Explanations Of Exchange Rate Volatility And Other Empirical Regularities In Some Popular Models Of The Foreign Exchange Market PDF Download
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Author | : Robert P. Flood |
Publisher | : |
Total Pages | : 46 |
Release | : 1981 |
Genre | : Foreign exchange |
ISBN | : |
Download Explanations of Exchange-rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market Book in PDF, ePub and Kindle
The present paper is intended to accomplish two tasks. First, models predicting overshooting and magnification, respectively, will be checked for their consistency with two key empirical regularities: A. The observed pattern of price level vs. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely neglected reason for exchange-rate volatility, activist monetary policy, will be studied
Author | : Francis X. Diebold |
Publisher | : Springer Science & Business Media |
Total Pages | : 153 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642456413 |
Download Empirical Modeling of Exchange Rate Dynamics Book in PDF, ePub and Kindle
Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Author | : Jeffrey A. Frankel |
Publisher | : University of Chicago Press |
Total Pages | : 358 |
Release | : 2009-05-15 |
Genre | : Business & Economics |
ISBN | : 0226260232 |
Download The Microstructure of Foreign Exchange Markets Book in PDF, ePub and Kindle
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author | : Mr.Lorenzo Giorgianni |
Publisher | : International Monetary Fund |
Total Pages | : 21 |
Release | : 1999-05-01 |
Genre | : Business & Economics |
ISBN | : 1451849222 |
Download Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals Book in PDF, ePub and Kindle
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.
Author | : Ronald MacDonald |
Publisher | : Psychology Press |
Total Pages | : 465 |
Release | : 2007 |
Genre | : Foreign exchange |
ISBN | : 0415125510 |
Download Exchange Rate Economics Book in PDF, ePub and Kindle
This book examines the influence of fiscal policy on exchange rates, recent development in the econometric modelling of exchange rates, and exchange rate modelling for developing countries.
Author | : Robert J. Hodrick |
Publisher | : CRC Press |
Total Pages | : 190 |
Release | : 2023-08-18 |
Genre | : Mathematics |
ISBN | : 1000943380 |
Download Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets Book in PDF, ePub and Kindle
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author | : R.W. Jones |
Publisher | : Elsevier |
Total Pages | : 640 |
Release | : 1988-05-01 |
Genre | : Business & Economics |
ISBN | : 0080550371 |
Download Handbook of International Economics Book in PDF, ePub and Kindle
This Handbook adopts a traditional definition of the subject, and focuses primarily on the explanation of international transactions in goods, services, and assets, and on the main domestic effects of those transactions. The first volume deals with the "real side" of international economics. It is concerned with the explanation of trade and factor flows, with their main effects on goods and factor prices, on the allocation of resources and income distribution and on economic welfare, and also with the effects on national policies designed explicitly to influence trade and factor flows. In other words, it deals chiefly with microeconomic issues and methods. The second volume deals with the "monetary side" of the subject. It is concerned with the balance of payments adjustment process under fixed exchange rates, with exchange rate determination under flexible exchange rates, and with the domestic ramifications of these phenomena. Accordingly, it deals mainly with economic issues, although microeconomic methods are frequently utilized, especially in work on expectations, asset markets, and exchange rate behavior. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes
Author | : Ronald MacDonald |
Publisher | : Springer Science & Business Media |
Total Pages | : 353 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 9401144117 |
Download Equilibrium Exchange Rates Book in PDF, ePub and Kindle
How successful is PPP, and its extension in the monetary model, as a measure of the equilibrium exchange rate? What are the determinants and dynamics of equilibrium real exchange rates? How can misalignments be measured, and what are their causes? What are the effects of specific policies upon the equilibrium exchange rate? The answers to these questions are important to academic theorists, policymakers, international bankers and investment fund managers. This volume encompasses all of the competing views of equilibrium exchange rate determination, from PPP, through other reduced form models, to the macroeconomic balance approach. This volume is essentially empirical: what do we know about exchange rates? The different econometric and theoretical approaches taken by the various authors in this volume lead to mutually consistent conclusions. This consistency gives us confidence that significant progress has been made in understanding what are the fundamental determinants of exchange rates and what are the forces operating to bring them back in line with the fundamentals.
Author | : International Monetary Fund. Research Dept. |
Publisher | : International Monetary Fund |
Total Pages | : 250 |
Release | : 2002-11-04 |
Genre | : Business & Economics |
ISBN | : 9781589061231 |
Download IMF Staff Papers Book in PDF, ePub and Kindle
This paper reports for uncovered interest parity (UIP) using daily data for 23 developing and developed countries during the crisis-strewn 1990s. UIP is a classic topic of international finance, a critical building block of most theoretical models, and a dismal empirical failure. UIP states that the interest differential is, on average, equal to the ex post exchange rate change. UIP may work differently for countries in crisis, whose exchange and interest rates both display considerably more volatility. This volatility raises the stakes for financial markets and central banks; it also may provide a more statistically powerful test for the UIP hypothesis. Policy-exploitable deviations from UIP are, therefore, a necessary condition for an interest rate defense. There is a considerable amount of heterogeneity in the results, which differ wildly by country.
Author | : Norman C. Miller |
Publisher | : Edward Elgar Publishing |
Total Pages | : 217 |
Release | : 2014-09-26 |
Genre | : Business & Economics |
ISBN | : 1781006814 |
Download Exchange Rate Economics Book in PDF, ePub and Kindle
The Uncovered Interest Parity (UIP) puzzle has remained a moot point since it first circulated economic discourse in 1984 and, despite a number of attempts at a solution, the UIP puzzle and other anomalies in Exchange Rate Economics continue to perplex