Download or read book The Time Horizon of the Forward Premium Puzzle written by Linh Thuy To and published by . This book was released on 2007 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, the forward premium anomaly is revisited. Not only that the forward exchange rate is a biased predictor of the future spot rate, the direction is robustly determined as being opposite to the theoretical prediction under risk-neutral efficient markets hypothesis. The study takes a unique approach by analyzing the time horizon of the forward rate, ranging from one-month to twelve-month maturities, in seven major exchange rates. Classical explanations for the anomaly suggest opposing ideas on whether the maturity horizon affects the degree of bias of the forward rate. We find a consistent pattern describing that the severity of the anomaly increases with the maturity horizon, implying that time-varying risk premium and irrational expectations are still the best candidates for explaining the puzzle. Further, we test and find evidence supporting the time-varying risk premium explanation in a robust framework.

Download or read book Time Horizon Sensitivity of the Forward Premium Puzzle written by Kun Yang and published by . This book was released on 2007 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by a consumption-based asset pricing model, this paper checks the time horizon sensitivity of the forward premium puzzle from 1994 to 2004. The in-sample estimation shows that the longer the time horizon (up to 1 year), the more the future spot exchange return deviates from its associated forward premium. The out-of-sample forecast performance of the forward premium regression (with unconstrained coefficients), on the other hand, improves as the forecast horizon lengthens. More importantly, the evidence shows that the random walk model is likely out-performed by the forward premium model at horizons longer than one month.

Download or read book The Forward Premium Puzzle written by Ravi Bansal and published by . This book was released on 1999 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Biases in the Measurement of Foreign Exchange Risk Premiums written by Geert Bekaert and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Princeton Encyclopedia of the World Economy Two volume set written by Kenneth A. Reinert and published by Princeton University Press. This book was released on 2010-08-02 with total page 1329 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential reference to all facets of the world economy Increasing economic globalization has made understanding the world economy more important than ever. From trade agreements to offshore outsourcing to foreign aid, this two-volume encyclopedia explains the key elements of the world economy and provides a first step to further research for students and scholars in public policy, international studies, business, and the broader social sciences, as well as for economic policy professionals. Written by an international team of contributors, this comprehensive reference includes more than 300 up-to-date entries covering a wide range of topics in international trade, finance, production, and economic development. These topics include concepts and principles, models and theory, institutions and agreements, policies and instruments, analysis and tools, and sectors and special issues. Each entry includes cross-references and a list of sources for further reading and research. Complete with an index and a table of contents that groups entries by topic, The Princeton Encyclopedia of the World Economy is an essential resource for anyone who needs to better understand the global economy. More than 300 alphabetically arranged articles on topics in international trade, finance, production, and economic development International team of contributors Annotated list of further reading with each article Topical list of entries Full index and cross-references Entry categories and sample topics: Concepts and principles: globalization, anti-globalization, fair trade, foreign direct investment, international migration, economic development, multinational enterprises Models and theory: Heckscher-Ohlin model, internalization theory, New Trade Theory, North-South trade, Triffin dilemma Institutions and agreements: European Union, International Monetary Fund, World Trade Organization, World Bank, Doha Round, international investment agreements Policies and instruments: dollar standard, international aid, sanctions, tariffs Analysis and tools: exchange rate forecasting, effective protection, monetary policy rules Sectors and special issues: child labor, corporate governance, the digital divide, health and globalization, illegal drugs trade, petroleum, steel

Download or read book Do Currency Fundamentals Matter for Currency Speculators written by Mr.Masahiro Nozaki and published by International Monetary Fund. This book was released on 2010-02-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The answer seems affirmative. We compare currency carry trades with an investment strategy based on currency fundamentals: taking a long (short) position in undervalued (overvalued) currencies. Carry trades have high risk-adjusted returns, but are subject to "crash risk." In contrast, the fundamental strategy has lower risk-adjusted returns, but is less prone to crash risk, because the realization of crash risk coincides with corrections towards fundamentals. In particular, the fundamental strategy outperformed carry trades during the recent global financial crisis. Building on these results, we present early warning indicators for potential turbulence in the currency market.

