Download or read book Is the Stationarity of the Yen Real Exchange Rates a Puzzle written by Su Zhou and published by . This book was released on 2012 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to shed light on the puzzling finding that the results of applying the conventional or nonlinear unit root tests to the yen real exchange rates (RERs) in some recent studies appear to be rather sensitive to whether or not including the data of recent decade in the studies. It is found that this sensitivity of the test results may come from the failure to take into account the large rise and fall in the yen RERs. Using the newly developed unit root tests which account for the presence of multiple smooth temporary breaks in the RERs, the results clearly show that the yen RERs in the post -Bretton Woods period can be characterized as being linear or nonlinear stationary around infrequent smooth temporary mean changes, supporting the validity of PPP.
Download or read book The Yen Real Exchange Rate May be Stationary After All written by Georgios Chortareas and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Determination Puzzle written by Falkmar Butgereit and published by Diplomica Verlag. This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor
Download or read book The Yen Real Exchange Rate May Not be Stationary After All written by Hyeongwoo Kim and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Microstructure and Nonlinear Dynamics written by Gilles Dufrénot and published by Springer. This book was released on 2014-07-14 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Download or read book Purchasing Power Parity and Real Exchange Rates written by Mark P. Taylor and published by Routledge. This book was released on 2013-09-13 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
Download or read book Do Real Exchange Rates Follow a Random Walk written by Hirao Kojima and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the pure price inflation rates extracted and estimated by an innovative financial-asset pricing method, we build and estimate univariate time series models of Japanese yen per U.S. dollar real exchange rates. Employing three methods of modeling, we find consistently that the extracted price index-based real exchange rate, r(t), obeys a stationary, mean-reverting process. The mean-reverting behavior detected is consistent with the less restrictive version of absolute purchasing power parity in which a real exchange rate is allowed to temporarily deviate from its mean. Further, the stationarity of r(t) is fundamentally attributable to frequent and sharp changes in expectations reflected in goods prices that are implied by the extracted pure price inflation rates. Finally, an intuitive conjecture is presented that, in the long run, stationary series (r(t)) would be less difficult to predict than nonstationary (random-walk) time series, because of the long-run, mean-reverting behavior of r(t). The conjecture is supported by the out-of-sample forecasting performance comparison between r(t) and the random-walk CPI-based real exchange rate, for three- to six-month forecast horizons. This would reinforce evidence of the stationarity of r(t). A desirable feature of stationary real exchange rate is also presented with regard to equilibrium error.
Download or read book Non linear Mean Reversion in Real Exchange Rates written by Mark P. Taylor and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Behavioral Economics of Foreign Exchange Markets written by Robert Schmidt and published by Peter Lang Publishing. This book was released on 2006 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with psychological factors, which may be important for understanding the observable exchange rate movements. Thus, the study belongs to the new research field of behavioral economics, which considers the relevance of psychological factors in economic contexts. The main objective of behavioral economists is to develop a more realistic view of the actual human behavior in the context of economics. Central to the concept of behavioral economics is the assumption that humans' actual behavior deviates from the ideal of economic rationality due to at least two reasons: first, decisions are usually based on an incomplete information basis and, second, the information processing of human beings is limited by their computational capacities. Due to these limitations people are forced to apply simple heuristics in information processing. Our aim is to analyze the relevance of simple heuristics in the context of foreign exchange markets. In our view, the decision situation in foreign exchange markets can serve as a prime example for decision situations in which simple heuristics are especially relevant as the complexity of the decision situation is very high.
Download or read book International Macroeconomics written by Amalia Morales Zumaquero and published by Nova Publishers. This book was released on 2006 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: The international macroeconomics area has experienced substantial growth over the past decade. The goal of this volume is to present the most important developments in the international macroeconomics field in recent years. The literature in this area has evolved mainly in four directions that constitute the four parts of this book. In particular, Part I focuses on the purchasing power parity (PPP) puzzle, Part II presents papers that try to explain the behaviour of nominal and real exchange rates, Part III covers the financial crises, currency crises and contagion recent literature and, finally, the behaviour of exchange rates, inflation and output convergence in Central and Eastern European transition economies are considered in Part IV.
Download or read book Measuring Misalignment written by Menzie David Chinn and published by International Monetary Fund. This book was released on 1999-09-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concept of purchasing power parity (PPP) is used to evaluate whether eight East Asian currencies were overvalued on the eve of the 1997 crises. The Johansen and Horvath-Watson cointegration test procedures are applied to bilateral and multilateral exchange rates, deflated using CPIs, producer price indices (PPIs), and price indices of export goods. The second deflator yields the greatest evidence of “stationarity.” The study find’s that the Malaysian, Philippines, and Thai currencies were overvalued, while the Korean and Indonesian were substantially undervalued. Mixed results were obtained for the others. Measures of the equilibrium rate based on time trends in CPI-deflated rates typically suggest larger overvaluations.
Download or read book Southern Economic Journal written by and published by . This book was released on 2008 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Taylor & Francis. This book was released on 2007-03-12 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Download or read book The Real Yen Exchange Rate and Japanese Productivity Growth written by Janet Ceglowski and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the time-series properties of five real yen exchange rates by testing for stationarity in the context of a single structural shift. It finds that all but one of the series are stationary in conjunction with a trend- or mean-break in the late 1950s or early 1970s. By comparison, most real rates for five other industrialized countries are stationary around a constant mean. These findings suggest that the behavior of the real yen exchange rate is unique among the six currencies in the sample, a difference that may originate in the exceptional productivity performance of the Japanese traded-goods sector.
Download or read book Exchange Rates and International Finance Markets written by Erich Streissler and published by Routledge. This book was released on 2002-03-14 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, Streissler poses the important question of whether exchange rates are ultimately tied down by economic fundamentals. This is a wide-ranging study considering issues such as flexible exchange rates and interest parity.
Download or read book A Century Plus of Japanese Exchange Rate Behavior written by James R. Lothian and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examination of over a century's worth of annual data for Japan, the United States, the United Kingdom and France reveals a marked tendency for real exchange rates to return to their (measured) equilibrium values. The hypothesis that exchange-rate-adjusted price levels in these countries are not cointegrated is almost always rejected. Similar unit-root tests much more often than not reject the hypothesis of non-stationary (or non-trend-stationary) of real exchange rates. Analysis of earlier periods of floating yen rates - particularly the latter decades of the nineteenth century - points to an important link between monetary conditions and real exchange rate variability.
