Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals
DOWNLOAD
Download Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals
DOWNLOAD
Author : Mr.Lorenzo Giorgianni
language : en
Publisher: International Monetary Fund
Release Date : 1999-05-01
Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals written by Mr.Lorenzo Giorgianni 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 1999-05-01 with Business & Economics categories.
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.
Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals
DOWNLOAD
Author : Lorenzo Giorgianni
language : en
Publisher:
Release Date : 2007
Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals written by Lorenzo Giorgianni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Are Exchange Rates Excessively Volatile And What Does Excessively Volatile Mean Anyway
DOWNLOAD
Author : Mr.Leonardo Bartolini
language : en
Publisher: International Monetary Fund
Release Date : 1995-08-01
Are Exchange Rates Excessively Volatile And What Does Excessively Volatile Mean Anyway written by Mr.Leonardo Bartolini 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 1995-08-01 with Business & Economics categories.
Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky prices, sluggish money adjustment, and time-varying risk premia. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility-based tests. In general, however, we find that exchange rates have not been excessively volatile relative to movements of their determinants, with respect to the predictions of even the most restrictive version of the monetary model. Alternative measures of “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper of the International Monetary Fund, mentioning the author(s), and the date of issuance. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
Research Activities Of The Imf January 1991 December 1999
DOWNLOAD
Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2000-01-01
Research Activities Of The Imf January 1991 December 1999 written by International Monetary Fund 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 2000-01-01 with Business & Economics categories.
Research activity in the IMF emphasizes the links between the organization's policy and operational concerns. The main objectives of research is IMF staff understanding of policy and operational issues relevant to the institution, and to improve the analytical quality of the work prepared for management and the Executive Board and the advice provided to member countries. The scope of research in the IMF is defined by the purposes and functions of the institution. In order to foster innovation and ensure quality control, the IMF makes much of its research available outside the institution and encourages staff to interact with academia and other research organizations through conferences, seminars, and occasional joint research projects. The visiting scholar’s program has also enhanced the quality of research done in the IMF. This program brings in leading members of the economics profession from around the world to assist in the preparation of papers for the Executive Board and to conduct research on IMF-related issues.
Stock Markets And Real Exchange Rate
DOWNLOAD
Author : Benoît Mercereau
language : en
Publisher: International Monetary Fund
Release Date : 2003-05-01
Stock Markets And Real Exchange Rate written by Benoît Mercereau 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 2003-05-01 with Business & Economics categories.
The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as the variance and covariance of the risky assets or demographic variables, affect the real exchange rate. The predictions of the model are contrasted with the Balassa-Samuelson effect. A new transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk-hedging opportunities is also explored.
Risk In International Finance
DOWNLOAD
Author : Vikash Yadav
language : en
Publisher: Routledge
Release Date : 2008-03-19
Risk In International Finance written by Vikash Yadav and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-19 with Business & Economics categories.
This book analyzes the evolution and impact of the concept of risk on processes of transnational banking and financial market regulation, as well as the externalities generated by speculative financial activity in developing and emerging market economies. The author provides an alternative theory for the study of international financial market regu
Nber Macroeconomics Annual 2007
DOWNLOAD
Author : Daron Acemoglu
language : en
Publisher:
Release Date : 2008-03
Nber Macroeconomics Annual 2007 written by Daron Acemoglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03 with Macroeconomics categories.
The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.
Aanwinsten Van De Centrale Bibliotheek Queteletfonds
DOWNLOAD
Author : Bibliothèque centrale (Fonds Quetelet)
language : en
Publisher:
Release Date : 2002
Aanwinsten Van De Centrale Bibliotheek Queteletfonds written by Bibliothèque centrale (Fonds Quetelet) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Research Update
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 1977
Research Update written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Banks and banking categories.
Financial Markets And The Real Economy
DOWNLOAD
Author : John H. Cochrane
language : en
Publisher: Now Publishers Inc
Release Date : 2005
Financial Markets And The Real Economy written by John H. Cochrane and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.