Download or read book International Currency Exposure written by Yin-Wong Cheung and published by MIT Press. This book was released on 2017-07-14 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in debates about foreign currency exposure—the denomination of liabilities or assets in foreign currency. The foreign currency denomination of contracts in international transactions can lead to international currency exposure at the country level with important economic and policy implications. When debts are denominated in foreign currency and revenues in domestic currency, exchange rate fluctuations can result in balance sheet effects for countries with either net asset or liability positions. Moreover, currency mismatch between assets and liabilities can be a cause for crises in developing and emerging economies. This book looks at the issues surrounding foreign currency exposure in today's increasingly integrated world economy. The contributors draw on cross-country as well as country-specific data. They consider international currency risk after the Swiss franc ended its one-sided peg with the euro, for example, and the foreign exchange positions of firms in Turkey and Russia. Other contributors take macroeconomic perspectives, examining the potential effects of exchange rate realignment, the pressure to appreciate on countries with current account surpluses, and the currency exposure in international trade. Finally, contributors consider the issue from finance and political economy perspectives, addressing the phenomenon of the forward premium puzzle and discussing geopolitical aspects ascending currencies. Contributors Fatih Altunok, Huseyin Aytug, Agustín S. Bénétrix, Jörg Breitung, Paul De Grauwe, Eiji Fujii, Peter Garber, Juann H. Hung, Signe Krogstrup, Philip R. Lane, Katja Mann, Arif Oduncu, Gunther Schnabl, Maria V. Sokolova, Cédric Tille

Download or read book International Finance written by H. Kent Baker and published by Oxford University Press. This book was released on 2013-01-17 with total page 701 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the current state of affairs and tools available in the study of international finance is increasingly important as few areas in finance can be divorced completely from international issues. International Finance reflects the new diversity of interest in international finance by bringing together a set of chapters that summarizes and synthesizes developments to date in the many and varied areas that are now viewed as having international content. The book attempts to differentiate between what is known, what is believed, and what is still being debated about international finance. The survey nature of this book involves tradeoffs that inevitably had to be made in the process given the vast footprint that constitutes international finance. No single book can cover everything. This book, however, tries to maintain a balance between the micro and macro aspects of international finance. Although each chapter is self-contained, the chapters form a logical whole that follows a logical sequence. The book is organized into five broad categories of interest: (1) exchange rates and risk management, (2) international financial markets and institutions, (3) international investing, (4) international financial management, and (5) special topics. The chapters cover market integration, financial crisis, and the links between financial markets and development in some detail as they relate to these areas. In each instance, the contributors to this book discuss developments in the field to date and explain the importance of each area to finance as a field of study. Consequently, the strategic focus of the book is both broad and narrow, depending on the reader's needs. The entire book provides a broad picture of the current state of international finance, but a reader with more focused interests will find individual chapters illuminating on specific topics.

Download or read book Financial Economics and Econometrics written by Nikiforos T. Laopodis and published by Taylor & Francis. This book was released on 2021-12-14 with total page 767 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Download or read book The Equity Premium Puzzle Intrinsic Growth Monetary Policy An Unexpected Solution Theory Strategy for the Coming Jobless Age written by Robert Shuler and published by Lulu.com. This book was released on 2013-11-25 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows we must adjust money supply to account for productivity if deflation is to be avoided. The central banker is not profit oriented and can create money at will, not subject to rational investor constraints. Businesses leverage low interest rates enforced by the central bank to grow and increase employment, compensating for the reduced labor necessary for the former level of goods and services. This leveraged difference in returns is the equity premium. Even a one time productivity increase requires a corresponding permanent increase not in the money supply itself, but in the "rate of increase" of the money supply. Given the steady growth in productivity of the last 100 years, the world economy is now grossly under-stimulated and in danger of precipitous deflation. Both academic models and arguments based on historical events are presented, along with analysis of the meaning of money, investor behavior, and practical techniques for obtaining the equity premium in one's portfolio.

Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.

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 Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

Download or read book Monetary Policy written by Peter Bofinger and published by Oxford University Press, USA. This book was released on 2001 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an in-depth description and analysis of monetary policy in Europe and the United States. Focusing specifically on the European Central Bank, it offers one of the first comprehensive guides to understanding the targets, strategy, and instruments of the ECB.

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.

Download or read book IMF Staff Papers Volume 51 No 3 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2004-11-23 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests uncovered interest parity (UIP) using interest rates on longer maturity bonds for the Group of Seven countries. These long-horizon regressions yield much more support for UIP—all of the coefficients on interest differentials are of the correct sign, and almost all are closer to the UIP value of unity than to zero. The paper also analyzes the decision by a government facing electoral uncertainty to implement structural reforms in the presence of fiscal restraints similar to the Stability and Growth Pact.

Download or read book Numerical Methods in Economics written by Kenneth L. Judd and published by MIT Press. This book was released on 2023-04-04 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, Kenneth Judd presents techniques from the numerical analysis and applied mathematics literatures and shows how to use them in economic analyses. The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on R^n, including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models. A website contains supplementary material including programs and answers to exercises.