Exchange Rate Determination Puzzle PDF Download
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Author | : Falkmar Butgereit |
Publisher | : Diplomica Verlag |
Total Pages | : 120 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 383669543X |
Download Exchange Rate Determination Puzzle Book in PDF, ePub and Kindle
Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? Book in PDF, ePub and Kindle
Author | : Rodney Tyers |
Publisher | : |
Total Pages | : 0 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Real Exchange Rate Determination and the China Puzzle Book in PDF, ePub and Kindle
Author | : Aleksandra Bienkowska |
Publisher | : |
Total Pages | : 168 |
Release | : 2004 |
Genre | : Foreign exchange rates |
ISBN | : |
Download On Resolving the Exchange Rate Determination Puzzle Book in PDF, ePub and Kindle
Author | : Ronald MacDonald |
Publisher | : Routledge |
Total Pages | : 334 |
Release | : 2005 |
Genre | : Foreign exchange |
ISBN | : 1134838220 |
Download Exchange Rate Economics Book in PDF, ePub and Kindle
''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""
Author | : I. Moosa |
Publisher | : Springer |
Total Pages | : 243 |
Release | : 2014-12-17 |
Genre | : Business & Economics |
ISBN | : 113745248X |
Download Demystifying the Meese-Rogoff Puzzle Book in PDF, ePub and Kindle
For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be outperformed by exchange rate models when forecasting accuracy is measured by metrics that do not rely exclusively on the magnitude of forecasting error. The authors present compelling evidence, supported by their own measure: the 'adjusted root mean square error', to finally solve the Meese-Rogoff puzzle and provide a new alternative. Demystifying the Meese-Rogoff Puzzle will appeal to academics with an interest in exchange rate economics and international monetary economics. It will also be a useful resource for central banks and financial institutions.
Author | : Ronald MacDonald |
Publisher | : Taylor & Francis |
Total Pages | : 465 |
Release | : 2007-03-12 |
Genre | : Business & Economics |
ISBN | : 1134801262 |
Download Exchange Rate Economics Book in PDF, ePub and Kindle
First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.
Author | : Rodney Tyers |
Publisher | : |
Total Pages | : 58 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Real Exchange Rate Determination and the China Puzzle Book in PDF, ePub and Kindle
Author | : Richard K. Lyons |
Publisher | : |
Total Pages | : 46 |
Release | : 2001 |
Genre | : Foreign exchange |
ISBN | : |
Download Foreign Exchange Book in PDF, ePub and Kindle
Author | : Philippe Bacchetta |
Publisher | : |
Total Pages | : 64 |
Release | : 2003 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? Book in PDF, ePub and Kindle
Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal exchange rates. On the other hand, the recent microstructure approach to exchange rates' has shown that most exchange rate volatility at short to medium horizons is related to order flows. This suggests that investor heterogeneity might be key to understanding exchange rate dynamics, in contrast to the common representative agent approach in macroeconomic models of exchange rate determination. To explore this issue, we introduce investor heterogeneity into an otherwise standard monetary model of exchange rate determination. There are two types of heterogeneity: dispersed information about fundamentals and non-fundamentals based heterogeneity (e.g., liquidity traders). We show that information dispersion leads to magnification and endogenous persistence of the impact of non-fundamentals trade on the exchange rate rational confusion about the source of exchange rate fluctuations. Higher order expectations, familiar from Keynes' beauty contest', partly contribute to these results. The implications of the model are consistent with the evidence on the relationship between exchange rates and fundamentals: (i)fundamentals play little role in explaining exchange rate movements in the short to medium run, (ii) over longer horizons the exchange rate is primarily driven by fundamentals, (iii) exchange rate changes are a weak predictor of future fundamentals.