Download or read book Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).

Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.

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 What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia written by Mr.Gee Hee Hong and published by International Monetary Fund. This book was released on 2019-08-02 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asian countries have high demand for U.S. dollars and are sensitive to U.S. dollar funding costs. An important, but often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are deviations from covered interest parity (CIP). CIP deviations mean that investors need to pay a premium to borrow U.S. dollars or other currencies on a hedged basis via cross-currency swap markets. These deviations can be explained by regulatory changes since the global financial crisis, which have limited arbitrage opportunities and country-specific factors that contribute to a mismatch in the demand and supply of U.S. dollars. We find that an increase in the basis spread tightens financial conditions in net debtor countries, while easing financial conditions in net creditor countries. The main reason is that net debtor countries are, in general, unable to substitute smoothly to other domestic funding channels. Policies that promote reliable alternative funding sources, such as long-term corporate bond market or stable long-term investors, including a “hedging counterpart of last resort,” can help stabilize financial intermediation when U.S. dollar funding markets come under stress.

Download or read book A Research Examination of Covered Uncovered Interest Rate Parity and the Purchase Power Parity PPP hypothesis Applications in MATLAB RATS and EVIEWS written by Eleftherios Giovanis and published by GRIN Verlag. This book was released on 2010-02-17 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2008 in the subject Business economics - Investment and Finance, grade: 95.00%, , language: English, abstract: This project examines in the first part the covered and uncovered interest parity between US dollar and Swiss Franc. We present simple summary statistics, unit root tests, deviations from covered interest parity, regression analysis, threshold autoregression and exponential transition autoregression. Then we present the uncovered interest parity and, as in the case of covered interest parity, we apply some tests to examine if it’s valid. We apply Johansen cointegration tests between spot and forward rates, but also between forward premia and interest rates differentials and we test if there is a cointegration equation and we estimate the vector error correction model. After this procedure we present the impulse responses. Next we test if there is a threshold cointegration relation between the above variables. Finally in the last section we apply a dynamic OLS (DOLS) estimation with Newey-West HAC standard errors. In the second part the purchasing power parity (PPP) hypothesis is examined with a similar methodology followed, where additionally we present a long span study, unit root tests allowing for structural breaks in data, panel unit root tests as also Markov switching regime autoregressive model is examined in the category of the non linear models

Download or read book Foreign Currency Bank Funding and Global Factors written by Signe Krogstrup and published by International Monetary Fund. This book was released on 2018-05-09 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on the drivers of capital flows stresses the prominent role of global financial factors. Recent empirical work, however, highlights how this role varies across countries and time, and this heterogeneity is not well understood. We revisit this question by focusing on financial intermediaries’ funding flows in different currencies. A concise portfolio model shows that the sign and magnitude of the response of foreign currency funding flows to global risk factors depend on the financial intermediary’s pre-existing currency exposure. An analysis of a rich dataset of European banks’ aggregate balance sheets lends support to the model predictions, especially in countries outside the euro area.

Download or read book Global Banks and International Shock Transmission written by Nicola Cetorelli and published by DIANE Publishing. This book was released on 2010-11 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market (EM) economies. The authors examine adverse liquidity shocks on main developed-country banking systems and their relationships to EM across Europe, Asia, and Latin Amer., isolating loan supply from loan demand effects. Loan supply in EM across Europe, Asia, and Latin Amer. was affected significantly through three separate channels: (1) a contraction in direct, cross-border lending by foreign banks; (2) a contraction in local lending by foreign banks¿ affiliates in EM; and (3) a contraction in loan supply by domestic banks, resulting from the funding shock to their balance sheets induced by the decline in interbank, cross-border lending. Charts and tables.

Download or read book Determinants and Systemic Consequences of International Capital Flows written by Mr.Timothy D. Lane and published by International Monetary Fund. This book was released on 1991-04-15 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: The growing integration of capital markets has strengthened incentives for greater international coordination of economic and financial policies. Structural changes in these financial market, however, may have undermined the effectiveness of monetary and fiscal policy and complicated market access by developing countries. These are among the findings of this study of capital flows in the 1970s and the 1980s.

Download or read book Foundations of International Macroeconomics written by Maurice Obstfeld and published by MIT Press. This book was released on 1996-09-12 with total page 830 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foundations of International Macroeconomics is an innovative text that offers the first integrative modern treatment of the core issues in open economy macroeconomics and finance. With its clear and accessible style, it is suitable for first-year graduate macroeconomics courses as well as graduate courses in international macroeconomics and finance. Each chapter incorporates an extensive and eclectic array of empirical evidence. For the beginning student, these examples provide motivation and aid in understanding the practical value of the economic models developed. For advanced researchers, they highlight key insights and conundrums in the field. Topic coverage includes intertemporal consumption and investment theory, government spending and budget deficits, finance theory and asset pricing, the implications of (and problems inherent in) international capital market integration, growth, inflation and seignorage, policy credibility, real and nominal exchange rate determination, and many interesting special topics such as speculative attacks, target exchange rate zones, and parallels between immigration and capital mobility. Most main results are derived both for the small country and world economy cases. The first seven chapters cover models of the real economy, while the final three chapters incorporate the economy's monetary side, including an innovative approach to bridging the usual chasm between real and monetary models.

