Long Run Exchange Rate Dynamics
DOWNLOAD
Download Long Run Exchange Rate Dynamics PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Long Run 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 : 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
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.
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.
Japanese Effective Exchange Rates And Determinants
DOWNLOAD
Author : Mr.Jun Nagayasu
language : en
Publisher: International Monetary Fund
Release Date : 1998-06-01
Japanese Effective Exchange Rates And Determinants written by Mr.Jun Nagayasu 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 1998-06-01 with Business & Economics categories.
This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.
Exchange Rates And International Financial Economics
DOWNLOAD
Author : J. Kallianiotis
language : en
Publisher: Springer
Release Date : 2013-10-02
Exchange Rates And International Financial Economics written by J. Kallianiotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-02 with Business & Economics categories.
The recent financial crisis has troubled the US, Europe, and beyond, and is indicative of the integrated world in which we live. Today, transactions take place with the use of foreign currencies, and their values affect the nations' economies and their citizens' welfare. Exchange Rates and International Financial Economics provides readers with the historic, theoretical, and practical knowledge of these relative prices among currencies. While much of the previous work on the topic has been simply descriptive or theoretical, Kallianiotis gives a unique and intimate understanding of international exchange rates and their place in an increasingly globalized world.
Dynamic Disequilibrium Modeling Theory And Applications
DOWNLOAD
Author : William A. Barnett
language : en
Publisher: Cambridge University Press
Release Date : 1996-06-13
Dynamic Disequilibrium Modeling Theory And Applications written by William A. Barnett and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-06-13 with Business & Economics categories.
. The organizers of the ninth symposium, which produced the current proceedings volume, were Claude Hillinger at the University of Munich, Giancarlo Gandolfo at the University of Rome "La Sapienza," A. R. Bergstrom at the University of Essex, and P. C. B. Phillips at Yale University.
Fixed Or Flexible Exchange Rates History And Perspectives
DOWNLOAD
Author : Marin Muzhani
language : en
Publisher: Vernon Press
Release Date : 2018-05-15
Fixed Or Flexible Exchange Rates History And Perspectives written by Marin Muzhani and has been published by Vernon Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-15 with Business & Economics categories.
This book compares and contrasts flexible versus fixed exchange rate regimes. Beginning with their theoretical justifications, it showcases their observed advantages and disadvantages as they played out in the currency crises of the 1990s and early 2000s across Asia, Europe and Latin America. An analysis of the drivers and implications of these crises singles out fast-paced liberalization and globalization as having played central roles. Moreover it sheds light on some of the factors contributing to the 2008 financial crisis and the key monetary events in its aftermath. An accessible, yet rigorous discussion, supported by extensive evidence, helps readers reach their own conclusions regarding the respective merits of alternative exchange rate systems.
European Monetary Union And Exchange Rate Dynamics
DOWNLOAD
Author : Paul J.J. Welfens
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
European Monetary Union And Exchange Rate Dynamics written by Paul J.J. Welfens 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.
The creation of the European System of Central Banks (ESCB) and the start of the Euro in 1999 are historical marks for Europe. With the start of the new currency and the ECB the world economy also is facing a major structural change and new challenges. In a historical perspective the European Monetary Union has the unique feature that a common new institution, the ECB, has been created. This is in marked contrast to the Scandinavian and the Latin Monetary Union (France, Italy, Belgium th and Switzerland) in the late 19 century which was a period in which national central banks were created in order to stabilize the respective national financial systems. In the starting year 1999 the European Central Bank had favorable conditions in the sense that low inflation rates and an economic upswing had coincided; while this should contribute to a Euro appreciation in the long run the short term exchange rate developments were in marked contrast as the new currency lost about 115 of its value within 16 months; while exchange rate volatility has not been unusual in the 1980s the continued and strong fall ofthe Euro vis-a-vis the US dollar, the pound, the Swiss franc and the Yen has raised concerns. The strong initial fall of the Euro has created some problems in establishing the new currency as a strong contender for the US dollar. Moreover, there are some theoretical challenges since the portfolio model offers a rather different message than the purchasing power parity.
Exchange Rate Pass Through And Dynamic Oligopoly
DOWNLOAD
Author : Dominique M. Gross
language : en
Publisher: International Monetary Fund
Release Date : 1999-04-01
Exchange Rate Pass Through And Dynamic Oligopoly written by Dominique M. Gross 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.
This paper explicitly takes into account the dynamic oligopolistic rivalry among source producers to evaluate the degree of exchange rate pass-through. Using recent time-series techniques for the case of imported automobiles in Switzerland, the results show that prices are strategic complements and that the degree of pass-through is lower in the long run than in the short run. We attribute this to the fact that, although some rivals match long-term price changes, others do not, inducing the producer who faces a change in exchange rate to absorb a greater proportion of the variation.
Exchange Rate Determination Puzzle Long Run Behavior And Short Run Dynamics
DOWNLOAD
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 [...]