Download or read book On Time series Properties of Time varying Risk Premium in the Yen dollar Exchange Market written by Fabio Canova and published by . This book was released on 1988 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.

Download or read book Time varying Risk Perceptions and the Pricing of Risky Assets written by Benjamin M. Friedman and published by . This book was released on 1988 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical results based on two different statistical approaches lead to several conclusions about the role of time-varying asset risk assessments in accounting for what, on the basis of many earlier studies, appear to be time-varying differentials in ex ante asset returns. First, both methods indicate sizeable changes over time in variance-covariance structures conditional on past information. These changing conditional variance-covariance structures in turn imply sizeable changes over time in asset demand behavior, and hence in the market-clearing equilibrium structure of ex ante asset returns. Second, at least for some values of the parameter indicating how rapidly investors discount the information contained in past observations, the implied ex ante excess returns bear non-negligible correlation to observed ex post excess returns on either debt or equity. The percentage of the variation of ex post excess returns explained by the implied time-varying ex ante excess returns is comparable to values to which previous researchers have interpreted as warranting rejection of the hypothesis that risk premia are constant over time. Third, although for long-term debt the two statistical methods used here give sharply different answers to the question of how much relevance market participants associate with past observations in assessing future risks, for equities both methods agree in indicating extremely rapid discounting of more distant observations -- so much so that in neither case do outcomes more than a year in the past matter much at all. While the paper's other conclusions are plausible enough, the finding of such an extremely short "memory" on the part of equity investors suggests that the standard representation of equity risk by a single normally distributed disturbance is overly restrictive

Download or read book Advances in Quantitative Asset Management written by Christian Dunis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.

Download or read book Exchange Rate Modelling written by Ronald MacDonald and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.

Download or read book Studies in Foreign Exchange Economics written by Martin D D Evans and published by World Scientific Publishing Company. This book was released on 2017-06-28 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.

Download or read book Monetary Policy in Transition written by Olivier Basdevant and published by Nova Publishers. This book was released on 2005 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary policy faces a particularly difficult task in most economies going through structural reforms: having to stabilise fluctuations around the trend, central banks have also to deal with a trend that is itself subjected to shifts, as a result of reforms. This book proposes some perspectives on these issues, with various contributions from both practitioners and academics, emphasising how rather simple techniques can be conveniently used to solve complex problems. Several issues are hence considered, each emphasising a particular aspect of the theme proposed: (i) forecasting inflation, with the experience of the Reserve Bank of New Zealand being taken as an example, since this country went through drastic structural change, (ii) understanding underlying trends of inflation, focusing on expectations and data revision, wage-bargaining process and more generally supply effects, since structural change magnifies them, (iii) formulating policy recommendations, the example taken is the strategy towards the euro for Eastern European countries and (iv) assessing risks of sudden stops.

Download or read book The Survival of Noise Traders in Financial Markets written by J. Bradford De Long and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the revised estimates of U.S. GNP constructed by Christina Romer (1989) to assess the time-series properties of U.S. output per capita over the past century. We reject at conventional significance levels the null that output is a random walk in favor of the alternative that output is a stationary autoregressive process about a linear deterministic trend. The difference between the lack of persistence of output shocks either before WWII or over the entire century, on the one hand, and the strong signs of persistence of output shocks found by Campbell and Mankiw (1987) and by Nelson and Plosser (1982) for more recent periods is striking. It suggests to us a Keynesian interpretation of the large unit root in post-WWII U.S. output: perhaps post-WWII output shocks appear persistent because automatic stabilizers and other demand-management policies have substantially damped the transitory fluctuations that made up the pre-WWH Bums-Mitchell business cycle.

Download or read book On the Existence and Interpretation of a unit Root in U S GNP written by J. Bradford De Long and published by . This book was released on 1988 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the revised estimates of U.S. GNP constructed by Christina Romer (1989) to assess the time-series properties of U.S. output per capita over the past century. We reject at conventional significance levels the null that output is a random walk in favor of the alternative that output is a stationary autoregressive process about a linear deterministic trend. The difference between the lack of persistence of output shocks either before \VWII or over the entire century, on the one hand, and the strong signs of persistence of output shocks found by Campbell and Mankiw (1987) and by Nelson and Plosser (1982) for more recent periods is striking. It suggests to us a Keynesian interpretation of the large unit root in post-WWII U.S. output: perhaps post-WWII output shocks appear persistent because automatic stabilizers and other demand-management policies have substantially damped the transitory fluctuations that made up the pre-WWH Bums-Mitchell business cycle.