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 Foreign Exchange Intervention as a Monetary Policy Instrument written by Felix Hüfner and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign exchange intervention is frequently being used by central banks in countries which have a floating exchange rate. Most theoretical monetary policy models, however, do not take this phenomenon into account. This book contributes to close this gap between theory and practice by interpreting foreign exchange intervention as an additional monetary policy instrument for inflation targeting central banks. In-depth empirical analyses of the foreign exchange operations and interest rate policy of five inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) demonstrate how foreign exchange intervention is used in practice.

Download or read book The Changing Environment of International Financial Markets written by Dilip K. Ghosh and published by Springer. This book was released on 2016-01-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection examines the emerging issues arising from increasingly globalized financial markets. Topics covered include: the exchange of rate market, equilibrium and efficiency, inflation and interest rates, capital movements, the balance of payments and international reserves, foreign debt, country risk analysis, currency market arbitrage and speculative designs under market imperfection, international tax issues and trade liberalization and offshore banking.

Download or read book A Fire Upon The Deep written by Vernor Vinge and published by Tor Science Fiction. This book was released on 2010-04-01 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now with a new introduction for the Tor Essentials line, A Fire Upon the Deep is sure to bring a new generation of SF fans to Vinge's award-winning works. A Hugo Award-winning Novel! “Vinge is one of the best visionary writers of SF today.”-David Brin Thousands of years in the future, humanity is no longer alone in a universe where a mind's potential is determined by its location in space, from superintelligent entities in the Transcend, to the limited minds of the Unthinking Depths, where only simple creatures, and technology, can function. Nobody knows what strange force partitioned space into these "regions of thought," but when the warring Straumli realm use an ancient Transcendent artifact as a weapon, they unwittingly unleash an awesome power that destroys thousands of worlds and enslaves all natural and artificial intelligence. Fleeing this galactic threat, Ravna crash lands on a strange world with a ship-hold full of cryogenically frozen children, the only survivors from a destroyed space-lab. They are taken captive by the Tines, an alien race with a harsh medieval culture, and used as pawns in a ruthless power struggle. Tor books by Vernor Vinge Zones of Thought Series A Fire Upon The Deep A Deepness In The Sky The Children of The Sky Realtime/Bobble Series The Peace War Marooned in Realtime Other Novels The Witling Tatja Grimm's World Rainbows End Collections Collected Stories of Vernor Vinge True Names At the Publisher's request, this title is being sold without Digital Rights Management Software (DRM) applied.

Download or read book Uncovered Interest Parity and Carry Trades written by Torsten Abendroth and published by GRIN Verlag. This book was released on 2017-01-18 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Frankfurt (Main) (Goethe Business School), language: English, abstract: The aim of this thesis is to test UIP by implementing an OLS regression analysis for five currency pairs which, according to CFTC data, global turnover data and carry-to-risk ratios, were among the most popular in the investor community. To increase the significance of this thesis for practitioners, the work will use one-month forward contracts which are used frequently by investors and include bid and ask rates in order to account for transaction costs. In addition, all currency pairs include the US Dollar for reasons of better liquidity, and therefore tighter bid-ask spreads. Moreover, this thesis will present recent findings in literature which try to explain deviations from UIP. Approaches can be separated by the focus on a risk premium, by irrational market behavior or by learning problems and market inefficiency. While most focus is laid on an explanation by a risk premium, it will be shown that it is crucial to combine the different scientific disciplines in order to solve the forward premium puzzle. In addition to this, the thesis will provide an outlook on the future attractiveness of carry trade strategies.

Download or read book International Macroeconomics written by Stephanie Schmitt-Grohé and published by Princeton University Press. This book was released on 2022-09-06 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential introduction to one of the most timely and important subjects in economics International Macroeconomics presents a rigorous and theoretically elegant treatment of real-world international macroeconomic problems, incorporating the latest economic research while maintaining a microfounded, optimizing, and dynamic general equilibrium approach. This one-of-a-kind textbook introduces a basic model and applies it to fundamental questions in international economics, including the determinants of the current account in small and large economies, processes of adjustment to shocks, the determinants of the real exchange rate, the role of fixed and flexible exchange rates in models with nominal rigidities, and interactions between monetary and fiscal policy. The book confronts theoretical predictions using actual data, highlighting both the power and limits of given theories and encouraging critical thinking. Provides a rigorous and elegant treatment of fundamental questions in international macroeconomicsBrings undergraduate and master’s instruction in line with modern economic researchFollows a microfounded, optimizing, and dynamic general equilibrium approachAddresses fundamental questions in international economics, such as the role of capital controls in the presence of financial frictions and balance-of-payments crisesUses real-world data to test the predictions of theoretical modelsFeatures a wealth of exercises at the end of each chapter that challenge students to hone their theoretical skills and scrutinize the empirical relevance of modelsAccompanied by a website with lecture slides for every chapter

Download or read book International Finance And Open economy Macroeconomics Theory History And Policy 2nd Edition written by Hendrik Van Den Berg and published by World Scientific Publishing Company. This book was released on 2016-02-22 with total page 987 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Finance and Open-Economy Macroeconomics provides a complete theoretical, historical, and policy-focused account of the international financial system that covers all of the standard topics, such as foreign exchange markets, balance of payments accounting, macroeconomic policy in an open economy, exchange rate crises, multinational enterprises, and international financial markets. The book uses the 1944 Bretton Woods Conference as a unifying theme to relate the many controversial issue. It is written in a lively manner to bring real world events into the discussion of all of the concepts, topics, and policy issues. There is also emphasis on the history of economic thought in order to explain how economists in different time periods dealt with international financial issues.

Download or read book Slow Moving Capital written by Mark Mitchell and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.