Affine Modeling of the Joint Dynamics of Exchange Rates and Interest Rates PDF Download
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Author: Bing Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 180
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Book Description
Author: Bing Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 180
Get Book Here
Book Description
Author: Bing Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
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Book Description
This paper addresses issues in extending the affine class of term structure models to describe the joint dynamics of exchange rates and interest rates. A standard incomplete markets approach is shown to impose many constraints on exchange rate dynamics in affine settings. A canonical multicountry affine model, and the method to estimate it via Kalman filters, are formulated. Familiar difficulties in reconciling the forward premium anomaly with affine models are overcome, by introducing additional state variables which affect only exchange-rate dynamics. This yields a more adequate model of the observed volatilities of exchange rates and their correlation with interest rates.
Author: Francis X. Diebold
Publisher: Springer Science & Business Media
ISBN: 3642456413
Category : Business & Economics
Languages : en
Pages : 153
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Book Description
Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Author: Robert Miguel W. K. Kollman
Publisher: International Monetary Fund
ISBN: 1451928521
Category : Business & Economics
Languages : en
Pages : 52
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Book Description
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.
Author: Peijie Wang
Publisher: Springer Nature
ISBN: 3662592711
Category : Business & Economics
Languages : en
Pages : 492
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Book Description
This textbook presents all major topics in international monetary theory, foreign exchange markets, international financial management and investment analysis. It focuses on real-world problems in the sense that it provides guidance on how to solve policy issues as well as how to complete financial assignments across the globe. This in turn helps readers gain an understanding of the theory and refine the framework. This third edition of the book incorporates three new chapters, and most of the chapters from the second edition have been updated to integrate new material, data, and/or the recent developments in the areas. The book can be used in graduate and advanced undergraduate programs in international or global finance, international monetary economics, and international financial management. It is also a valuable reference book for researchers in these areas.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 546
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Book Description
Author: Robert Hodrick
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 25
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Book Description
Author: Jean-OIiver Hairault
Publisher: Routledge
ISBN: 1134426127
Category : Business & Economics
Languages : en
Pages : 446
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Book Description
This important new book builds upon the seminal work by Obsfeld and Rogoff, Foundations of International Macroeconomics and aims at providing a coherent and modern framework for thinking about exchange rate dynamics. With a wide range of contributions, this book is likely to be welcomed by the macroeconomics and financial community.
Author: Eric J. Pentecost
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
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Book Description
This work examines the development of the determinants of the exchange rate system since the mid-1970s. It scrutinises the main theoretical models of exchange rate determination and assesses their empirical validity drawn from recent econometric results (based on cointegration methodology).
Author: Ronald MacDonald
Publisher: Springer Science & Business Media
ISBN: 1475729979
Category : Business & Economics
Languages : en
Pages : 226
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Book Description
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.
