Download or read book Expectations and the Foreign Exchange Market written by Craig Hakkio and published by Routledge. This book was released on 2017-04-21 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.

Download or read book The Role of Expectations in the Foreign Exchange Market written by Karen Elizabeth Parker and published by . This book was released on 1991 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Rational Expectations and Efficiency in the Foreign Exchange Market written by Richard T. Baillie and published by . This book was released on 1981 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Role of Expectations in the Foreigh Exchange Market written by Karen Elizabeth Parker and published by . This book was released on 1991 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Psychology of the Foreign Exchange Market written by Thomas Oberlechner and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demystifies the foreign exchange market by focusing on the people who comprise it. Drawing on the expertise of the very professionals whose decisions help shape the market, Thomas Oberlechner describes the highly interdependent relationship between financial decision makers and news providers, showing that the assumption that the foreign exchange market is purely economic and rational has to be replaced by a more complex market psychology.

Download or read book Testing Rational Expectations and Efficiency in the Foreign Exchange Market written by Richard T. Baillie and published by . This book was released on 1981 with total page 24 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 Behavioral Economics of Foreign Exchange Markets written by Robert Schmidt and published by Peter Lang Publishing. This book was released on 2006 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with psychological factors, which may be important for understanding the observable exchange rate movements. Thus, the study belongs to the new research field of behavioral economics, which considers the relevance of psychological factors in economic contexts. The main objective of behavioral economists is to develop a more realistic view of the actual human behavior in the context of economics. Central to the concept of behavioral economics is the assumption that humans' actual behavior deviates from the ideal of economic rationality due to at least two reasons: first, decisions are usually based on an incomplete information basis and, second, the information processing of human beings is limited by their computational capacities. Due to these limitations people are forced to apply simple heuristics in information processing. Our aim is to analyze the relevance of simple heuristics in the context of foreign exchange markets. In our view, the decision situation in foreign exchange markets can serve as a prime example for decision situations in which simple heuristics are especially relevant as the complexity of the decision situation is very high.

Download or read book Expectations and the Foreign Exchange Market written by Craig Stephan Hakkio and published by . This book was released on 1979 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Expectations written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-06-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a brief survey of the empirical literature on survey-based exchange rate expectations. The literature in general supports the presence of a non-zero risk premium and rejects the hypothesis of rational expectations. The crucial result is that, while short-run expectations tend to move away from some long-run “normal” values, long-run expectations tend to regress toward them. If this nature of short-run expectations increases the volatility of exchange rate movements, there may be a basis for some official measure to minimize short-run exchange rate movements.

Download or read book Expectations Learning and Exchange Rate Dynamics written by Young Se Kim and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: My dissertation studies models of exchange rate determination that are standard in all respects except that market participants have incomplete knowledge about the economic structure, and employ adaptive learning rules to learn about the economic environment. My work on introducing model uncertainty into standard models is motivated by the well documented fact that when the underlying economic environment is known and is common knowledge to market participants, models under rational expectations cannot account for such basic features of the data as the relative volatility between exchange rate and fundamentals or the predictability of future exchange rate returns by the deviation of the exchange rate from the fundamentals. I partly response to this problem to use an alternative view of expectations, adaptive expectations, which can be a reasonable way to form expectations when the environment is excessively complex. I find that the model under adaptive expectations performs better than rational expectations in explaining why the forward exchange rate as a predictor of the future spot rate generates a large bias, why the maximal depreciation of a currency upon an unexpected monetary shock occurs some periods after the initial shock. I consider a standard monetary model where market participants learn about the economic structure using adaptive learning rules. While market participants are assumed to know the functional form of the stochastic process that drives the fundamentals, they do not know the parameter values which they assess by least squares learning. Market participants must also contend with unannounced regime shifts in the fundamental process. I compare the predictions of the model under adaptive learning to those generated under standard rational expectations and under adaptive expectations. I find that the model under adaptive learning dominates the alternative specifications of expectations in its ability to account for why the fundamentals predict exchange rate returns over long horizons, for generating exchange rate return volatility in excess of fundamentals volatility, and in generating persistent deviations of the exchange rate from the fundamentals. I conclude that the underlying model uncertainty goes far in helping to resolve some longstanding puzzles in the foreign exchange market.

Download or read book Rational Expectations and the Optimality of Foreign Exchange Market written by Chan, Kenneth S and published by Hamilton, Ont. : Department of Economics, McMaster University. This book was released on 1981 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations and the Foreign Exchange Market written by Peter Hartley and published by . This book was released on 1982 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many models of exchange rate determination imply that movements in money supplies and demands should result in movements in exchange rates. Hence, if rational agents are attempting to forecast exchange rate movements, they should in the first instance forecast movements in the supplies of and demands for money balances. Furthermore, if these underlying variables follow some stable autoregressive processes agents should use those processes to make their forecasts. If we identify the forward rate with the market's expectation for the future spot rate, rationality of expectations will imply testable cross-equation restrictions in a joint model of the autoregressions and exchange rate forecasting equation. This strategy is implemented in the paper using data on the L UK/$US and DM/$US exchange rates from the recent floating rate period.

Download or read book Testing for Rational Expectations in Foreign Exchange Markets written by Ralph Tryon and published by . This book was released on 1979 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Co Movements in Long Term Interest Rates and the Role of PPP Based Exchange Rate Expectations written by Jan Marc Berk and published by International Monetary Fund. This book was released on 1999-06-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead of actual outcomes. Among the major currencies during 1975-97, the paper does not find a further increase in co-movement beyond that associated with the wave of financial market liberalization in the early 1980s. Given the similarity between PPP-based UIP tests and those employing actual exchange rate outcomes, the value added of the former lies mainly with data availability.

Download or read book Foreign Exchange Market Behavior Expectations and Chaos written by Per Leander and published by . This book was released on 1996 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Explaining Foreign Exchange Market Puzzles written by Mr.Norman C. Miller and published by International Monetary Fund. This book was released on 1999-03-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper develops a flow model of the exchange rate with speculative capital flows integrated in a rigorous manner. The model is consistent with five foreign exchange market puzzles: (1) occasional discontinuous jumps in the exchange rate; (2) periodic short-term regimes of persistent appreciation/depreciation that can develop into a long swing; (3) the forward discount bias; (4) volatility clusters in the foreign exchange market that create conditional heteroskedasticity; and (5) the dual profitability of betting in the short run against any official foreign exchange intervention, and betting with the intervention in the long run.