Download or read book The Covariation of Risk Premiums and Expected Future Spot Exchange Rates written by Robert J. Hodrick and published by . This book was released on 1985 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama's analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results are not necessarily at variance with the predictions of a theoretical model of the risk premium. Increases in expected rates of depreciation of the dollar relative to five foreign currencies are positively correlated with increases in the expected profitability of purchasing these currencies in the forward market, and risk premiums have larger variances than expected rates of depreciation

Download or read book The Covariation of Risk Premiums and Expected Future Spot Exchange Rates written by and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Covariations of Risk Premiums and Expected Future Exchange Rates written by Robert J. Hodrick and published by . This book was released on 1984 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book THE COVARIATION OF RISK PREMIUMS AND EXPECTED FUTURE SPT EXCHANGE RATES written by Robert J. Hodrick and published by . This book was released on 1985 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book IMF Staff papers Volume 39 No 1 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 1992-01-01 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on exchange rate economics. Two main views of exchange rate determination have evolved since the early 1970s: the monetary approach to the exchange rate (in flexible-price, sticky-price, and real interest differential formulations); and the portfolio balance approach. In this paper, the literature on these views is surveyed, followed by a discussion of the empirical evidence and likely future developments in the area of exchange rate determination. The literature on foreign exchange market efficiency, exchange rates and “news,” and international parity conditions is also reviewed.

Download or read book Exchange Rate Risk Premiums Expectations and the Kalman Filter written by Yin-Wong Cheung and published by . This book was released on 1991 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by Cambridge University Press. This book was released on 2003-01-09 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

Download or read book Exchange Rates and Policy Coordination written by Peter B. Kenen and published by Manchester University Press. This book was released on 1989 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Exchange Rates written by Jeffrey A. Frankel and published by MIT Press. This book was released on 1993 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.

Download or read book Exchange Rate Economics written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-06-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss the extant empirical evidence on these models and conclude by discussing how the future research strategy in the area of exchange rate determination is likely to develop. We also discuss the literature on foreign exchange market efficiency, on exchange rates and ‘news’ and on international parity conditions.

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 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 Financial Risk Theory Evidence and Implications written by Courtenay C. Stone and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis

Download or read book Understanding Interdependence written by Peter B. Kenen and published by Princeton University Press. This book was released on 2021-06-08 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing together new papers by some of today's leading figures in international economics and finance, Understanding Interdependence surveys the current state of knowledge on the international monetary system and, by implication, defines the research horizon for the future. Covering topics including the behavior of exchange rates, the choice of exchange-rate regime, current-account adjustment in classical and Keynesian models, the extent and effects of capital mobility, international debt, the stabilization and reform of the formerly planned economies, European monetary union, and international policy coordination, the book underscores the importance of these subjects and identifies lessons for policymakers. The contributors to the volume are Michael Bruno, Ralph C. Bryant, Richard N. Cooper, Michael P. Dooley, Barry Eichengreen, Stanley Fischer, Charles A. E. Goodhart, Peter Hooper, Peter B. Kenen, Paul R. Krugman, Henri Lorie, Jaime Marquez, Ronald I. McKinnon, Michael Mussa, Maurice Obstfeld, John Odling-Smee, Assaf Razin, Dani Rodrik, Mark P. Taylor, and John Williamson.

Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. 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 Handbook of International Economics written by Ronald Winthrop Jones and published by Elsevier. This book was released on 1984 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This Handbook adopts a traditional definition of the subject, and focuses primarily on the explanation of international transactions in goods, services, and assets, and on the main domestic effects of those transactions. The first volume deals with the "real side" of international economics. It is concerned with the explanation of trade and factor flows, with their main effects on goods and factor prices, on the allocation of resources and income distribution and on economic welfare, and also with the effects on national policies designed explicitly to influence trade and factor flows. In other words, it deals chiefly with microeconomic issues and methods. The second volume deals with the "monetary side" of the subject. It is concerned with the balance of payments adjustment process under fixed exchange rates, with exchange rate determination under flexible exchange rates, and with the domestic ramifications of these phenomena. Accordingly, it deals mainly with economic issues, although microeconomic methods are frequently utilized, especially in work on expectations, asset markets, and exchange rate behavior."--Publisher's information

Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.