Intradaily Exchange Rate Movements

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Intradaily Exchange Rate Movements

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Author : Dominique M. Guillaume
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Intradaily Exchange Rate Movements written by Dominique M. Guillaume 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.

In the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen & Associates in Zurich, started to collect intra-daily exchange rate data. The resulting database provides new insight into the foreign exchange markets and thereby opens up previously unexplored avenues of research. Intra-Daily Exchange Rate Movements presents an extensive study of the Olsen & Associates database and is one of the first monographs in this exciting new area. This book aims to provide a systematic study of the characteristics of intra-daily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macroeconomic fundamentals and institutional characteristics. This leads to a survey of the main stylized facts. Using the O&A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis. The book shows how these approaches can be used to model intra-daily exchange rate movements and highlights some of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling.

An Intraday Pricing Model Of Foreign Exchange Markets

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Author : Rafael Romeu
language : en
Publisher: International Monetary Fund
Release Date : 2003-06-01

An Intraday Pricing Model Of Foreign Exchange Markets written by Rafael Romeu 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.

Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have multiple instruments, or ways to manage inventory imbalances and learn about evolving asset values. Hence, they smooth inventory levels and update prior information about assets using multiple instruments. In ignoring other instruments, previous studies have ignored the information that these provide and overemphasize the role of price changes in inventory management. The model presented here provides new estimates of asymmetric information and inventory effects, the price impact of each instrument, the cost of liquidity, and the impact of an intervention on these costs.

Persistence In The Variability Of Daily Exchange Rates

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Author : Mr.George C. Tsibouris
language : en
Publisher: International Monetary Fund
Release Date : 1991-10-01

Persistence In The Variability Of Daily Exchange Rates written by Mr.George C. Tsibouris 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 1991-10-01 with Business & Economics categories.

Rational speculation in foreign exchange trading is often assumed to dampen exchange rate fluctuations by bringing the market back to fundamentals. Nevertheless, information congestion provides incentives for traders to follow positive feedback strategies which result in persistent and volatile exchange rate behavior by magnifying the impact of exogenous shocks. Empirical evidence is presented which is consistent with such autocatalytic effects.

Moving To A Flexible Exchange Rate

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Author : Rupa Duttagupta
language : en
Publisher: International Monetary Fund
Release Date : 2005

Moving To A Flexible Exchange Rate written by Rupa Duttagupta 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 with Business & Economics categories.

A growing number of countries are adopting flexible exchange rate regimes because flexibility offers more protection against external shocks and greater monetary independence. Other countries have made the transition under disorderly conditions, with the sharp depreciation of their currency during a crisis. Regardless of the reason for adopting a flexible exchange rate, a successful transition depends on the effective management of a number of institutional and operational issues. The authors of this Economic Issue describe the necessary ingredients for moving to a flexible regime, as well as the optimal pace and sequencing under different conditions.

Floating Exchange Rates And The Need For Surveillance

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Author : Jacques R. Artus
language : en
Publisher:
Release Date : 1978

Floating Exchange Rates And The Need For Surveillance written by Jacques R. Artus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Business & Economics categories.

Intraday Yen Dollar Exchange Rate Movements

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Author : Takatoshi Itō
language : en
Publisher:
Release Date : 1988

Intraday Yen Dollar Exchange Rate Movements written by Takatoshi Itō and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Foreign exchange categories.

Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information.

Real Exchange Rates Economic Complexity And Investment

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Author : Steve Brito
language : en
Publisher: International Monetary Fund
Release Date : 2018-05-10

Real Exchange Rates Economic Complexity And Investment written by Steve Brito 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 2018-05-10 with Business & Economics categories.

We show that the response of firm-level investment to real exchange rate movements varies depending on the production structure of the economy. Firms in advanced economies and in emerging Asia increase investment when the domestic currency weakens, in line with the traditional Mundell-Fleming model. However, in other emerging market and developing economies, as well as some advanced economies with a low degree of structural economic complexity, corporate investment increases when the domestic currency strengthens. This result is consistent with Diaz Alejandro (1963)—in economies where capital goods are mostly imported, a stronger real exchange rate reduces investment costs for domestic firms.

Exchange Rate Determination Puzzle Long Run Behavior And Short Run Dynamics

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Author : Falkmar Butgereit
language : en
Publisher: diplom.de
Release Date : 2009-07-02

Exchange Rate Determination Puzzle Long Run Behavior And Short Run Dynamics written by Falkmar Butgereit and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-07-02 with Business & Economics categories.

Inhaltsangabe:Introduction: As the foreign exchange rate market operates twenty-four hours a day and seven days a week it can be described as a global marketplace trading in continuous time. The importance of this market place on weal and woe of economies and agents cannot be overestimated. Long lasting disputes about exchange rate over- and under-evaluation between countries (as most prominently the case between China and the USA) and its implications for international trade, growth rates of economies, unemployment levels, financial money flows, and so forth illustrate this point. As reported by the Bank of International Settlement in its triennial Central Bank Survey 2007, covering 54 countries and jurisdictions, the daily average foreign exchange turnover as of April 2007 has reached a mind-staggering $3.21 trillion. This amount marks an increase of 69 percent compared to the $1.97 trillion three years earlier and highlights the still increasing importance of the exchange rate markets. The U.S. dollar is by far the most important currency as it is involved in 86 percent of all transactions amounting to some $2.7 trillion per day. This is by far bigger than the volume of U.S. international trade in goods and services which for the month April 2007 amounted to (imports + exports) $317.5 billion.1 Indeed, only 17 percent of exchange market turnover has been reported to occur with non-financial customer counterparties, while 43 percent of transactions occur between reporting dealers (i.e. the interbank market) and 40 percent occur between reporting and non-reporting financial institutions (e.g. hedge funds, mutual funds, pension funds, insurance companies). Accordingly, more than 2/3 of the turnover was traded as derivatives such as foreign exchange swaps, outright forwards, or options, while only 1/3 constituted spot rate transactions. These are important facts to consider when talking about forces of exchange rate determination. On ground of these figures one may reasonably explain why old-fashion standard models like the monetary model or purchasing power parity may only hold in the very long run and exchange rate movements may be much more subject to trades based on heterogeneous expectations incurred by investors, speculators and market makers. Particularly at the short-run exchange rates exhibit considerably greater volatility than macroeconomic time series leaving an impression of noisy and chaotic behavior. Throughout this work it [...]

The Functioning Of Floating Exchange Rates

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Author : David Bigman
language : en
Publisher: Cambridge, Mass. : Ballinger
Release Date : 1980

The Functioning Of Floating Exchange Rates written by David Bigman and has been published by Cambridge, Mass. : Ballinger this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Business & Economics categories.

Exchange Rate Management In Theory And Practice

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Author : Victor E. Argy
language : en
Publisher:
Release Date : 1982

Exchange Rate Management In Theory And Practice written by Victor E. Argy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Foreign exchange administration categories.