Download or read book The Joint Dynamics of Spot and Forward Exchange Rates written by Francisco de Castro and published by . This book was released on 1997 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Joint Dynamics of Spot and Forward Exchange Rates written by Francisco de Castro Fernández and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Undershooting written by Gernot Müller and published by . This book was released on 2019 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We run local projections to estimate the effect of US monetary policy shocks on the dollar. We find that monetary contractions appreciate the dollar and establish two results. First, the spot exchange rate undershoots: the appreciation is smaller on impact than in the longer run. Second, forward exchange rates also appreciate on impact, but their response is flat across tenors. Next, we develop and estimate a New Keynesian model with information frictions. In the model, investors do not observe the natural rate of interest directly. As a result, they learn only over time whether an interest rate surprise represents a monetary contraction. The model accurately predicts the joint dynamics of spot and forward exchange rates following a monetary contraction.

Download or read book The Joint Dynamic of Spot and Forward Exchange Rates written by Francisco de Castro (Economista) and published by . This book was released on 1997 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Joint Dynamic of Spot and Forward Exchange Rates written by Francisco de Castro and published by . This book was released on 1997 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Dynamics written by Martin D. D. Evans and published by Princeton University Press. This book was released on 2011-03-14 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas

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 A Dynamic Theory of Forward Exchange written by Paul Einzig and published by London : Macmillan ; New York : St. Martin's Press, 1962 [c1961]. This book was released on 1961 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Determination Puzzle written by Falkmar Butgereit and published by Diplomica Verlag. This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor

Download or read book Nonlinear Dynamics of Spot and Forward Exchange Rates written by Feng Xu and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Foreign Exchange Options and the Economics of Exchange Rates written by Ranganai Gwati and published by . This book was released on 2015 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1: Historically, the currency derivative pricing literature and the macroeconomics literature on FX determination have progressed separately. In this Chapter I argue the joint study of these two strands of literature and give an overview of FX option pricing concepts and terminology crucial for this interdisciplinary study. I also explain the three sources of information about market expectations and perception of risk that can be extracted from FX option prices and review empirical methods for extracting option-implied densities of future exchange rates. As an illustration, I conclude the Chapter by investigating time series dynamics of option-implied measures of FX risk vis-a-vis market events and US government policy actions during the period January 2007 to December 2008. Chapter 2: This Chapter proposes using foreign exchange (FX) options with different strike prices and maturities to capture both FX expectations and risks. We show that exchange rate movements, which are notoriously difficult to model empirically, are well-explained by the term structures of forward premia and options-based measures of FX expectations and risk. Although this finding is to be expected, expectations and risk have been largely ignored in empirical exchange rate modeling. Using daily options data for six major currency pairs, we first show that the cross section options-implied standard deviation, skewness and kurtosis consistently explain not only the conditional mean but also the entire conditional distribution of subsequent currency excess returns for horizons ranging from one week to twelve months. This robust empirical pattern is consistent with a representative expected utility maximizing investor who, in addition to caring about the mean and variance, also cares about the skewness and kurtosis of the return distribution. Our results highlight the importance of expectations and risk in explaining exchange rate dynamics and suggest that the perennial problems faced by the empirical exchange rate literature are most likely due to overly restrictive auxiliary assumptions inherent in prevailing testing methods. Chapter 3: Standard ordinary least squares (OLS)-based tests of the uncovered interest parity (UIP) condition often make strong auxiliary assumptions beyond the joint hypotheses of rational expectations and risk-neutrality. This paper proposes using prices of foreign exchange (FX) option with different strike prices to test the time-varying risk premia explanation of the UIP puzzle. The options-based testing framework rests on the theoretical result that the forward exchange rate is the theoretical first moment of the option-implied distribution of future spot exchange rate. The framework allows us to test a more general version of FX market efficiency, which is the hypothesis that the option-implied risk-neutral distribution is an unbiased predictor of the future realized distribution of future spot rate. For five currency pairs, I do not reject the null hypothesis of UIP using the options-based approach.

Download or read book The Random and Dynamic Behavior of Forward and Spot Exchange Rates written by Winston T. Lin and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economic Developments In India Monthly Update Volume 13 Analysis Reports Policy Documents written by Editors : Raj Kapila & Uma Kapila and published by Academic Foundation. This book was released on 1999 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Forward Exchange Rate as a Predictor of the Future Spot Rate written by Cheol S. Eun and published by . This book was released on 1998 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Simultaneous Determination of Spot and Forward Exchange Rates written by Jay H. Levin and published by . This book was released on 1983 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applying Economic Restrictions to Foreign Exchange Rate Dynamics written by Michael U. Dothan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Extant models of exchange rate behavior have typically relied on statistical rather than economic considerations. The approach has been to employ a variant of the generalized central limit theorem to develop tests for the models proposed. We propose a minimal set of simple economic restrictions -- symmetry, invariance, and non-negativity -- that must be satisfied by an exchange rate process. By symmetry, we mean that both the direct and indirect exchange rate processes must belong to the same class of distributions. By invariance, we mean that the distribution for an exchange rate must be invariant to changes in the currency unit. By non-negativity, we mean that the exchange rate process must preclude negative values. We identify various alternative specifications for exchange rate processes and show that some of them do not possess some or all of the above properties. Finally, we propose a new exchange rate process -- the mean-reverting logarithmic process (MRL) -- and develop valuation equations for several exchange rate instruments, from forward and futures contracts to straight options on the spot rates to options on the futures contracts.

Download or read book Forward Foreign Exchange Rates and Expected Future Spot Rates written by Christiaan Cornelis Petrus Wolff and published by . This book was released on 1987 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: