Modelling The World Exchange Rates
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Modelling The World Exchange Rates
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Author : Godwin Chukwudum Nwaobi
language : en
Publisher:
Release Date : 2009
Modelling The World Exchange Rates written by Godwin Chukwudum Nwaobi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early contributions to the postwar literature on exchange rate economics are to a large extent concerned with the role of speculation in foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard, adjustable-peg system, adjustable-parity system, and flexible exchange rate system. Yet, in 1997, when foreign exchange was deregulated, independent traders finally had access to the biggest trading market of the world and these forex traders attempt to make money from the simultaneous buying and selling of foreign currencies. And within the forex market, many types of instruments can be used: futures market, spot market and forward market. However, the degree of volatility tends to increase with the frequency with which observations are sampled and this can be seen clearly as one moves from monthly to daily observations on exchange rates. Thus the thrust of this paper is to analyse the forecasting accuracy of the full vector autoregressive (FVAR), mixed vector autoregressive (MVAR), and bayesian vector autoregressive (BVAR) models of selected currency pairs(based on the monetary/asset model of exchange rate determination).
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.
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.
Currency Forecasting
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Author : Michael Roy Rosenberg
language : en
Publisher:
Release Date : 1996
Currency Forecasting written by Michael Roy Rosenberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.
This text explains the methods and aspects of exchange rate forecasting, including purchasing power, parity, interest rate differentials and technical analysis. Guidelines for reducing risk with forecasting strategies are included, as are techniques for co
Handbook Of Exchange Rates
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Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-29
Handbook Of Exchange Rates written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-29 with Business & Economics categories.
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Asset Markets And Exchange Rates
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Author : Polly Reynolds Allen
language : en
Publisher: Cambridge University Press
Release Date : 1983-06-30
Asset Markets And Exchange Rates written by Polly Reynolds Allen 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 1983-06-30 with Business & Economics categories.
This paperback edition consists of the first three parts of Allen and Kenen's major book, Asset Markets, Exchange Rates, and Economic Integration. These three parts stand alone, as the authors intended and as reviewers have commented. In parts four and five of that volume they extend their model to two countries trading with the outside world and analyze questions of economic integration. The authors synthesize and extend recent developments in international monetary theory using a general model of an open economy that trades goods and assets with the outside world. The model embodies the asset market or portfolio approach to analyzing balance-of-payments adjustment. Exchange rates are determined in the short run by conditions in the asset markets and in the long run by conditions in the goods markets. The goods markets include an export good, and import good, and a nontradeable good. Allen and Kenen show that different assumptions about the substitutability between goods or between assets can generate several popular models as special cases of their own.
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.
The Theory And Empirics Of Exchange Rates
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Author : Imad A Moosa
language : en
Publisher: World Scientific
Release Date : 2009-07-15
The Theory And Empirics Of Exchange Rates written by Imad A Moosa and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-07-15 with Business & Economics categories.
Exchange rate economics is an important field of investigation for academics, professionals and policy-makers. This book provides a comprehensive survey of the theory of and empirical evidence on the determination and effects of exchange rates. The exposition utilizes both diagrammatic and mathematical representations of the underlying models. The book is a comprehensive reference for those engaged in this field of research.
Exchange Rate Modelling
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Author : Ronald MacDonald
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Exchange Rate Modelling written by Ronald MacDonald 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 2013-04-17 with Business & Economics categories.
Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.
The Economics Of Foreign Exchange And Global Finance
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Author : Peijie Wang
language : en
Publisher: Springer Science & Business Media
Release Date : 2005
The Economics Of Foreign Exchange And Global Finance written by Peijie Wang 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 2005 with Business & Economics categories.
The book presents all major subjects in international monetary theory, foreign exchange markets, international financial management and investment analysis. The book is relevant to real world problems in the sense that it provides guidance on how to solve policy issues as well as practical management tasks. This in turn helps the reader to gain an understanding of the theory and refines the framework. Various topics are interlinked so the book adopts a systematic treatment of integrated materials relating different theories under various circumstances and combining theory with practice. The text examines issues in international monetary policy and financial management in a practical way, focusing on the identification of the factors and players in foreign exchange markets and the international finance arena. The book can be used in graduate and advanced undergraduate programmes in international or global finance, international monetary economics, and international financial management.
