Download or read book Handbook Of Global Financial Markets Transformations Dependence And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.

Download or read book Macroeconomic News and the Euro dollar Exchange Rate written by Gabriele Galati and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Role of Macroeconomic News on Stock Prices and Foreign Exchange Rates written by Abdelmagead Elbiali and published by . This book was released on 1990 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rates and International Macroeconomics written by Jacob A. Frenkel and published by University of Chicago Press. This book was released on 2010-01-15 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, presenting some of the finest new research on exchange rates and international macroeconomics, contains papers and critical commentary by thirty-two leading economists. Taken together, these papers provide sound evidence about the effects of real and monetary factors on exchange rates and extend the analyses of exchange rates and international macroeconomics by outlining the kinds of behavior and institutional arrangements that can be incorporated into such analyses. Both empirical and theoretical research are represented, and the contributors analyze such issues as the performance of various models of exchange rate determination, the role of risk and speculation in the forward market for foreign exchange, the rational expectations hypothesis in such markets, the performance of monetary policy in ten industrial countries, the role that labor market contracts play in exchange rate policies, the effect of he oil shocks on the evolution of exchange rates, and the output cost of bringing down inflation in the open economy.

Download or read book The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets written by Fang Cai and published by . This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of emerging market exchange rates, but many domestic news do not. Emerging market currencies have become more sensitive to U.S. news in recent years. We also find that market sentiment could sway the impact of news on these currencies systematically, as good (bad) news seems to matter more when optimism (pessimism) prevails. Market uncertainty also interacts with macroeconomic news in a statistically significant way, but its role varies across currencies and news"--Federal Reserve Board web site.

Download or read book Macroeconomic News and Exchange Rates written by Xinyao Zhou and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book How is Macro News Transmitted to Exchange Rates written by Martin D. D. Evans and published by . This book was released on 2003 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.

Download or read book Macroeconomic News Exchange Rate and Equity Returns written by Sandro Kraft and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The joint reactions of numerous markets in both Europe and the United States as well as three major US dollar currency pairs to US macroeconomic news announcement is studied and examined using standard theory and analysis. Relative to existing and current research a most recent data sample - 21st of July 2011 is the last data entry - is considered, the most recent crisis - financial crisis in 2007-2008 and economic recession in 2008-2009 - are included in the sample and three major markets - US financial markets, European financial markets and the foreign exchange markets focusing on US dollar exchange rates - are examined. After identifying macroeconomic variables and performing a biasedness test, the analysis identifies four variables (durable goods orders, non-farm payroll, trade balance and unemployment) for exchange rates; five variables (durable goods orders, non-farm payroll, trade balance, retail sales and unemployment) for European equity indices; and one variable, consumer confidence, to have a significant influence. Typically, the R2 for the variables are lower than in previous research, but not contradictory lower. Overall R2 are also lower and in two cases almost contradictory low. A test performed to identify different reaction by the market to good and bad news shows that with three exceptions, reactions are not significantly different conditional on the news. After the analysis, five possible reasons are stated why results in this paper differ from previous research and explain the shortcomings of the model used.

Download or read book Exchange Rate Dynamics written by Jean-Olivier Hairault and published by Routledge. This book was released on 2004 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book builds upon the seminal work by Obsfeld and Rogoff, Foundations of International Macroeconomics and provides a coherent and modern framework for thinking about exchange rate dynamics.

Download or read book EURUSD Exchange Rate written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Determining the movements of currency exchange rates is a longstanding topic in financial market research. Short-term movements are considered to be at least partially explained by the arrival of new information to the market. One way to observe such reactions is to look at scheduled macroeconomic data releases and analyze how markets react if the actual number differs from what was expected. Most studies in this field so far focused on US news announcements. This thesis looks at the euro-dollar exchange rate movements from 2007-2014. It compares news surprises for German, Eurozone and US macroeconomic releases. As opposed to previous studies, the impact of US surprises in recent years appears less dominant, while simultaneously at least German news surprises have the power to move the currency pair when looking at the continuous returns in the first five minutes following the release. Furthermore, it is shown that the response to news surprises change over time alongside fluctuations in the business cycle.

Download or read book The Impact of Macroeconomic News on Exchange Rate Volatility written by Helinä Laakkonen and published by . This book was released on 2004 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä: Makrouutisten vaikutus valuuttakurssin volatiliteettiin.

Download or read book The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior written by Richard Payne and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. By using data sampled at a five-minute frequency, we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post-announcement, although the significance of these effects decreases rapidly as the interval over which the post-announcement change in exchange rates is increased. The direction of the exchange rate response conforms, in general, with a reaction function interpretation whereby reactions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets. Further, we detect influences of German monetary policy decisions on the reaction of the exchange rate, and also differences between U.S. and German announcements in the exchange rate reaction time pattern.

Download or read book Macroeconomic Policy written by Farrokh K. Langdana and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an applications-oriented text that demystifies the linkages between monetary and fiscal policies and key macroeconomic variables such as income, unemployment, inflation and interest rates. Specially written "newspaper" articles simulate current macroeconomic news on asset-price bubbles, exchange rates, hyperinflation and more. Exercises and diagrams, and a global perspective – incorporating both developed and emerging economies - make this a broadly useful, real-world oriented text on a complex and shifting subject.

Download or read book Exchange Rates And Global Financial Policies written by Paul De Grauwe and published by World Scientific. This book was released on 2014-02-04 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange Rates and Global Financial Policies brings together research and work done by world-class economist Paul De Grauwe over the past two decades. Drawing inspiration from behavioural finance literature, De Grauwe covers topics such as exchange rate economics, monetary integration (with particular attention on the Eurozone), and international macroeconomics.His work is categorised across three parts. The first part develops new theoretical and empirical approaches to exchange rate modelling. The second part features a collection of papers on the theory and empirical analysis of monetary unions. The final part contains criticism of mainstream macroeconomic models as well as proposed alternative modelling approaches.

Download or read book Macroeconomic News Order Flows and Exchange Rates written by Ryan Love and published by . This book was released on 2007 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: In textbook models of exchange rate determination, the news contained in public information announcements is directly impounded into prices with there being no role for trading in this process of information assimilation. This paper directly tests this theoretical result using transaction level exchange rate return and trading data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is partially impounded into prices via the key micro-level price determinant ő order flow. We quantify the role that order flow plays and find that approximately one third of price relevant information is incorporated via the trading process.

Download or read book News and Exchange Rate Dynamics written by Massimo Tivegna and published by Routledge. This book was released on 2017-11-30 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'News and Exchange Rate Dynamics' proposes an innovative taxonomy of news affecting exchange rates. It establishes a metrics for the impact on exchange rates movements. In doing so it provides the first results of an ongoing research activity on the economic, financial and non-financial determinants of infra daily fluctuations of exchange rates, whose ultimate goal is to explain the formation of market sentiment on one particular currency and the way it changes over time in response to the accumulation of new information. The authors provide a detailed description of the selection criteria of the news and how it impacts exchange rates.

Download or read book Studies in Foreign Exchange Economics written by Martin D. Evans and published by World Scientific Publishing Company. This book was released on 2017 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.