Central Bank Participation In Currency Options Markets
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Central Bank Participation In Currency Options Markets
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Author : Mr.Peter Breuer
language : en
Publisher: International Monetary Fund
Release Date : 1999-10-01
Central Bank Participation In Currency Options Markets written by Mr.Peter Breuer and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-10-01 with Business & Economics categories.
This paper analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that selling rather than buying options will result in market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective. Selling a “strangle” allows a central bank to increase the credibility of its commitment to a target zone, and could have a lower expected cost than spot market interventions. However, this strategy also exposes the central bank to an unlimited loss potential.
Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options
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Author : Christian Pierdzioch
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-12-06
Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options written by Christian Pierdzioch and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-12-06 with Business & Economics categories.
A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Central Bank Foreign Exchange Market Intervention And Option Contract Specification
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Author : Mr.Ousmene Mandeng
language : en
Publisher: International Monetary Fund
Release Date : 2003-06-01
Central Bank Foreign Exchange Market Intervention And Option Contract Specification written by Mr.Ousmene Mandeng and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-06-01 with Business & Economics categories.
This paper aims to identify appropriate option contract specifications for effective central bank exchange market intervention. Option contract specifications determine the impact of options on the underlying asset or currency, and hence their actual effect on asset price or currency volatility and are therefore key to determining the effectiveness of option-based intervention. The paper reviews the experience of the systematic option-based foreign exchange market intervention of the Central Bank of Colombia and finds that its contract has only been moderately successful at abating exchange rate volatility, which is attributed here to sub-optimal contract specifications.
Currency Options And Exchange Rate Economics
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Author : Zhaohui Chen
language : en
Publisher: World Scientific
Release Date : 1998
Currency Options And Exchange Rate Economics written by Zhaohui Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets. The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Central Bank Intervention And The Volatility Of Foreign Exchange Rates
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Author : Catherine A. Bonser-Neal
language : en
Publisher:
Release Date : 1995
Central Bank Intervention And The Volatility Of Foreign Exchange Rates written by Catherine A. Bonser-Neal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Central Bank Participation In Currency Options Markets
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Author : Peter D. Breuer
language : en
Publisher:
Release Date : 1999
Central Bank Participation In Currency Options Markets written by Peter D. Breuer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Banks and banking, Central categories.
Market Volatility And Foreign Exchange Intervention In Emes
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Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
language : es
Publisher:
Release Date : 2013
Market Volatility And Foreign Exchange Intervention In Emes written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Banks and banking, Central categories.
Official Intervention In The Foreign Exchange Market
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Author : Roberto Pereira Guimarães
language : en
Publisher: International Monetary Fund
Release Date : 2003-07-01
Official Intervention In The Foreign Exchange Market written by Roberto Pereira Guimarães and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-07-01 with Business & Economics categories.
This paper offers guidance on the operational aspects of official intervention in the foreign exchange market, particularly in developing countries with flexible exchange rate regimes. A brief survey of the literature and country experience is followed by an analysis of the objectives, timing, amount, degree of transparency, and choice of markets and counterparties in conducting intervention. The analysis highlights the difficulty of detecting exchange rate misalignments and disorderly markets, and argues in favor of parsimony in official intervention. Determining the timing and amount of intervention is a highly subjective excercise, and some degree of discretion is almost necessary, though policy rules may serve as "rules of thumb."
The Payment System
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Author : Tom Kokkola
language : en
Publisher:
Release Date : 2010
The Payment System written by Tom Kokkola and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Banks and banking, Central categories.
"This book is designed to provide the reader with an insight into the main concepts involved in the handling of payments, securities and derivatives and the organisation and functioning of the market infrastructure concerned. Emphasis is placed on the general principles governing the functioning of the relevant systems and processes and the presentation of the underlying economic, business, legal, institutional, organisational and policy issues. The book is aimed at decision-makers, practitioners, lawyers and academics wishing to acquire a deeper understanding of market infrastructure issues. It should also prove useful for students with an interest in monetary and financial issues."--Introduction (Pg. 20, para 8).
Official Foreign Exchange Intervention
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Author : Mr.Jorge Iván Canales Kriljenko
language : en
Publisher: International Monetary Fund
Release Date : 2006-03-02
Official Foreign Exchange Intervention written by Mr.Jorge Iván Canales Kriljenko and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-03-02 with Business & Economics categories.
Despite increasing exchange rate flexibility, central banks in emerging markets still intervene in their foreign exchange markets for several reasons. In doing so, they face many operational questions, including on the degree of transparency and the choice of markets and counterparties. This paper identifies elements of best practice in official foreign exchange intervention, presents survey evidence on intervention practices in developing countries, and assesses the effectiveness of intervention in Mexico and Turkey.