Download or read book Puzzles in International Financial Markets written by Karen K. Lewis and published by . This book was released on 1994 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a survey of two basic puzzles in international finance. The first puzzle is the `predictable excess return puzzle.' The returns on foreign currency deposits relative to domestic currency deposits should be equalized based upon uncovered interest parity. However, not only do researchers find that deviations from uncovered interest parity are predictable ex ante, but their variance exceeds the variance in expected exchange rate changes. In the paper, I describe different explanations of this phenomenon including the view that excess returns are driven by a foreign exchange risk premium, peso problems or learning, and market inefficiencies. While the research to date has been able to better define the `predictable excess return puzzle' and to suggest the most likely directions for future progress, no one explanation has provided a full answer to the puzzle. The second puzzle is the `home bias puzzle.' Empirical evidence shows that domestic residents do not diversify sufficiently into foreign stocks. This evidence is clear whether looking at models based on portfolio holdings or outcomes of consumption realizations across countries. In this paper, I examine several possible explanations including non-traded goods and market inefficiencies, although even after considering these possibilities, the puzzle remains.
Download or read book International Capital Markets Structure Preferences and Puzzles written by Guglielmo Maria Caporale and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Puzzles in International Finance written by Seojin Lee and published by . This book was released on 2015 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The overall theme of this dissertation is the explanation of puzzles in international finance. Empirically, exchange rates seem to be disconnected to the economic fundamentals, and it is referred to as the exchange rate disconnect puzzle. Another puzzling feature in foreign exchange market is that high interest rate currency tends to appreciate, and it is called as ``uncovered interest rate parity puzzle.'' Chapter 1 and 3 of this dissertation examine the exchange rate disconnect puzzle, while chapter 2 investigates the explanation for the UIP puzzle. The first chapter, ``Imperfect Proxies for Market Expectations and the Exchange Rate Disconnect Puzzle'', develop an econometric framework which can capture the relation between exchange rate and economic variables. Conventional empirical studies assume the linear relation between exchange rate and its determinants implied by the theory. I show that this linear modeling strategy leads to the spurious instance of the exchange rate disconnect puzzle and propose the new model which allows imperfectness of the macro variables as a predictor for market expectation. The proposed model provides empirical evidence that the domestic currency appreciates in response to an unanticipated increase in domestic output growth or inflation. Furthermore, results for out-of-sample predictability tests suggest that the proposed model outperforms the random walk model over various horizons less than two years, for most of the countries under investigation. The second chapter of my dissertation, ``Is It Risk or Expectational Error? Explaining Deviation from Uncovered Interest Parity'' explores the behavior of ex-ante excess return to explain the UIP puzzle. Implementing empirical models of ex-ante excess return has proven to be very difficult and previous attempts have not been successful in explaining what makes ex-ante excess return. In this chapter, I propose the new framework which estimates the ex-ante excess return more efficiently by incorporating information in economic variables. The extracted series show that high inflation or output in the foreign country raises the ex-ante excess return for holding foreign currency, while high inflation or high output in home country lowers it. Moreover, using the survey-based forecast of exchange rate data, I find that ex-ante excess return is strongly connected with the market's systematic forecast error instead of with the implied risk premium. These empirical findings suggest that the market's expectation is not fully rational, and this systematic expectational error results in the UIP puzzle. Lastly, the third chapter, ``Commodity Currency Predictions: the Role of Expectations'', examines the dynamic linkage between commodity prices and exchange rate. Even though exchange rates and commodity prices are highly correlated contemporaneously, commodity prices are not shown to have predictive power for exchange rates. With several time-series techniques and alternative data, such as survey-based forecast of exchange rate and foreign exchange option prices, I show that commodity price is linked to the future exchange rate through the market expectation: markets consider aggregate commodity prices when they form expectations of the exchange rates. These empirical findings suggest that commodity price movements are incorporated into the nominal exchange rate with lasting impact beyond one quarter.
Download or read book Puzzles of Finance written by Mark P. Kritzman and published by John Wiley & Sons. This book was released on 2002-08-19 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mit einigen wichtigen Theorien muß jeder Finanzexperte vertraut sein, wenn er die Grundlagen der Finanzanalyse verstehen will. In der Regel jedoch, werden diese Theorien nur unzureichend verstanden. "Puzzles of Finance" befaßt sich eingehend mit diesen komplizierten Finanzthemen und liefert dem Leser verständliche Erklärungen und Definitionen, die sich auf ein absolutes Minimum an Terminologie und Mathematik beschränken.
Download or read book The Six Major Puzzles in International Macroeconomics written by Maurice Obstfeld and published by . This book was released on 2000 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We also address a variety of international pricing puzzles, including the purchasing power parity puzzle emphasized by Rogoff, and what we term "the exchange rate disconnect puzzle." The latter category of riddles includes both the Meese-Rogoff exchange rate forecasting puzzle and the Baxter-Stockman neutrality of exchange rate regime puzzle. Here, although many elements need to be added to our extremely simple model, trade costs still play an essential role."--Authors.
Download or read book Demystifying China s Stock Market written by Eric Girardin and published by Springer Nature. This book was released on 2019-09-13 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mainstream research has rationalized China’s stock market on the basis of paradigms such as the institutional approach, the efficient market hypothesis, and corporate valuation principles. The deviations from such paradigms have been analyzed as puzzles of China’s stock market. Girardin and Liu explore to what extent, in the perspective of Chinese cultural and historical characteristics, far from being puzzles, these 'deviations’ are rather the symptoms of a consistent strategy for the design, development and regulation of a government-dominated financial system. This book will help investors, observers and researchers understand the hidden logic of the design and functioning of China’s modern stock market, taking a political economy view.
Download or read book The Changing Environment of International Financial Markets written by Dilip K. Ghosh and published by Springer. This book was released on 2016-01-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection examines the emerging issues arising from increasingly globalized financial markets. Topics covered include: the exchange of rate market, equilibrium and efficiency, inflation and interest rates, capital movements, the balance of payments and international reserves, foreign debt, country risk analysis, currency market arbitrage and speculative designs under market imperfection, international tax issues and trade liberalization and offshore banking.
Download or read book International Finance Puzzles with Market Frictions written by Sylvain Leduc and published by . This book was released on 1999 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Controversies in Economics and Finance written by Imad A. Moosa and published by Edward Elgar Publishing. This book was released on 2020-11-27 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this fascinating book, Imad A. Moosa challenges existing preconceptions surrounding normative economics, arguing that what some economists see as undisputed facts of life may be myths caused by dogmatic thinking. Plausible explanations are suggested for puzzles in various areas of economics and finance, such as the home bias puzzle, the PPP puzzle and the presidential puzzle. Controversies in Economics and Finance is a thought-provoking and stimulating read that exposes common flaws in economic analysis. It will be of great benefit to academics, graduate students and policy-makers looking to understand the limits of economic analysis.
Download or read book Pricing Currency Risk written by Sergio L. Schmukler and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book NBER Macroeconomics Annual 2000 written by Ben Bernanke and published by Mit Press. This book was released on 2001-02-19 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual presents, extends, and applies pioneering work in macroeconomics and stimulates work by macroeconomists on important policy issues. Each paper in the Annual is followed by comments and discussion.
Download or read book International Financial Markets written by Richard M. Levich and published by . This book was released on 2001 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this text is to analyze the key financial markets and instruments that facilitate trade and investment activity on a global scale. It spans two key areas: First-the economic determinants of prices, price changes and price relationships in the major financial markets; Second-the policy issues that result from private enterprises and public policymakers.
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 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book poses the important question of whether exchange rates are ultimately tied down by economic fundamentals. In a unique approach the subject is analysed from an asset holder's perspective and Streissler takes the reader through an authoritative and wide-ranging study including:*Friedman's case for flexible exchange rates*interest parity and
Download or read book International Finance For Dummies written by Ayse Evrensel and published by John Wiley & Sons. This book was released on 2013-04-05 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: Want to get the most out of your International Finance course? Nowadays the value of daily foreign exchange trading is more than one hundred times the value of annual international trade in goods and services. As result of the great importance of international financial transactions, the subject of international finance continues to develop as fast as—or faster than—any other field in economics and finance. International Finance For Dummies sheds light on this increasingly important subject for the growing number of students required to take this course. If you're an undergraduate or MBA student enrolled in an international finance course, this hands-on, friendly guide gives you everything you need to succeed. Plus, it includes up-to-date information on the latest changes to International Finance Reporting Standards, its impact on a company's overall finances, and the various currencies and institutions available worldwide. Serves as an excellent supplement to your international finance texts Provides easy-to-understand explanations of complex material Brings you up-to-speed on the concepts and subject matter you need to know International Finance For Dummies is your ticket to scoring your highest in your international finance course.
Download or read book Handbook of International Economics written by G.M. Grossman and published by Elsevier. This book was released on 1997-10-24 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of International Economics
Download or read book International Economics written by and published by Routledge. This book was released on with total page 783 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
