Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options
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Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options
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Author : Christian Pierdzioch
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-12-06
Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options written by Christian Pierdzioch 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 2001-12-06 with Business & Economics categories.
A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Global Governance An Architecture For The World Economy
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Author : Horst Siebert
language : en
Publisher: Springer Science & Business Media
Release Date : 2003-06-24
Global Governance An Architecture For The World Economy written by Horst Siebert 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 2003-06-24 with Business & Economics categories.
Globalization deeply affects economic structures and raises the issue of how governments should respond to new challenges. In this book, various ways of improving the institutional setup for global governance are discussed by renowned experts. The discussion focuses on further liberalizing international trade, preventing international financial crises, and protecting global environmental systems. The advantages of free international trade as well as the fears of those who are against globalization are considered in the contributions.
Kiel Reports
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Author :
language : en
Publisher:
Release Date : 2000
Kiel Reports written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Economic policy categories.
Journal Of Economic Literature
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Author :
language : en
Publisher:
Release Date : 2002
Journal Of Economic Literature written by 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.
Economic Bulletin
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Author : Deutsches Institut für Wirtschaftsforschung
language : en
Publisher:
Release Date : 2002
Economic Bulletin written by Deutsches Institut für Wirtschaftsforschung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economic history categories.
Market Volatility And Foreign Exchange Intervention In Emes
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Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
language : es
Publisher:
Release Date : 2013
Market Volatility And Foreign Exchange Intervention In Emes written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Banks and banking, Central categories.
Ursachen Der So Genannten Finanzkrise Und Ihre Erkl Rungsversuche
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Author : Benjamin Michael
language : de
Publisher: diplom.de
Release Date : 2014-04-11
Ursachen Der So Genannten Finanzkrise Und Ihre Erkl Rungsversuche written by Benjamin Michael and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-11 with Business & Economics categories.
Inhaltsangabe:Einleitung: Viele der größten wirtschaftlichen Übel unserer Zeit sind die Früchte von Risiko, Unsicherheit und Ignoranz. John Maynard Keynes. Dieses Zitat bietet einen passenden Einstieg in die aktuell herrschende Unsicherheitssituation an den Finanzmärkten. Die so genannte Finanzkrise führte nicht nur zu massivenKurseinbrüchen am Aktiemarkt und Abschreibungen in schwindelerregenden Höhen, sondern auch zu einem Vertrauensverlust im Interbankensektor, was kombiniert zu weltweiten Liquiditätsengpässen im internationalen Finanzsystem geführt hat. Längst hat eine Ausweitung auf die Realwirtschaft stattgefunden, was an der Notlage der weltweiten Automobilwirtschaft deutlich wird. Massive Rettungspakete der Regierungen sollen das Finanzsystem wieder stabilisieren und Liquidität gewährleisten. Ein Ende der Folgen dieser Krise ist nicht in Sicht. Die Wurzeln der Krise sind im ehemals boomenden US-Immobilienmarkt, den Hypothekenkrediten und der Niedrigzinspolitik der US-Notenbank Fed zu suchen. Zudem transportierten Verbriefungsmechanismen die Hypothekenkredite in Form von komplizierten Finanzprodukten in den weltweiten Anleihenmarkt. Ferner trugen Ratingagenturen mit ihren Fehleinschätzungen in der Risikobewertung zu einer raschen Ausbreitung dieser Finanzinstrumente bei. Aufgrund der Vorkommnisse wird die Leistungsfähigkeit der Finanzmärkte angezweifelt. Vor allem die Effizienz in der Informationsverarbeitung wird in Frage gestellt. Der Forschungsansatz der Noise-Trader-Modelle beschäftigt sich dabei intensiv mit eingepreisten Unsicherheiten, Risiken und ignorierten Informationen. Diese drei Komponenten wurden auch im Zitat von Keynes genannt. Das wirtschaftliche Übel ist somit die Finanzkrise, genauer gesagt, deren Ursachen als Frucht von Noise-Trading. In dieser Arbeit wird untersucht, ob Noise-Trader-Modelle den genannten Komponenten eine Relevanz in der Finanzkrise geben können und ob sie dabei im Einklang mit den beiden vorherrschenden Theorierichtungen, der Neoklassischen Kapitalmarkttheorie und der Neueren Finanzierungstheorie stehen. Dabei liegt die Konzentration auf den Ursachen und deren Erklärungsversuche und nicht auf den Auswirkungen der Finanzkrise. Die meisten Ursachen zeigen ihre Auswirkungen auf den Wertpapiermarkt. Um den Umfang dieser Arbeit zu wahren wird dieser in den Untersuchungsschwerpunkt gestellt. Das Ziel der vorliegenden Arbeit ist die theoretische Analyse eines praxisorientierten und greifbaren Beitrages [...]
Central Bank Emergency Support To Securities Markets
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Author : Darryl King
language : en
Publisher: International Monetary Fund
Release Date : 2017-07-10
Central Bank Emergency Support To Securities Markets written by Darryl King 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 2017-07-10 with Business & Economics categories.
This paper considers the central bank mandate with respect to financial stability and identifies the links to the functioning of securities markets. It argues that while emergency support to securities markets is an important part of the crisis management response, a high bar should be set for its use. Importantly, it should be used only as part of a comprehensive policy package. The paper considers what types of securities markets may be important for financial stability, what market conditions could trigger emergency support measures, and how programs can be designed to restore market functioning while minimizing moral hazard.
Journal Of International Money And Finance
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Author :
language : en
Publisher:
Release Date : 2003
Journal Of International Money And Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
The Microstructure Of Foreign Exchange Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
The Microstructure Of Foreign Exchange Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.