Time Varying Devaluation Risk Interest Rate Differentials And Exchange Rates In Target Zones
DOWNLOAD
Download Time Varying Devaluation Risk Interest Rate Differentials And Exchange Rates In Target Zones PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Time Varying Devaluation Risk Interest Rate Differentials And Exchange Rates In Target Zones book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Time Varying Devaluation Risk Interest Rate Differentials And Exchange Rates In Target Zones
DOWNLOAD
Author : Axel A. Weber
language : en
Publisher:
Release Date : 1992
Time Varying Devaluation Risk Interest Rate Differentials And Exchange Rates In Target Zones written by Axel A. Weber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Monetary policy categories.
French German Interest Rate Differentials And Time Varying Realignment Risk
DOWNLOAD
Author : Mr.Francesco Caramazza
language : en
Publisher: International Monetary Fund
Release Date : 1993-01-01
French German Interest Rate Differentials And Time Varying Realignment Risk written by Mr.Francesco Caramazza 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 1993-01-01 with Business & Economics categories.
This paper explores the determinants of expected rates of realignment of the French franc/Deutsche mark exchange rate during the period 1987-1991. It does so by first estimating expected parity changes and then relating these to economic variables that are believed to influence agents’ realignment expectations. Time-varying expected rates of realignment are estimated in two ways: one, by adjusting short-term euromarket interest rate differentials for the expected rate of change of the FF/DM exchange rate within the EMS fluctuation band and two, by the differential in the yield on long-term government bonds. The behavior of the exchange rate within the band is found to be consistent with mean reversion and the expected change is nontrivial. Thus, by filtering out the expected mean reversion within the band from short-term interest rate differentials more precise measures of expected changes in the central parity are obtained. Realignment expectations are found to be closely related to the evolution of fundamental economic variables and, for shorter horizons, the position of the franc in the fluctuation band.
Assessing Target Zone Credibility
DOWNLOAD
Author : Mr.Lars E. O. Svensson
language : en
Publisher: International Monetary Fund
Release Date : 1991-10-01
Assessing Target Zone Credibility written by Mr.Lars E. O. Svensson 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 1991-10-01 with Business & Economics categories.
The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimation method is simple and operational, and consistently generates sensible results. The estimates are constructed by the adjusting interest rate differentials by subtracting estimated expected rates of depreciation within the exchange rate band. The adjustment is nontrivial because exchange rates within the ERM bands display mean reversion rather than random walk (unit root) behavior. The adjustment is essential since the expected rates of depreciation are usually of about the same magnitude as the interest rate differentials.
Target Zones And Realignment Expectations
DOWNLOAD
Author : Alejandro M. Werner
language : en
Publisher: International Monetary Fund
Release Date : 1995-11-01
Target Zones And Realignment Expectations written by Alejandro M. Werner 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 1995-11-01 with Business & Economics categories.
This paper studies the Mexican and Israeli experience with a target zone. The first part of the paper develops a model of exchange rate determination under a target zone regime with stochastic realignments, and examines the conditions under which the adoption of the target zone, instead of a fixed exchange rate, reduces the volatility of the interest rate differential. We conclude that if the variance of the expected realignment is sufficiently large, then the target zone will be useful. The second part of the paper is an empirical study that shows that the target zone regime helped reduce interest rate variability in Israel and Mexico by absorbing part of the shocks to the expected realignment with movements of the exchange rate inside the band.
Adjustment And Growth In The European Monetary Union
DOWNLOAD
Author : Francisco Torres
language : en
Publisher: Cambridge University Press
Release Date : 1993-10-21
Adjustment And Growth In The European Monetary Union written by Francisco Torres 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 1993-10-21 with Business & Economics categories.
The Maastricht Treaty, signed in December 1991, set a timetable for the European Community's economic and monetary union (EMU) and clearly defined the institutional policy changes necessary for its achievement. Subsequent developments have demonstrated, however, the importance of many key issues in the transition to EMU that were largely neglected at the time. This volume reports the proceedings of a joint CEPR conference with the Banco de Portugal, held in January 1992. In these papers, leading international experts address the instability of the transition to EMU, the long-run implications of monetary union and the single market for growth and convergence in Europe. They also consider the prospects for inflation and fiscal convergence, regional policy and the integration of financial markets and fiscal systems. Attention focuses on adjustment mechanisms with differentiated shocks, region-specific business cycles and excessive industrial concentration and the cases for a two-speed EMU and fiscal federalism.
Fiscal Policy And Interest Rates In The European Union
DOWNLOAD
Author : Klaas Knot
language : en
Publisher: Edward Elgar Publishing
Release Date : 1996-01-01
Fiscal Policy And Interest Rates In The European Union written by Klaas Knot and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-01-01 with Business & Economics categories.
This is an extensive study concerned with the potential effects of fiscal policy on financial markets in the EU. It takes into account the gradual liberalization of capital movements through Western Europe & the framework of the European Monetary System.
The Economics Of Exchange Rates
DOWNLOAD
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.
Stochastic Devaluation Risk And The Empirical Fit Of Target Zone Models
DOWNLOAD
Author : Giuseppe Bertola
language : en
Publisher:
Release Date : 1991
Stochastic Devaluation Risk And The Empirical Fit Of Target Zone Models written by Giuseppe Bertola and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Foreign exchange categories.
This paper proposes a tractable and realistic nonlinear model of exchange rate dynamics, and argues that its predictions are consistent with available empirical evidence on exchange rate and interest differential behavior in real-life target zones. In our model, the exchange rate fluctuates between given boundaries for random lengths of time and jumps discretely when devaluations occur. We allow for stochastic variability in the likelihood and size of devaluations, and we provide explicit solutions for the stochastic processes followed by the exchange rate and by the expected rate of depreciation. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, and provides interesting interpretations of available empirical evidence. We also specify how to infer devaluation risk from target zone data.
On Exchange Rates
DOWNLOAD
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.
Devaluation And Competitiveness In A Small Open Economy
DOWNLOAD
Author : Mr.Leonardo Bartolini
language : en
Publisher: International Monetary Fund
Release Date : 1993-11-01
Devaluation And Competitiveness In A Small Open Economy 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 1993-11-01 with Business & Economics categories.
This paper studies market expectations of a devaluation of the Irish pound from 1987 to 1993 and relates them to the evolution of Ireland’s competitiveness over the same period. Changes in expectations of the currency’s devaluation can be explained largely by developments outside Ireland, particularly by past and anticipated movements of sterling. The evolution of Ireland’s real exchange rate over the same period is also found to be strongly linked to sterling’s fluctuations, even after adjusting for sterling-insensitive trade between Ireland and the United Kingdom, and despite the significant progress toward trade diversification recorded by Ireland during the 1980s. The devaluation of the Irish pound in January 1993 is estimated to exceed investors’ realignment expectations at that time as well as the loss of Irish competitiveness since the beginning of the ERM crisis in the summer of 1992. This “excess devaluation” helps explain subsequent large capital inflows and the Irish pound’s smooth transition to the wide ERM band in August 1993.