Exchange Rate Dynamics
DOWNLOAD
Download Exchange Rate Dynamics PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Exchange Rate Dynamics 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
Exchange Rate Dynamics
DOWNLOAD
Author : Jean-OIiver Hairault
language : en
Publisher: Routledge
Release Date : 2003-12-18
Exchange Rate Dynamics written by Jean-OIiver Hairault and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-18 with Business & Economics categories.
This important new book builds upon the seminal work by Obsfeld and Rogoff, Foundations of International Macroeconomics and aims at providing a coherent and modern framework for thinking about exchange rate dynamics. With a wide range of contributions, this book is likely to be welcomed by the macroeconomics and financial community.
Empirical Modeling Of Exchange Rate Dynamics
DOWNLOAD
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.
Exchange Rate Dynamics
DOWNLOAD
Author : Eric J. Pentecost
language : en
Publisher: Edward Elgar Publishing
Release Date : 1993
Exchange Rate Dynamics written by Eric J. Pentecost and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.
This work examines the development of the determinants of the exchange rate system since the mid-1970s. It scrutinises the main theoretical models of exchange rate determination and assesses their empirical validity drawn from recent econometric results (based on cointegration methodology).
Exchange Rate Dynamics
DOWNLOAD
Author : Jean-OIiver Hairault
language : en
Publisher: Routledge
Release Date : 2003-12-12
Exchange Rate Dynamics written by Jean-OIiver Hairault and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-12 with Business & Economics categories.
This book builds upon the seminal work by Obsfeld and Rogoff, Foundations of International Macroeconomics and provides a coherent and modern framework for thinking about exchange rate dynamics.
Exchange Rate Determination Puzzle
DOWNLOAD
Author : Falkmar Butgereit
language : en
Publisher: Diplomica Verlag
Release Date : 2010
Exchange Rate Determination Puzzle written by Falkmar Butgereit and has been published by Diplomica Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
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
The Exchange Rate In A Dynamic Optimizing Current Account Model With Nominal Rigidities
DOWNLOAD
Author : Robert Miguel W. K. Kollman
language : en
Publisher: International Monetary Fund
Release Date : 1997-01-01
The Exchange Rate In A Dynamic Optimizing Current Account Model With Nominal Rigidities written by Robert Miguel W. K. Kollman 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 1997-01-01 with Business & Economics categories.
This paper studies dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G-7 effective exchange rates during the post-Bretton Woods era. The model predicts that a positive domestic money supply shock lowers the domestic nominal interest rate, that it raises output and that it leads to a nominal and real depreciation of the country’s currency. Increases in domestic labor productivity and in the world interest rate too are predicted to induce a nominal and real exchange rate depreciation.
Exchange Rates And Macroeconomic Dynamics
DOWNLOAD
Author : Pavlos V. Karadeloglou
language : en
Publisher: Palgrave MacMillan
Release Date : 2008-02-13
Exchange Rates And Macroeconomic Dynamics written by Pavlos V. Karadeloglou and has been published by Palgrave MacMillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-13 with Business & Economics categories.
This book examines the numerous aspects of exchange rates and the dynamics of macroeconomics, focusing on the PPP puzzle, volatility, levels, with an exploration of the real exchange rate misalignment of the Central European countries single equation approach, an examination of the real equilibrium exchange rate in China, exchange rate dynamics and pass-through effects in Russia and Hungary, and structural shocks on economies.
Exchange Rates
DOWNLOAD
Author : Megan J. Tauline
language : en
Publisher:
Release Date : 2008
Exchange Rates written by Megan J. Tauline and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
An exchange rate is the current market price for which one currency can be exchanged for another. The spot exchange rate refers to the current exchange rate whereas the forward exchange rate refers to an exchange rate that is quoted and traded today but for delivery and payment on a specific future date. Exchange rates vary because of changes in the relative demand for different countries' goods and services and because national monetary and fiscal policies are inconsistent with each other. Differences in tax rates and in interest rates cause capital flows which affect a country's balance of payments and, consequently, its exchange rate. An overvalued exchange rate leads to a current account balance of payments deficit and bearish speculative capital movements; an undervalued exchange rate creates a current account surplus and an influx of capital. Volatile exchange rates and volatile interest rates coincide. This book examines important issues in the field.
Long Run Exchange Rate Dynamics
DOWNLOAD
Author : Mr.Karl Friedrich Habermeier
language : en
Publisher: International Monetary Fund
Release Date : 1999-04-01
Long Run Exchange Rate Dynamics written by Mr.Karl Friedrich Habermeier 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 1999-04-01 with Business & Economics categories.
Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced economies, as well as open and high-inflation economies. Using the recently developed mean group and pooled mean group estimators, the paper finds support for the Balassa-Samuelson hypothesis in both advanced and developing economies; and for the influence of shifts in the terms of trade.
Monetary And Exchange Rate Dynamics During Disinflation
DOWNLOAD
Author : Mr.Andres Arias Leiva
language : en
Publisher: International Monetary Fund
Release Date : 2005-02-01
Monetary And Exchange Rate Dynamics During Disinflation written by Mr.Andres Arias Leiva 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 2005-02-01 with Business & Economics categories.
Based on the observed behavior of monetary aggregates and exchange rates, we classify inflation-stabilization episodes into two categories: de facto exchange rate-based stabilizations (ERBS) and non-ERBS. Unlike the standard de jure ERBS studied in the literature, de facto ERBS encompass cases in which the central bank intervenes in the foreign exchange market but does not preannounce the use of an exchange rate anchor. The number of the de facto ERBS is twice as large as that of de jure ERBS. Output dynamics during disinflation do not differ significantly between these two groups. We conclude that empirical studies on the effects of exchange rate anchors must seek to disentangle the effects of their announcement from those related to their role in the remonetization process.