Download or read book Three Essays in Forward Rate Unbiasedness Hypothesis written by Devalina Chatterjee and published by . This book was released on 2010 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this dissertation is to verify and explain the forward exchange rate unbiasedness hypothesis in the foreign exchange market. Since in most of the cases the unbiasedness hypothesis fails to hold, we try to provide three different explanations of this puzzling behavior in the three essays. The first essay tries to resolve the forward premium puzzle by addressing the model misspecification issue and thereby adding a time-varying risk premium term in the percentage change specification. The risk premium term is modeled using the GARCH-M representation and the model is estimated by applying a GARCH (1, 1) specification. The second essay attributes the failure of the unbiasedness hypothesis to hold to the nonstationarity of the spot and forward exchange rate. It verifies the existence of a cointegrating relationship between the spot and the forward exchange rates and thus specifies an Error Correction Model to better capture the relation between the spot and the forward rates. Further, a cointegrating or the existence of a long run relationship between the spot and forward exchange rates and the domestic and foreign interest rates is tested. It can be viewed as a robustness check where we ensure whether the cointegrated exchange rates are still related in the long run with the inclusion of the interest rates. The objective of the third essay is to apply the generalized method of moments (GMM) to test the unbiasedness hypothesis in the foreign exchange market. Empirical evidence suggests that the spot and forward rates are nonstationary with unit roots and are cointegrated. Cointegration further suggests that the changes in the spot rate can be modeled by an Error Correction Model. The third essay explicitly derives an ECM from the levels specification and uses the GMM estimation technique to test the unbiasedness hypothesis.

Download or read book Three Essays in International Finance written by Rita Madarassy and published by . This book was released on 2002 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Time series Macroeconomics written by Junichiro Ishida and published by . This book was released on 2000 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second chapter of the thesis considers the negative correlation between inflation and the average propensity to consume in the U.S. economy. While many explanations are offered for this observation, it is hard to be reconciled within the framework of a rational expectations model. In this paper, however, we argue that this correlation can be derived as an implication of the permanent income hypothesis. This conjecture is tested by identifying the dynamic response of consumption to different types of shock. The data show that this interpretation is largely consistent. This procedure also allows us to identify transitory consumption and the source of the failure of the permanent income hypothesis.

Download or read book Re examining the Forward Rate Unbiasedness Hypothesis and Contagion Effects in the East Asian Currencies written by Achmad Reza Widjaja and published by . This book was released on 2004 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Central Banking written by Matthew Thomas Jones and published by . This book was released on 1997 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Forward Rate Unbiasedness Hypothesis in Inflation targeting Regimes written by Weshah Razzak and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.

Download or read book IMF Staff Papers Volume 51 No 3 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2004-11-23 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests uncovered interest parity (UIP) using interest rates on longer maturity bonds for the Group of Seven countries. These long-horizon regressions yield much more support for UIP—all of the coefficients on interest differentials are of the correct sign, and almost all are closer to the UIP value of unity than to zero. The paper also analyzes the decision by a government facing electoral uncertainty to implement structural reforms in the presence of fiscal restraints similar to the Stability and Growth Pact.

Download or read book Three Essays in International Finance written by Menzie David Chinn and published by . This book was released on 1991 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2014-05-08 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: The only econometrics textbook written specifically for finance students with no prior knowledge of econometrics, including extensive online student support.

Download or read book Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange written by Daniel Deng and published by . This book was released on 2006 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Uncovered Interest Parity written by Mr.Peter Isard and published by International Monetary Fund. This book was released on 1991-05 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and discusses the implications for macroeconomic analysis. The uncovered interest parity assumption has been an important building block in multiperiod and continuous time models of open economies, and although its validity is strongly challenged by the empirical evidence, its retention in macroeconomic models is supported on pragmatic grounds, at least for the time being, by the lack of much empirical support for existing models of the exchange risk premium.

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 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 190 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.

Download or read book Essays in International Financial Economics written by Kenneth Froot and published by . This book was released on 1986 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in International Money and Finance written by James R Lothian and published by World Scientific. This book was released on 2017-06-29 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.