Download or read book Exchange Rate Volatility Pricing to Market and Trade Smoothing written by Mr.Peter B. Clark and published by International Monetary Fund. This book was released on 1997-10-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities in the presence of market segmentation and pricing to market. Firms stabilize destination prices through systematic price discrimination, limiting the degree of exchange rate pass-through. Consequently, the variability of exchange rates is not fully translated into prices and quantities at the point of destination. Empirical estimates using aggregate price data for the G-7 industrial countries show incomplete pass-through in variances, with considerable variation among these countries. U.S. industry specific data also indicate incomplete pass-through in most cases, with considerable variation across industries.

Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.

Download or read book Consumption Smoothing and Exchange Rate Volatility written by Bart G. Turtelboom and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Technical Trading and the Volatility of Exchange Rates written by Bernhard Herz and published by . This book was released on 2007 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The microeconomic structure of foreign exchange markets can cause excessive volatility in flexible exchange rate regimes. The market entry of chartists changes the composition of the foreign exchange market and leads to excessive volatility. Our chartist model predicts a continuum of equilibria and an U-shaped relation between exchange rate volatility and the measured trend, which is supported by the empirical evidence. The data show a positive nonlinear relation between trend and volatility, as predicted by the model. In such a situation monetary policy may be able to smooth the exchange rate without changing macroeconomic fundamentals.

Download or read book Excess Volatility and the Asset Pricing Exchange Rate Model with Unobservable Fundamentals written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1999-05-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.

Download or read book Exchange Rate Volatility and Trade Flows Some New Evidence written by International Monetary Fund and published by International Monetary Fund. This book was released on 2004-05-19 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: NULL

Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Real Interest Rates Real Exchange Rates and Net Foreign Assets in the Adjustment Process written by Mr.Thomas Helbling and published by International Monetary Fund. This book was released on 1995-12 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the recent behavior of real exchange rates, the trade balance and the net foreign asset position of the United States in an intertemporal optimizing model of the world economy that incorporates heterogeneity across countries and imperfect international capital and good markets. While the model successfully tracks the dynamics of trade balances and net foreign assets it generates too much consumption smoothing and excessively volatile relative prices. Resolving these inadequacies simultaneously is difficult as the elasticity of substitution between tradables and nontradables affects in opposite ways the degree of consumption smoothing and the volatility of relative prices.

Download or read book COMSUMPTION SMOOTHING AND EXCHANGE RATE VOLATILITY written by Bart TURTELBOOM and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Volatility Trade and Capital Flows Under Alternative Exchange Rate Regimes written by Piet Sercu and published by Cambridge University Press. This book was released on 2000-06-19 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sercu and Uppal examine volatility of exchange rates in the context of dynamic general equilibrium models.

Download or read book Volatility of Exchange Rates in Spot and Futures Markets written by Sallem Koubida and published by . This book was released on 2007 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates conditional volatility in both spot and futures markets. We examine two approaches in spot market. While A parametric approach is the subject of the second chapter, the third chapter focuses on a nonparametric approach. In futures currency markets, we develop a model to identify the origin of conditional volatility using different type of traders. First, we focus on developing currency markets to explore if the conditional volatility in these markets have characteristics particular to themselves and to what extent these foreign exchange markets (Forex) share the characteristics of the developed markets using parametric models. Therefore, this paper examines weather the statistical models best suited for forecasting volatility of currencies from the high income countries also perform best in forecast of volatility of currencies from emerging market countries. Second, this study aims to forecast the conditional variance of exchange rates in developing countries using a non-parametric kernel smoothing technique with three different kernels: Gaussian, Epanechnikov, and Quartic. The evaluation of the predictive ability based on Root Mean Square Error, Mean Absolute Error, and Mean Absolute Percent Error to forecast 1, 5, and 22 days into the future shows that Gaussian distribution performs the best in short horizon while the other distributions converge to the same outcome as normal distribution in longer horizon. Finally, we try to identify what group of traders (hedgers or speculators) contributes more to the price volatility in currency futures markets. We control for both expected and unexpected trading volume and open interest to estimate the effect of traders' positions on the price volatility of currency futures. We find that short positions have significant associations with the volatility of futures prices. Further, the expected effect of short positions by speculators tends to have a larger effect than the expected effect of short positions by hedgers on volatility while the unexpected effect of short position by hedgers is likely to have a larger effect than the unexpected effect of short positions by speculators.

Download or read book Exchange Rate Volatility and Trade written by Raman Uppal and published by . This book was released on 1995 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Volatility and Dynamic Trade Pricing Under Costly Adjustment written by Qiming Ran and published by . This book was released on 2000 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Real Exchange Rate and Prices of Traded Goods in OECD Countries written by Holger Brauer and published by Springer Science & Business Media. This book was released on 2003 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Trade and Exchange Rate Volatility written by Jean-Marie Viaene and published by . This book was released on 1989 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Pass through Exchange Rate Volatility and Exchange Rate Disconnect written by Michael B. Devereux and published by . This book was released on 2002 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that local currency pricing eliminates the pass-through from changes in exchange rates to consumer prices. Exchange rates may be highly volatile because in a sense they have little effect on macroeconomic variables. The paper shows the ingredients necessary to construct such an explanation for exchange rate volatility. In addition to the presence of local currency pricing, we need a) incomplete international financial markets, b) a structure of international pricing and product distribution such that wealth effects of exchange rate changes are minimized, and c) stochastic deviations from uncovered interest rate parity. Together, it is shown that these elements can produce exchange rate volatility that is much higher than shocks to economic fundamentals, and `disconnected' from the rest of the economy in the sense that the volatility of all other macroeconomic aggregates are of the same order as that of fundamentals.

Download or read book Pricing to Market and Exchange Rate Volatility written by Tony Abrahams and published by . This book was released on 2000 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: