Modeling Interest Rates Foreign Exchange Rates And Stock Prices
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Modeling Interest Rates Foreign Exchange Rates And Stock Prices
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Author : Yong Yao
language : en
Publisher:
Release Date : 2000
Modeling Interest Rates Foreign Exchange Rates And Stock Prices written by Yong Yao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Economics categories.
The Exchange Rate In A Dynamic Optimizing Current Account Model With Nominal Rigidities
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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 Rate Interest Rate And Stock Market Price Volatility For Value At Risk Analysis
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Author : Monica Ahlstedt
language : en
Publisher:
Release Date : 1997
Exchange Rate Interest Rate And Stock Market Price Volatility For Value At Risk Analysis written by Monica Ahlstedt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Value at risk categories.
Tiivistelmä.
Literature Review On Exchange Rate Modeling
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Author : Richard Works
language : en
Publisher: Richard Floyd Works
Release Date :
Literature Review On Exchange Rate Modeling written by Richard Works and has been published by Richard Floyd Works this book supported file pdf, txt, epub, kindle and other format this book has been release on with Education categories.
This is a literature review on exchange rate modeling. This is taken from my doctoral dissertation (My copyright registration number: TX 8-435-669). This may be helpful if you're seeking information on exchange rate, interest rates, gross domestic product, inflation, and money supply. It may also be helpful in understanding the origins of the sticky-price monetary model.
Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals
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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.
Foreign Exchange Rates
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Author : Arif Orçun Söylemez
language : en
Publisher: Routledge
Release Date : 2021-02-07
Foreign Exchange Rates written by Arif Orçun Söylemez and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-07 with Business & Economics categories.
Predicting foreign exchange rates has presented a long-standing challenge for economists. However, the recent advances in computational techniques, statistical methods, newer datasets on emerging market currencies, etc., offer some hope. While we are still unable to beat a driftless random walk model, there has been serious progress in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement. First, it offers a historical account of how exchange rate regimes have evolved over time, which is critical to understanding turning points in a historical time series. It then presents an overview of the previous attempts at modeling exchange rates, and how different methods fared during this process. At the core sections of the book, the author examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can be useful in improving predictive power, compared to previous methods used. Exchange rate determination is an active research area, and this book will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management. The book is written in a clear, engaging, and straightforward way, and will greatly improve access to this much-needed knowledge in the field.
Exchange Rate Movements And International Interdependence Of Stock Markets
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Author : Jagdeep S. Bhandari
language : en
Publisher: International Monetary Fund
Release Date : 1989-05-12
Exchange Rate Movements And International Interdependence Of Stock Markets written by Jagdeep S. Bhandari 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 1989-05-12 with Business & Economics categories.
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
On Exchange Rates
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Author : Jeffrey A. Frankel
language : en
Publisher: MIT Press
Release Date : 1993
On Exchange Rates written by Jeffrey A. Frankel and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.
These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.
Japanese Effective Exchange Rates And Determinants
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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.
Explaining International Comovements Of Output And Asset Returns
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Author : Robert Miguel W. K. Kollman
language : en
Publisher: International Monetary Fund
Release Date : 1999-06-01
Explaining International Comovements Of Output And Asset Returns 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 1999-06-01 with Business & Economics categories.
Empirically, output and asset returns are highly positively correlated across the United States and the other major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle tradition, have great difficulties explaining this fact. This paper presents a dynamic-optimizing stochastic general equilibrium model of a two-country world with sticky nominal prices and wages and a flexible exchange rate. The structure here predicts positive international transmission of country-specific monetary policy and technology shocks, and it generates sizable cross-country correlations of output and of asset returns.