Download or read book Exchange rate fundamentals and tests for speculative bubbles written by C. Davis and published by . This book was released on 1987 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Speculative Bubbles Speculative Attacks and Policy Switching written by Robert P. Flood and published by MIT Press. This book was released on 1994 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: The papers in this book are grouped into three sections: the first on price bubbles is primarily financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.

Download or read book Excess Volatility and the Asset Pricing Exchange Rate Model with Unobservable Fundamentals written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1999-05-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.

Download or read book Regime Switching as a Test for Exchange Rate Bubbles written by Simon Van Norden and published by . This book was released on 1993 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Speculative Bubbles in Foreign Exchange Markets written by Akila Weerapana and published by . This book was released on 1993 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign currency speculation has always been a well publicized topic that has captured the attention of people who have not formally studied economics. It is also a topic that has captured the attention of researchers in International Finance because speculative bubbles have often been considered as a possible explanation for the excess volatility of exchange rates. An examination of past studies reveals that different methods have been used by researchers to test for the existence of speculative bubbles in major currencies over the period from 1970-1984. In this paper, I will apply three methods which have been used in the past to reach conclusions about the existence of speculative bubbles in the U.S Dollar/German Mark and the U.S Dollar/Japanese Yen exchange rate over the period from 1982-1992 and the U.S Dollar/British Pound exchange rate from 1987-1992. One objective of this paper is to update previous studies by expanding their scope into the most recent decade. The other objective is to use several testing methods for each currency in order to gain an insight into both the robustness of the conclusions and the dependency of the conclusions on a particular method of testing.

Download or read book Rational Speculative Bubbles and Duration Dependence in Exchange Rates written by Benjamas Jirasakuldech and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the presence of rational speculative bubbles in the exchange rates of the British pound, the Canadian dollar, the Danish krone, the Japanese yen and the South African rand against the US dollar. The unit root test shows that the exchange rates and fundamental variables - money supply, income and interest rates - are integrated of order one, indicating no rational speculative bubbles. Further, the cointegration test indicates evidence of a long-run relationship between the exchange rate series and the fundamental variables, corroborating that no speculative bubble is present. The results of the non-parametric duration dependence test suggest that rational expectations bubbles do not affect these exchange rates.

Download or read book Exchange Rate Fundamentals versus Speculation written by International Monetary Fund and published by International Monetary Fund. This book was released on 1988-12-20 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The exchange rate for the Lebanese pound experienced a protracted period of depreciation from end-1982 to November 1987, followed by a marked appreciation over the following six months. This paper investigates the competing hypotheses that the exchange rate over these two periods was driven by a speculative bubble versus “fundamental” economic variables. Reduced-form and time series models for the exchange rate are estimated and tested for nonstationarity. The results of these test suggest that the pound’s volatility in recent years was consistent with an excessive growth in domestic versus foreign currency denominated liquidity rather than speculation.

Download or read book Rational Speculative Bubbles in an Exchange Rate Target Zone written by Willem H. Buiter and published by . This book was released on 1990 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent theory of exchange rate dynamics within a target zone holds that exchange rates under a currency bard are less responsive to fundamental shocks than exchange rates under a free float, provided that the intervention rules of the Central Bank(s) are common knowledge. These results are derived after having assumed a priori that excess volatility due to rational bubbles does not occur in the foreign exchange market. In this paper we consider instead a setup in which the existence of speculative behavior is a datum the Central Bank has to deal with. We show that the defense of the target zone in the presence of bubbles is viable if the Central Bank accommodates speculative attacks when the latter are consistent with the survival of the target zone itself and expectations are self-fulfilling. These results hold for a large class of exogenous and fundamental-dependent bubble processes. We show that the instantaneous volatility of exchange rates within a bard is not necessarily less than the volatility under free float and analyze the implications for interest rate differential dynamics.

Download or read book On the Exchange Rate of the Dollar written by Nikitas Pittis and published by . This book was released on 1990 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Speculation And The Dollar written by Laurence Krause and published by Routledge. This book was released on 2019-07-11 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: I began serious consideration of the issues and subject matter that comprise this book as a graduate student at the University of Massachusetts at Amherst. In need of a dissertation topic and vaguely curious about international monetary economics, I decided to sit in on Leonard Rapping's undergraduate course on international finance. Needless to say, I was soon hooked. Within several months I was teaching my own course on international money and beginning to write an outline of what would become my doctoral dissertation on foreign exchange speculation. Once completed the dissertation thesis became this basis for this book.

Download or read book Testing for Speculative Bubbles in Exchange Rates written by P. N. Smith and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Speculative Bubbles in Exchange Rates written by Peter N. Smith and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Survey of Empirical Research on Nominal Exchange Rates written by Jeffrey A. Frankel and published by . This book was released on 1995 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Exchange Rates written by Jeffrey A. Frankel and published by MIT Press. This book was released on 1993 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.

Download or read book Testing for Rational Speculative Bubbles in Foreign Exchange Rates written by Laura Tao and published by . This book was released on 2010 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Speculative Bubbles and Excess Returns on European Exchange Rates written by Andrea Bubula and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stock Market Bubbles Volatility and Chaos written by G.P. Dwyer and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.