Exchange Rate Regimes And The Expectations Hypothesis Of The Term Structure
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Exchange Rate Regimes And The Expectations Hypothesis Of The Term Structure
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Author : Stefan Gerlach
language : en
Publisher:
Release Date : 1997
Exchange Rate Regimes And The Expectations Hypothesis Of The Term Structure written by Stefan Gerlach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Euro-dollar market categories.
Exchange Rate Regimes And The Expectations Hypothesis Of The Term Structure
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Author : Stefan Gerlach
language : en
Publisher:
Release Date : 2013
Exchange Rate Regimes And The Expectations Hypothesis Of The Term Structure written by Stefan Gerlach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper uses weekly data on short-term eurorates for ten countries for the period 1979-96 to document that the ability of the expectations hypothesis (EH) to account for movements in the term structure is greater, and that short-term interest rates are more predictable, under fixed than under floating exchange rates. The paper also shows that the higher predictability does not arise solely because of monetary policy responses to speculative pressures in the foreign exchange markets: while it is more difficult to reject the EH in periods of exchange market turmoil, the EH is not rejected in tranquil periods.
Exchange Rate Regimes And Rhe Expectations Hypothesis Of The Term Structure
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Author : Stefan Gerlach
language : en
Publisher:
Release Date : 1997
Exchange Rate Regimes And Rhe Expectations Hypothesis Of The Term Structure written by Stefan Gerlach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Exchange Rate Economics
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Author : Ronald MacDonald
language : en
Publisher: Taylor & Francis
Release Date : 2007-03-12
Exchange Rate Economics written by Ronald MacDonald and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-12 with Business & Economics categories.
First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors
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Author : Richard H. Clarida
language : en
Publisher:
Release Date : 2002
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors written by Richard H. Clarida and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economics categories.
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context. Our model significantly outperforms both a random walk and a linear term-structure vector equilibrium correction model for four major dollar rates across a range of horizons.
A Theory Of Exchange Rates And The Term Structure Of Interest Rates
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Author : Hyoung-Seok Lim
language : en
Publisher:
Release Date : 2003
A Theory Of Exchange Rates And The Term Structure Of Interest Rates written by Hyoung-Seok Lim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Foreign exchange categories.
Currency Options And Exchange Rate Economics
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Author : Zhaohui Chen
language : en
Publisher: World Scientific
Release Date : 1998-04-21
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 1998-04-21 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.
Modeling The Term Structure Of Exchange Rate Expectations
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Author : Christian Bauer
language : en
Publisher:
Release Date : 2007
Modeling The Term Structure Of Exchange Rate Expectations written by Christian Bauer 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.
Recent approaches in international finance on exchange rates explicitly account for the maturity of interest rates. We integrate the interest parity idea into a modern microstructure model of foreign exchange and national bond markets and develop a model of the term structure of exchange rate expectations. The reaction function of the spot rate on changes of the basic economic variables such as the interest rate is generalized. This capital market model is able to reproduce standard results (e.g. overshooting) without reference to macroeconomic variables like rigid prices. In addition, the semi-elasticity of the spot exchange rate on interest rate changes depends on both the term structure of interest rates in both countries and determinants of the financial markets. The effects of interest rate changes on the spot exchange rate are diminished, if the exchange rate expectations for short and for long horizons have opposite signs. Finally, we show that there are several rational methods of building expectations which are not mutually consistent. This ambiguity of rational expectation building might contribute to explanations of the diversity of empirical results in the literature known as UIP puzzle.
Testing The Expectations Hypothesis Og The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift
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Author : M. Luanne
language : en
Publisher:
Release Date : 1999
Testing The Expectations Hypothesis Og The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift written by M. Luanne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Kenneth A. Froot
language : es
Publisher:
Release Date : 1987
New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Kenneth A. Froot and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.