Download or read book Information Flow Between Forward and Spot Markets written by Jiadong Tong and published by . This book was released on 2015 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)-U.S. dollar spot and forward exchange rates during the managed-floating period of 2005-2013. We find that the RMB market has exhibited different dynamic relationships between spot and forward exchange rates over time, apparently due to significant policy changes. Offshore forward rates with either shorter or longer maturities can substantially explain the in-sample variation of the onshore spot exchange rate at longer horizons, while only the offshore forward rate with a shorter maturity can significantly predict RMB onshore spot rate changes out-of-sample.

Download or read book An Empirical Analysis of the Interrelation Between Spot Market Non Deliverable Forward Market of USD INR in the Pre and Post Currency Futures Era written by Saravanan A and published by . This book was released on 2017 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this paper is to study whether the introduction of the currency futures had an impact of the interrelation and information flows between the INR-USD spot and offshore forward (i.e., non-deliverable forward) markets. The econometric models have been used in this study, and long-term equilibrium relationship is measured through Johansen Co-integration test and Granger causality test is employed measure the short-term relationship. The result of the co-integration test proves that there exists a significant long-term equilibrium relation between the USD-INR spot and NDF rates. Causality test confirms that there is bidirectional causality between the spot and the NDF market in Sub-period 1, whereas a unidirectional causality exists in the Sub-period 2. We adopt the augmented GARCH formulation to compare NDF and spot market. We find that before currency future was introduced there existed a mean and volatility spillover effect from the NDF to spot market and vice versa, i.e., both directions. But after the introduction of currency futures, however, the results reversed with unidirectional mean spillover effect only from the NDF to the spot market. Also, the volatility spillover effect exists only in the same direction. These findings suggest that there is information flows between NDF and spot markets, Hence it is concluded that introduction of currency future has changed the direction of the dynamic relation in these two markets.

Download or read book Lead Lag Relationship Between the Real Estate Spot and Forward Contract Markets written by Edward Chung Yim Yiu and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the lead-lag relationship between the spot and forward returns on direct real estate investments. Based on the forward price index (for which the term to maturity is zero) and the expost spot price index of residential property in Hong Kong, changes in information flow between the spot and forward markets are tested to see how they affect the lead-lag relationship. The findings suggest that (1) during periods of low-volume ratios (i.e., the forward market is relatively less active than the spot market), the spot return Granger causes the returns of forward contracts; and (2) during periods of higher-volume ratios, there are feedback relationships between the two markets.

Download or read book Proceedings of the Seventh International Conference on Management Science and Engineering Management written by Jiuping Xu and published by Springer Science & Business Media. This book was released on 2013-09-25 with total page 762 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the proceedings of the Seventh International Conference on Management Science and Engineering Management (ICMSEM2013) held from November 7 to 9, 2013 at Drexel University, Philadelphia, Pennsylvania, USA and organized by the International Society of Management Science and Engineering Management, Sichuan University (Chengdu, China) and Drexel University (Philadelphia, Pennsylvania, USA). The goals of the Conference are to foster international research collaborations in Management Science and Engineering Management as well as to provide a forum to present current research findings. The selected papers cover various areas in management science and engineering management, such as Decision Support Systems, Multi-Objective Decisions, Uncertain Decisions, Computational Mathematics, Information Systems, Logistics and Supply Chain Management, Relationship Management, Scheduling and Control, Data Warehousing and Data Mining, Electronic Commerce, Neural Networks, Stochastic Models and Simulation, Fuzzy Programming, Heuristics Algorithms, Risk Control, Organizational Behavior, Green Supply Chains, and Carbon Credits. The proceedings introduce readers to novel ideas on and different problem-solving methods in Management Science and Engineering Management. We selected excellent papers from all over the world, integrating their expertise and ideas in order to improve research on Management Science and Engineering Management.

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 Modelling and Forecasting in Dry Bulk Shipping written by Shun Chen and published by CRC Press. This book was released on 2014-04-24 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book models price behaviour and forecasts prices in the dry bulk shipping market, a major component of the world shipping industry. Recent uncertainties in the world economy, shipbuilding developments and fleet changes mean the dry bulk shipping market has become extremely volatile, highly speculative and more sensitive to external shocks. In response to these challenging circumstances, this book models price behaviour and forecasts prices in various markets including the freight market, the new build ship market and the second-hand ship market. The authors have carried out an extensive investigation of dry bulk shipping over a 60-year period in diverse sub-markets, trading routes, market conditions and dry bulk vessels. The authors also propose a framework for analysing and modelling the economic processes of numerous variables in the dry bulk shipping market, making use of modern econometric techniques and other economic approaches. This will be especially useful for the control and assessment of risk for ship owners and charterers in ship operation, ship chartering and ship trading activities. This book will be extremely useful for shipbuilders, owners and charterers, as well as shipping analysts and policymakers. It will also be of great interest to academics and researchers concerned with the economics of the shipping industry.

