Target Zones And Forward Rates In A Model With Repeated Realignments
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Target Zones And Forward Rates In A Model With Repeated Realignments
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Author : Mr.Leonardo Bartolini
language : en
Publisher: International Monetary Fund
Release Date : 1992-03-01
Target Zones And Forward Rates In A Model With Repeated Realignments written by Mr.Leonardo Bartolini 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 1992-03-01 with Business & Economics categories.
This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band. The credibility of the commitment to the target zone implicit in forward market data can be extracted by estimating the model. Application to French/German data indicates that the model is capable of matching observed patterns of interest rate differentials during the EMS, while yielding estimates of the credibility parameters that accord with the experience of the FF/DM exchange rate during the 1980s.
Target Zones And Forward Rates In A Model With Repeated Realignments
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Author : Leonardo Bartolini
language : en
Publisher:
Release Date : 1999
Target Zones And Forward Rates In A Model With Repeated Realignments written by Leonardo Bartolini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
The Economics Of Exchange Rates
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Author : Lucio Sarno
language : en
Publisher: Cambridge University Press
Release Date : 2003-01-09
The Economics Of Exchange Rates written by Lucio Sarno 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 2003-01-09 with Business & Economics categories.
In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.
Capital Mobility
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Author : Leonardo Leiderman
language : en
Publisher: Cambridge University Press
Release Date : 1994-07-14
Capital Mobility written by Leonardo Leiderman 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 1994-07-14 with Business & Economics categories.
This edited volume examines capital mobility in both industrialised and developing countries.
Handbook Of International Economics
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Author : G.M. Grossman
language : en
Publisher: Elsevier
Release Date : 1995-12-13
Handbook Of International Economics written by G.M. Grossman and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-12-13 with Business & Economics categories.
This reference accords recognition to the recent revolution in macroeconomics wrought by imperfect competition. Grossman and Rogoff (Princeton U.) present chapters by two dozen contributors on two prime areas of research interest: international trade theory and policy (e.g. strategic trade patterns and policies, the relationship between trade and technological progress), and open economy macroeconomics and international finance (covering such topics as exchange rates, foreign lending, and policy coordination). The volume commences with Krugman's overview of the positive theory of international trade, and concludes with analyses of sovereign debt. Annotation copyrighted by Book News, Inc., Portland, OR.
Soft Exchange Rate Bands And Speculative Attacks
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Author : Mr.Alessandro Prati
language : en
Publisher: International Monetary Fund
Release Date : 1998-11-01
Soft Exchange Rate Bands And Speculative Attacks written by Mr.Alessandro Prati 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 1998-11-01 with Business & Economics categories.
We present a model of a “soft” exchange rate target zone and interpret it as a stylized description of the post-August 1993 ERM. Our central bank targets a moving average of the current and past exchange rates, rather than the exchange rate’s current level, thus allowing the rate to move within wide margins in the short run, but within narrow margins in the long run. For realistic parameters, soft target zones are significantly less vulnerable to speculative attacks than “hard” target zones. These predictions are consistent with the ERM’s experience and the abatement of speculative pressure in European markets since the bands’ widening in 1993.
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.
Working Paper Summaries Wp 92 1 Wp 92 47
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 1992-08-01
Working Paper Summaries Wp 92 1 Wp 92 47 written by International Monetary Fund 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 1992-08-01 with Business & Economics categories.
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Regional And Global Capital Flows
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Author : Takatoshi Ito
language : en
Publisher: University of Chicago Press
Release Date : 2009-02-15
Regional And Global Capital Flows written by Takatoshi Ito 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 2009-02-15 with Business & Economics categories.
The volume of capital flows between industrial and developing countries has grown dramatically in the past decade and has become a major issue in a world that is increasingly "globalized." Here Takatoshi Ito and Anne O. Krueger, two leading experts on this topic, have assembled a group of scholars who address different types of capital flows—bank lending, bonds, direct foreign investment—and the implications they hold for economic performance. With its particular focus on the Asian financial crises, this work presents a new model for policy makers everywhere in thinking about the role of private capital flows.
Evaluating The Ems And Emu Using Stochastic Simulations
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Author : Mr.Paul R. Masson
language : en
Publisher: International Monetary Fund
Release Date : 1993-03-01
Evaluating The Ems And Emu Using Stochastic Simulations written by Mr.Paul R. Masson 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 1993-03-01 with Business & Economics categories.
Evaluations of European monetary integration using model simulations have given conflicting results, and the paper attempts to elucidate the reasons for the differences. Several features stand out: how to model realignments; how monetary policy is set for individual countries or for Europe; and how large are risk premium shocks in exchange markets. We quantify the effects of different assumptions relating to these features using MULTIMOD.