Download or read book Testing Alternative Foreign Exchange Models written by Robert C. Krol and published by . This book was released on 1982 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Alternative Foreign Exchange Models written by Robert C. Krol and published by . This book was released on 1985 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Rise and Fall of Sterling written by Hali J. Edison and published by . This book was released on 1981 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Foreign Exchange Markets written by Weshah Razzak and published by . This book was released on 1994 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Drachma U S Dollar Exchange Rate Determination written by Despina Sikalidou and published by . This book was released on 1991 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tests of Alternative Exchange Rate Hypotheses written by Seth Tobin Kaplan and published by . This book was released on 1986 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.

Download or read book The Rise and Fall of Sterling written by Hali J. Edison and published by . This book was released on 1981 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Alternative Efficiency Tests and Return Behavior in the Foreign Exchange Market written by Henock Louis and published by . This book was released on 1998 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Foreign Exchange Intervention Rules for Central Banks A Risk based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.

Download or read book Currency Substitution and Vehicle Currencies written by Stephen H. Thomas and published by . This book was released on 1991 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rates in Multicountry Econometric Models written by P. de Grauwe and published by Springer. This book was released on 1983-12-01 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Monetary Approach to the Balance of Payments written by Jacob Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.

Download or read book Exchange Rate Theory and Practice written by John F. Bilson and published by University of Chicago Press. This book was released on 2007-12-01 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.

Download or read book Testing for Nonlinearities in Time Series with an Application to Exchange Rates written by Yan Zhang and published by . This book was released on 2002 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on testing for nonlinearities in time series. Inspired by the work of Luukkonen et al. (1988) and Saikkonen and Luukkonen (1988), we consider applying a linearity test constructed specifically to general linearity testing by utilizing the power of a specific linearity test against "incorrect" nonlinear models. The LM test is discussed as a specific linearity test. To evaluate its performance as a general linearity test, we introduce a popular general linearity test, the BDS test, for comparison. Both power and size properties of the tests are investigated using Monte Carlo simulation and Bootstrap methods. The data generating process are the linear AR model and the nonlinear BL, EAR, TAR, STAR and ARCH models. Though the powers of the LM tests vary according to the data generating process, as Luukkonen et al. (1988) and Saikkonen and Luukkonen (1988) concluded, we are able to find that the START, the LM test with the STAR model as alternative, has generally good powers for all the nonlinear models discussed. We apply the result to an empirical study of four major countries' foreign exchange rate series. Linearity tests in the form of START and BDS are conducted for the data. The START statistics indicate that all the four exchange rates series are nonlinear, while the BDS statistics only detect nonlinearities in three of the four series. We estimate the series in the nonlinear form of ESTAR and BL models. All of them are significant and most of them are better than the linear AR estimation. Meese and Rogoff's myth that nonlinear models cannot do better than the naïve random walk model is also discussed for this specific data.

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 NBER Macroeconomics Annual 2007 written by Daron Acemoglu and published by . This book was released on 2008-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.