Download or read book Fiscal Foresight and Information Flows written by Eric M. Leeper and published by International Monetary Fund. This book was released on 2012-06-01 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: News - or foresight - about future economic fundamentals can create rational expectations equilibria with non-fundamental representations that pose substantial challenges to econometric efforts to recover the structural shocks to which economic agents react. Using tax policies as a leading example of foresight, simple theory makes transparent the economic behavior and information structures that generate non-fundamental equilibria. Econometric analyses that fail to model foresight will obtain biased estimates of output multipliers for taxes; biases are quantitatively important when two canonical theoretical models are taken as data generating processes. Both the nature of equilibria and the inferences about the effects of anticipated tax changes hinge critically on hypothesized information flows. Different methods for extracting or hypothesizing the information flows are discussed and shown to be alternative techniques for resolving a non-uniqueness problem endemic to moving average representations.

Download or read book Valuation Hedging and Speculation in Competitive Electricity Markets written by Petter L. Skantze and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.

Download or read book Managing in Recovering Markets written by S. Chatterjee and published by Springer. This book was released on 2014-10-27 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: The changing dynamics of business worldwide have led organizations to look beyond traditional managerial practices while at the same time attempting to retain their core competitive advantages. This development has called upon academicians and practitioners alike to reassess the different aspects of business management such as macroeconomic variables, the nature of the market, the changing features of the workplace, the new work ethos, and/or employer-employee exchanges. In this context, the book provides essential insights on industry innovations, academic advances and policy movements with regard to recovering markets in India and around the globe. The individual papers highlight potential avenues that could allow industry to better understand and respond to the global crisis. The book collects research papers presented at the Global Conference on Managing in Recovering Markets (GCMRM), held in March 2014. Seven international and 120 national business schools and management universities were represented at the conference, the first in a series of 13 planned under the GCMRM agenda for 2014–17. The book includes more than 30 research papers chosen from a pool of 118 presented at the conference, all of which have undergone a rigorous blind review process.

Download or read book Understanding Futures Markets written by Robert W. Kolb and published by Blackwell Publishing. This book was released on 1997-08-11 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition covers all of the historical developments of the futures market in a manner accessible to a wide range of readers and offers an unparalleled breadth and depth of coverage

Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.

Download or read book Derivatives and Risk Management written by and published by Pearson Education India. This book was released on with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Chinese Yuan Renminbi Derivative Products written by Peter Guangping Zhang and published by World Scientific. This book was released on 2004-10-11 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the CNY revaluation perspectives, hundreds of billions of US dollars have been invested in various types of CNY-related derivative products. As a derivatives specialist with more than ten years' experience in the international financial market and with a working experience in China in the past few years, the author offers a volume on trading and other practical issues of CNY-related derivative products in the offshore marketplace.

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Download or read book Spot Market written by Fouad Sabry and published by One Billion Knowledgeable. This book was released on 2024-01-22 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is Spot Market The spot market, often known as the cash market, is a public financial market that facilitates the acquisition and sale of financial instruments or commodities for immediate delivery. On the other hand, a futures market, in which delivery is scheduled for a later date, is not the same thing. The settlement process in a spot market typically takes place in T+2 working days, which means that the delivery of cash and commodities must be completed after two working days have passed since the date of the trade. An exchange or an over-the-counter (OTC) market are both viable options for using a spot market. Spot markets are able to function in any location where the necessary infrastructure is present to carry out the transaction. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Spot market Chapter 2: Derivative (finance) Chapter 3: Commodity market Chapter 4: Futures contract Chapter 5: Forward contract Chapter 6: Hedge (finance) Chapter 7: Spot contract Chapter 8: Commodity Futures Modernization Act of 2000 Chapter 9: Swap (finance) Chapter 10: Over-the-counter (finance) Chapter 11: Brent Crude Chapter 12: Foreign exchange option Chapter 13: Contract for difference Chapter 14: Securities market Chapter 15: Non-deliverable forward Chapter 16: Energy derivative Chapter 17: Option (finance) Chapter 18: Weather risk management Chapter 19: LCH (clearing house) Chapter 20: GFI Group Chapter 21: London bullion market (II) Answering the public top questions about spot market. (III) Real world examples for the usage of spot market in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Spot Market.

Download or read book Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).

Download or read book Guide to Financial Markets written by Marc Levinson and published by The Economist. This book was released on 2018-07-24 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.