Empirical Modeling Of Exchange Rate Dynamics
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Exchange Rate Dynamics
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Author : Martin D. D. Evans
language : en
Publisher: Princeton University Press
Release Date : 2011-03-14
Exchange Rate Dynamics written by Martin D. D. Evans and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-14 with Business & Economics categories.
A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas
The Theory And Empirics Of Exchange Rates
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Author : Imad A. Moosa
language : en
Publisher: World Scientific Publishing Company
Release Date : 2010
The Theory And Empirics Of Exchange Rates written by Imad A. Moosa and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
This book provides a comprehensive survey of of the theory of and empirical evidence on the determination and effects of exchange rates. It utilises both diagrammatic and mathematical representation of the underlying models, resulting in a comprehensive reference for those engaged in this field of study.
Exchange Rate Theory And Practice
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Author : John F. Bilson
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
Exchange Rate Theory And Practice written by John F. Bilson and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
The Monetary Approach To The Balance Of Payments
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Author : Jacob Frenkel
language : en
Publisher: Routledge
Release Date : 2013-07-18
The Monetary Approach To The Balance Of Payments written by Jacob Frenkel and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-18 with Business & Economics categories.
This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.
Empirical Modeling Of Exchange Rate Dynamics
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Author : Francis X. Diebold
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Empirical Modeling Of Exchange Rate Dynamics written by Francis X. Diebold 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 2012-12-06 with Business & Economics categories.
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.
Handbook Of Exchange Rates
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Author : Jessica James
language : en
Publisher:
Release Date : 2012
Handbook Of Exchange Rates written by Jessica James and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Foreign exchange categories.
"Handbook of Exchange Rates is an impressive compilation of research from more than thirty-five leading researchers and experts on the topic. The book is clearly organized into five succinct sections that explore the foreign exchange (FX) market, from its background and economic foundation to current practices, obstacles, and policies in the modern foreign exchange market. Part I presents an overview of the history of the FX market and exchange rate regimes, the key instruments/players in the FX trading environment, and both macro and micro approaches to FX determination. Next, Part II focuses on forecasting exchange rates, featuring methodological contributions on the sstatistical methods for evaluating forecast performance, parity relationships, fair value models, and flow-based models. Part III treats FX as an asset class, outlining active currency management, currency hedging, hedge accounting, high frequency and algorithmic trading in FX, and FX strategy-based products. Part IV discusses products and pricing in FX, the FX options market, and volatility derivatives. Finally, the book concludes with a section on FX markets and policy, prediction and management of FX crises, FX regimes and policy; regulation in FX market that also features discussion of the effects of exchange rate regime choice on international trade. Each chapter follows the same easy-to-follow format. Following an introduction, a description of theory is presented along with key formulae. Next, the discussed theory is applied to a real data set and accompanied with illustrative descriptions. Exercises and real-world examples from the finance industry are spread throughout each chapter, and a summary provides a brief overview of main points and concepts"--
An Empirical Assessment Of The Exchange Rate Pass Through In Mozambique
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Author : Ari Aisen
language : en
Publisher: International Monetary Fund
Release Date : 2021-05-06
An Empirical Assessment Of The Exchange Rate Pass Through In Mozambique written by Ari Aisen 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 2021-05-06 with Business & Economics categories.
Determining the magnitude and speed of the exchange rate passthrough (ERPT) to inflation has been of paramount importance for policy-makers in developed and emerging economies. This paper estimates the exchange rate passthrough in Mozambique using econometric techniques on a sample spanning from 2001 to 2019. Results suggest that the ERPT is assymetric, sizable and fast, with 50 percent of the exchange rate variations passing through to prices in less than six months. Policy-makers should continue to pursue low and stable inflation and develop a strong track record of prudent macroeconomic policies for the ERPT to decline.
The Monetary Model Of Exchange Rates And Cointegration
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Author : Javier Gardeazabal
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Monetary Model Of Exchange Rates And Cointegration written by Javier Gardeazabal 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 2012-12-06 with Business & Economics categories.
These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.
Dynamic Modelling And Control Of National Economies 1989
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Author : N.M. Christodoulakis
language : en
Publisher: Elsevier
Release Date : 2014-06-28
Dynamic Modelling And Control Of National Economies 1989 written by N.M. Christodoulakis and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-28 with Business & Economics categories.
The Symposium aimed at analysing and solving the various problems of representation and analysis of decision making in economic systems starting from the level of the individual firm and ending up with the complexities of international policy coordination. The papers are grouped into subject areas such as game theory, control methods, international policy coordination and the applications of artificial intelligence and experts systems as a framework in economic modelling and control. The Symposium therefore provides a wide range of important information for those involved or interested in the planning of company and national economics.
Exchange Rate Misalignment
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Author : Lawrence E. Hinkle
language : en
Publisher: World Bank Publications
Release Date : 1999
Exchange Rate Misalignment written by Lawrence E. Hinkle and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
Exchange Rate Misalignment examines the severe dislocations that can be caused by exchange rate misalignment and shows how there is no systematic guidance on the definitions and measurement of prevention. It explores how recent macroeconomic disruptions support the argument that growing financial integration has increased the need for providing accurate measures of long-run equilibrium exchange rates.