Download or read book The Stochastic Properties of Exchange Rates and Related Asset Prices in the Presence of Bands Norms and Zones written by David O. Robinson and published by . This book was released on 1992 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Journal of Economic Literature written by and published by . This book was released on 1993 with total page 1336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dissertation Abstracts International written by and published by . This book was released on 1993 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.

Download or read book Exchange Rate Dynamics Under Stochastic Regime Shifts written by Kenneth Froot and published by . This book was released on 1991 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Doctoral Dissertations on Asia written by and published by . This book was released on 1993 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Stochastic Regime Switching and Stabilizing Policies Within Regimes written by Karen K. Lewis and published by . This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a class of stochastic stabilizing policies within asset price regimes that can be easily incorporated into the framework of regime switching recently proposed by Froot and Obstfeld (1991). In contrast to previous treatments of market-driven fundamentals within the regime, authorities stochastically counteract movements in these fundamentals before asset prices reach boundary points. The paper describes how the stabilizing intra-regime intervention policies can be used to characterize the behavior of monetary authorities before fixing an exchange rate, as in the case studied by Flood and Garber (1983). An intervention policy within target zone bands consistent with empirical evidence is also a member of this class of policies. Furthermore, the stylized features of these intervention policies may be matched to actual data in a natural way.

Download or read book American Doctoral Dissertations written by and published by . This book was released on 1992 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Markets and the Real Exchange Rate written by Benoît Mercereau and published by International Monetary Fund. This book was released on 2003-05-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as the variance and covariance of the risky assets or demographic variables, affect the real exchange rate. The predictions of the model are contrasted with the Balassa-Samuelson effect. A new transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk-hedging opportunities is also explored.

Download or read book Exchange Rate Bands and Realignments in a Stationary Stochastic Setting written by Marcus Miller and published by . This book was released on 1989 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Target Zones and Regime Switches in a Stochastic Environment written by Alan James Sutherland 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 Common Stochastic Trends in a System of Spot Exchange Rate written by Simo Launonen and published by . This book was released on 1997 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Conference Papers written by Royal Economic Society (Great Britain). Conference and published by . This book was released on 1992 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Analysis of Exchange Rate Band written by and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Determination and the Collapse of a Target Zone with Stochastic Capital Flows written by Alejandro Hernández D. and published by . This book was released on 1996 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models written by Giuseppe Bertola and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a tractable and realistic nonlinear model of exchange rate dynamics, and argues that its predictions are consistent with available empirical evidence on exchange rate and interest differential behavior in real-life target zones. In our model, the exchange rate fluctuates between given boundaries for random lengths of time and jumps discretely when devaluations occur. We allow for stochastic variability in the likelihood and size of devaluations, and we provide explicit solutions for the stochastic processes followed by the exchange rate and by the expected rate of depreciation. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, and provides interesting interpretations of available empirical evidence. We also specify how to infer devaluation risk from target zone data.

Download or read book Target Zones and Exchange Rates written by Stephen F. Gray and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop an empirical model of exchange rates in a target zone. The model is general enough to nest most theoretical and empirical models in the existing literature. We find evidence of two types of jumps in exchange rates. Realignment jumps are those that are associated with the periodic realignments of the target zone and within-the-band jumps are those that can be accommodated within the current target zone. The exchange rate may jump outside the current target zone band, in the case of a realignment, but when no jump occurs the target zone is credible (there is zero probability of a realignment) and the exchange rate must stay within the band. We incorporate jumps, in general, by conditioning the distribution of exchange rate changes on a jump variable where the probability and size of a jump vary over time as a function of financial and macroeconomic variables. With this more general model, we revisit the empirical evidence from the European Monetary System regarding the conditional distribution of exchange rate changes, the credibility of the system, and the size of the foreign exchange risk premia. In contrast to some previous findings, we conclude that the FF/DM rate exhibits considerable non-linearities, realignments are predictable and the credibility of the system did not increase after 1987. Moreover, our model implies that the foreign exchange risk premium becomes large during speculative crises. A comparison with the Deutschemark/Dollar rate suggests that an explicit target zone does have a noticeable effect on the time-series behavior of exchange rates