Download or read book Testing for Speculative Bubbles in Foreign Exchange Markets written by Akila Weerapana and published by . This book was released on 1993 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign currency speculation has always been a well publicized topic that has captured the attention of people who have not formally studied economics. It is also a topic that has captured the attention of researchers in International Finance because speculative bubbles have often been considered as a possible explanation for the excess volatility of exchange rates. An examination of past studies reveals that different methods have been used by researchers to test for the existence of speculative bubbles in major currencies over the period from 1970-1984. In this paper, I will apply three methods which have been used in the past to reach conclusions about the existence of speculative bubbles in the U.S Dollar/German Mark and the U.S Dollar/Japanese Yen exchange rate over the period from 1982-1992 and the U.S Dollar/British Pound exchange rate from 1987-1992. One objective of this paper is to update previous studies by expanding their scope into the most recent decade. The other objective is to use several testing methods for each currency in order to gain an insight into both the robustness of the conclusions and the dependency of the conclusions on a particular method of testing.

Download or read book Testing for Speculative Bubbles in Exchange Rates written by Peter N. Smith and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Speculative Bubbles in Exchange Rates written by P. N. Smith and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Speculative Bubbles Speculative Attacks and Policy Switching written by Robert P. Flood and published by MIT Press. This book was released on 1994 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: The papers in this book are grouped into three sections: the first on price bubbles is primarily financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.

Download or read book Testing for Rational Speculative Bubbles in Foreign Exchange Rates written by Laura Tao and published by . This book was released on 2010 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange rate fundamentals and tests for speculative bubbles written by C. Davis and published by . This book was released on 1987 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Testing for Speculative Bubbles in the Stock Market written by Lii-Tarn Chen and published by . This book was released on 1995 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Speculative Bubbles and Duration Dependence in Exchange Rates written by Benjamas Jirasakuldech and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the presence of rational speculative bubbles in the exchange rates of the British pound, the Canadian dollar, the Danish krone, the Japanese yen and the South African rand against the US dollar. The unit root test shows that the exchange rates and fundamental variables - money supply, income and interest rates - are integrated of order one, indicating no rational speculative bubbles. Further, the cointegration test indicates evidence of a long-run relationship between the exchange rate series and the fundamental variables, corroborating that no speculative bubble is present. The results of the non-parametric duration dependence test suggest that rational expectations bubbles do not affect these exchange rates.

Download or read book Testing for Speculative Bubbles in Stock Prices written by Aslı Demirgüç-Kunt and published by . This book was released on 1988 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Regime Switching as a Test for Exchange Rate Bubbles written by Simon Van Norden and published by . This book was released on 1993 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Speculative Bubbles in an Exchange Rate Target Zone written by Willem H. Buiter and published by . This book was released on 1990 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent theory of exchange rate dynamics within a target zone holds that exchange rates under a currency bard are less responsive to fundamental shocks than exchange rates under a free float, provided that the intervention rules of the Central Bank(s) are common knowledge. These results are derived after having assumed a priori that excess volatility due to rational bubbles does not occur in the foreign exchange market. In this paper we consider instead a setup in which the existence of speculative behavior is a datum the Central Bank has to deal with. We show that the defense of the target zone in the presence of bubbles is viable if the Central Bank accommodates speculative attacks when the latter are consistent with the survival of the target zone itself and expectations are self-fulfilling. These results hold for a large class of exogenous and fundamental-dependent bubble processes. We show that the instantaneous volatility of exchange rates within a bard is not necessarily less than the volatility under free float and analyze the implications for interest rate differential dynamics.

Download or read book Excess Volatility and the Asset Pricing Exchange Rate Model with Unobservable Fundamentals written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1999-05-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.

Download or read book Speculative Bubbles and Excess Returns on European Exchange Rates written by Andrea Bubula and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Test for Speculative Bubbles in the Lebanese Foreign Exchange Market 1983 1992 written by Michael A. Chahino and published by . This book was released on 1993 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing the Existence of Bubbles in the Brazilian Exchange Rate written by Wilfredo Leiva Maldonado and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Brazilian exchange rate has suffered strong fluctuations in the last year. They resulted from the Argentina crises and the energetic crises which influenced expectations about the future value of this variable, however the fundamentals of the economy did not vary significantly. In this paper we use a regime switching regression model to test the existence of bubbles in the Brazilian exchange rate. We consider the floating exchange rate period from February 1999 to February 2002 in order to capture speculative bubbles since in previous years the exchange rate bands avoid the possibility of speculation. There are considered three structural models providing fundamental exchange rates: The first one uses the hypothesis of Purchasing Power Parity (PPP) which claims that the fundamental exchange rate must equalize the purchasing parity in Brazil and abroad. The second model uses a result from international trade, the fundamental exchange rate must equilibrate the external balance of the country. Finally the third model improves the PPP hypothesis allowing that it only holds in the long run and that the exchange rate must satisfy the nominal uncovered interest parity. We conclude that the PPP model and the third model detect that type of speculation in the economy.

Download or read book Testing for Speculative Bubbles in Stock Markets written by Ulrich-Michael Homm and published by . This book was released on 2008 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stock Market Bubbles Volatility and Chaos written by G.P. Dwyer and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.