Download or read book Journal of Empirical Finance written by and published by . This book was released on 1996 with total page 884 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book News and the Dollar yen Exchange Rate 1931 1933 written by Takatoshi Itō and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: According to the efficient market hypothesis, news in Tokyo is responsible for the exchange rate changes during the Tokyo market hours, while the U.S. news is responsible for changes in the New York hours. The intra-daily dynamics of the $/yen exchange rate from December 1931 to November 1933 is analyzed. Japan's decision to go off gold in December 1931 depreciated yen by 30% in a month, mostly in the Tokyo market. During 1932, the yen depreciated another 30%, mainly due to Japan's aggression in China and resulting diplomatic isolation. In 1933, the yen appreciated against the dollar, mainly in the New York market, due to the U.S. decision to go off gold. However, exchange rate volatility and its sensitivity to news declined over the two year period, because of increasing capital controls. Changes in the interest rate differential was found insignificant for the changes in the exchange rate. Political regime changes, such as a decision to go off gold, most influenced the exchange rate for the period considered. There were no policy decisions by Japan to cause yen depreciation to promote export and limit import in 1931-33.

Download or read book Tariffs in an Economy with Incomplete Markets and Unemployment written by Raquel Fernandez (Ph.D.) and published by . This book was released on 1988 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the optimal labor contract in a small open economy with incomplete markets under international price uncertainty. The effect on employment, wages, and profits of different realizations of the state of nature is studied and agents' preferences concerning the implementation of a tariff are determined. The implicit contract equilibrium is shown to be constrained Pareto optimal; unanticipated tariff policy cannot be Pareto improving over free trade.

Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.

Download or read book The Seasonal Cycle and the Business Cycle written by Robert B. Barsky and published by . This book was released on 1988 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Almost all recent research on macroeconomic fluctuations has worked with seasonally adjusted or annual data. This paper takes a different approach by treating seasonal fluctuations as worthy of study in their own right. We document the quantitative importance of seasonal fluctuations, and we present estimates of the seasonal patterns in a set of standard macroeconomic variables. Our results show that seasonal fluctuations are an important source of variation in all macroeconomic quantity variables but small or entirely absent in both real and nominal price variables. The timing of the seasonal fluctuations consists of increases in the second and fourth quarter, a large decrease in the first quarter, and a mild decrease in the third quarter. The paper demonstrates that, with respect to each of several major stylized facts about business cycles, the seasonal cycle displays the same characteristics as the business cycle, in some cases even more dramatically than the business cycle. That is, we find that at seasonal frequencies as well as at business cycle frequencies, output movements across broadly defined sectors move together, the timing of production and sales coincide closely, labor productivity is procyclical, nominal money and real output are highly correlated, and prices vary less than quantities. There is a "seasonal business cycle" in the United States economy, and its characteristics mirror closely those of the conventional business cycle.

Download or read book The Founding of the Fed and the Destabilization of the Post 1914 Economy written by Jeffrey A. Miron and published by . This book was released on 1988 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: A standard assumption in the literature on optimal monetary policy is that the proper goal of policy is the reduction of the variation in output around its natural rate level. The stabilization of output has not always been accepted as the primary goal of policy, however. This paper argues that neither the founders of the Federal Reserve System nor the central bankers in charge during the first twenty-five years of the Fed's existence viewed the elimination of short term movements in output as an important objective for policy. Instead, the framers of the Federal Reserve System and the early practitioners of central banking in the United States apparently thought that "stabilization" of asset markets was the crucial task for the monetary authority. The paper compares the performance of the United States economy during the twenty-five year periods before and after 1914 and shows that after the founding of the Fed the variance of both the rate of growth of output and of the inflation rate increased significantly, while the average rate of growth of output fell, and real stock prices became substantially more volatile. The remainder of the paper then suggests that the deterioration in the performance of the economy after 1914 can be attributed directly to the actions of the Fed

Download or read book Understanding Real Interest Rates written by Frederic S. Mishkin and published by . This book was released on 1988 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper outlines an approach to measuring real interest rates and testing hypotheses on their behavior. It then describes what we know about real interest rates in the aggregate economy and provides estimates of real interest rates for the agricultural sector. The evidence presented in this paper indicates that real interest rates for the agricultural economy have been extremely high in the l98Ds and that their behavior seems to be linked to that found for real rates in the aggregate economy. What has been the source of these high real rates? The answer seems to be that it was a result of a concerted effort by the monetary authorities to disinflate the economy. However, the brunt of the Fed's disinflationary policy has fallen more heavily on the farm sector which has had to face far higher reel rates than the rest of the economy. Although breaking the back of inflation was certainly a worthy goal for the Fed, farmers have had to pay a heavy price. They have had to suffer for the sins of an economy that was excessively inflationary, which then had to be brought back into line with disinflationary policy.

Download or read book The International Financial Regime written by Graham Bird and published by Academic Press. This book was released on 1990 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: The beginning of the 1990s is an appropriate time to review the state of our knowledge relating to international financial economics. Any cursory glance at the media today reveals the topicality of such issues as balance of payments policy, exchange-rate mechanisms, the European monetary system, the role of the official and commercial sectors in the provisions of finance, and international debt.International Financial Regimes addresses the central questions of international finance and economics in a lively and readable style. The contributors are all acknowledged experts in their fields and each contribution presents an accessible survey of the often complex issues which make up the international monetary system. This book is a useful reference for economists, policy makers, and advanced students of international economics.

Download or read book Role of Exchange rate Volatility in U S Import Price Pass through Relationships written by Jon David Kendall and published by . This book was released on 1989 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: