Redux written by and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until now, thinking on open economy macroeconomics has been largely schizophrenic. When it comes to analyzing exchange rate dynamics, an empirically-minded economist abandons modern current account models which, while theoretically coherent, fail to address the awkward reality of sticky nominal prices. In this paper we develop an analytically tractable two-country model that marries a full account of dynamics to a supply framework based on monopolistic competition and sticky prices. It offers simple and intuitive predictions about exchange rates and current accounts that sometimes differ sharply from those of either modern flexible-price intertemporal models, or traditional sticky-price Keynesian models. The model also leads to a novel perspective on the international welfare spillovers of monetary and fiscal policies.
Download or read book Exchange Rate Dynamics in a Two party Democracy the Role of Learning written by Ardo Hillar Hansson and published by Department of Economics, University of British Columbia. This book was released on 1988 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recent Developments on Exchange Rates written by Sandrine Lardic and published by Applied Econometrics Associati. This book was released on 2004-01-29 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection examines recent developments in exchange rate analysis. In the first part, two exchange rate models are proposed: a model which combines heterogeneous agents and transaction costs, and a dynamic general-equilibrium two-country sticky-price model. The second part of the book deals with econometric aspects of the exchange rate dynamics linked to regime-switching and structural breaks. In the third part of the book, an analysis of speculative attacks and monetary policy is presented.
