Download or read book Two Essays on Forecasting and the Long run Equilibrium Relationship of Foreign Exchange Rates written by 洪素杏 and published by . This book was released on 2010 with total page 214 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 Essays on Fundamental Equilibrium Exchange Rates written by Natalia Salazar and published by . This book was released on 2000 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter presents the estimated trajectory for the US FEER over the period from 1967Q1 to 1994Q4. The estimated trajectory is shown to outperform the random walk in medium-term and long-term forecasting. The second chapter considers bilateral exchange rates. The equilibrium exchange rate trajectories are estimated for 3 pairs of countries: UK-US, Japan-US and Canada-US. These trajectories are compared to the random walk in forecasting real exchange rates and found to be superior in medium-and long-run. In the third chapter, FEER is compared to the equilibrium exchange rates estimates derived from reduced-form equations: Natural Real Exchange Rate (NATREX), and Behavioral Equilibrium Exchange Rate (BEER). It is shown that the medium and long-term forecasts based on the FEER and NATREX models are more accurate than the point predictions of the random walk. The BEER model, however, can beat the random walk only if the actual realized values of the fundamentals are used in forecasting.

Download or read book Essays on Exchange Rates written by Wenbo Zhou and published by . This book was released on 2017 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the forward premium puzzle (FPP) and short-term exchange rate forecasting. Chapter 1 studies the empirical behavior of the FPP over different subsamples instead of an average effect for the whole sample period as what is typically done in the literature. We find that the estimated slope coefficients from the Fama regression vary considerably from period to period. The signs of the slope estimate could be both significantly positive and negative. Our contribution is to show that the variation of the slope estimates is not random, rather it is driven by a common factor. We document a link between the variation and investors' long-run uncertainty about the economy. The long-run uncertainty index is specific to individual countries and defined as either a large fall in the real GDP growth rate or an inflation hike compared to past levels. We find that the long-run uncertainty index and its lags contribute to the positiveness of the slope estimate. The effect lasts longer for developed countries than emerging ones. The FPP exists if there is no long-run uncertainty about the economy but disappears with such uncertainty. Chapter 2 provides a potential theoretical framework to understand the empirical facts described in Chapter 1 based on Li and Tornell (2015). They show that the robustness against model misspecification can generate both positive and negative Fama slope coefficients, depending on investors' beliefs about the relative importance of transitory and persistent interest rate shocks. But they miss one step linking the economic fundamentals to the assumed interest rate differential model. We fill the gap using the long-run risk model with two variables: real consumption growth and inflation. We map the persistent interest rate shocks to long-run shocks to either consumption growth or inflation, which matches the long-run uncertainty defined in Chapter 1. We then qualitatively explain the empirical facts of time-varying slope estimates. Chapter 3 implements an empirical forecasting strategy based on what the Federal Open Market Committee (FOMC) says after their regular meetings. We use several techniques from natural language processing including bag-of-words, latent semantic analysis and vector space model to construct nontraditional predictors from three types of text documents released by the FOMC. We apply a machine learning algorithm called support vector machine to forecast individual G10 currencies and also build a portfolio of all G10 currencies. For the portfolio, our out-of-sample forecasts have success ratios more than 50\% for short-term prediction (less than 6 weeks) except for the 1-month horizon. Our best performance can be found for 1-week forecasting horizon. Eight out of nine currencies, as well as the portfolio, can beat the random walk model significantly using the weighted directional test.

Download or read book Exchange Rate Policy in Europe written by Pavlos Karadeloglou and published by Springer. This book was released on 1997-09-12 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of articles presented at the XLVI Applied Econometrics Association conference on exchange rates held in Heigerloch Castle, Germany), in 1995. The book consists of three parts examining the experience of the exchange rate in Europe. In the first part some aspects of exchange rate determination in Europe are examined; the second part deals with the exchange rate policy within the European Monetary System; in the third part an analysis of recent intervention practices in the European exchange rate markets is presented.

Download or read book An Essay on the Intertemporal General Equilibrium Model of Exchange Rates in a Continuous time Version written by Ki Young Chung and published by . This book was released on 1986 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Currency Forecasting written by Michael Roy Rosenberg and published by . This book was released on 1996 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text explains the methods and aspects of exchange rate forecasting, including purchasing power, parity, interest rate differentials and technical analysis. Guidelines for reducing risk with forecasting strategies are included, as are techniques for co

Download or read book Exchange Rate Forecasting Techniques Survey Data and Implications for the Foreign Exchange Market written by Jeffrey A. Frankel 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 Monetary Approach to the Balance of Payments written by Jacob Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.

Download or read book NBER Macroeconomics Annual 2007 written by Daron Acemoglu and published by . This book was released on 2008-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.

Download or read book Essays on Asset Markets in International Economics written by Karan A. Singh and published by . This book was released on 1999 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Long run Equilibrium Exchange Rates written by Anthony Thoms Barbosa de Carvalho and published by . This book was released on 2000 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Policy and Interdependence written by Reuven Glick and published by Cambridge University Press. This book was released on 1994-08-26 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the conduct of exchange rate and monetary policies in the Pacific Basin.

Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Download or read book THE MONETARY APPROACH TO THE EXCHANGE RATE RATIONAL EXPECTATIOS LONG RUN EQUILIBRIUM AND FORECASTING written by Ronald MACDONALD and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The monetary approach to the exchange rate written by Fondo Monetario Internacional and published by . This book was released on 1992 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Forecasting Techniques Survey Data and Implications for the Foreign Exchange Market written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-05-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.