Three Essays In International Finance
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Three Essays In International Finance
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Author : Byong-Ju Lee
language : en
Publisher: Stanford University
Release Date : 2011
Three Essays In International Finance written by Byong-Ju Lee and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Intervention Interest Rates And Charts
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-11-01
Intervention Interest Rates And Charts written by Mr.Mark P. Taylor 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 1991-11-01 with Business & Economics categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Three Essays In International Finance
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Author : Byong-Ju Lee
language : en
Publisher:
Release Date : 2011
Three Essays In International Finance written by Byong-Ju Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Three Essays In International Finance
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Author : Rodolfo Martell
language : en
Publisher:
Release Date : 2005
Three Essays In International Finance written by Rodolfo Martell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Three Essays In International Macroeconomics And Finance
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Author : Enrique Martinez-Garcia
language : en
Publisher:
Release Date : 2007
Three Essays In International Macroeconomics And Finance written by Enrique Martinez-Garcia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Three Essays On International Finance To 25 Pages 26 To 50 Pages 51 To 75 Pages 76 To 100 Pages 101 To 125 Pages 126 To 150 Pages 151 To 175 Pages 176 To 197
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Author : Yan Xu
language : en
Publisher: ProQuest
Release Date : 2000
Three Essays On International Finance To 25 Pages 26 To 50 Pages 51 To 75 Pages 76 To 100 Pages 101 To 125 Pages 126 To 150 Pages 151 To 175 Pages 176 To 197 written by Yan Xu and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Three Essays On International Finance
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Author : Keun Yeong Lee
language : en
Publisher:
Release Date : 1993
Three Essays On International Finance written by Keun Yeong Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Intervention Interest Rates And Charts
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Author : Mark P. Taylor
language : en
Publisher:
Release Date : 2006
Intervention Interest Rates And Charts written by Mark P. Taylor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Three Empirical Essays In Financial Economics And International Finance
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Author : Marek Kolar
language : en
Publisher:
Release Date : 2008
Three Empirical Essays In Financial Economics And International Finance written by Marek Kolar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Banks and banking, Central categories.
Three Essays On Empirical Asset Pricing In International Equity Markets
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Author : Birgit Charlotte Müller
language : de
Publisher: Springer Gabler
Release Date : 2021-08-20
Three Essays On Empirical Asset Pricing In International Equity Markets written by Birgit Charlotte Müller and has been published by Springer Gabler this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-20 with Business & Economics categories.
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.