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Author: Franciscus Cornelius Johannes Maria de Jong
Publisher:
ISBN:
Category :
Languages : en
Pages : 154
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Book Description
Author: Franciscus Cornelius Johannes Maria de Jong
Publisher:
ISBN:
Category :
Languages : en
Pages : 154
Get Book Here
Book Description
Author: Franciscus Cornelis Johannes Maria de Jong
Publisher:
ISBN:
Category :
Languages : en
Pages : 154
Get Book Here
Book Description
Author: Franciscus Cornelis Johannes Maria de Jong
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Richard K. Lyons
Publisher: MIT Press (MA)
ISBN:
Category : Business & Economics
Languages : en
Pages : 360
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Book Description
Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.
Author: Ronald MacDonald
Publisher: Routledge
ISBN: 1134801254
Category : Business & Economics
Languages : en
Pages : 465
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Book Description
First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.
Author: Renzo G. Avesani
Publisher:
ISBN:
Category : Applied mathematics
Languages : en
Pages : 60
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Book Description
Author: Peter Joakim Westerholm
Publisher: World Scientific
ISBN: 9813234113
Category : Business & Economics
Languages : en
Pages : 267
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Book Description
This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications.Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field.The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings.
Author: Rita Ganguly
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 209
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Book Description
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451964935
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
The purpose of this paper is to implement empirically the new theory of exchange rate targeting. The theory formulates an expectations induced relationship between the exchange rate and the fundamental subject to random shocks and target zone constraints. By using monthly data for a representative small-open economy (Israel in the 1980s) the empirical analysis identifies the special roled played by policy and market fundamentals in the behavior of the exchange rate.
Author: Geert Bekaert
Publisher:
ISBN:
Category : Foreign exchange administration
Languages : en
Pages : 64
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Book Description
In this paper we develop an empirical model of exchange rates in a target zone. The model is general enough to nest most theoretical and empirical models in the existing literature. We find evidence of two types of jumps in exchange rates. Realignment jumps are those that are associated with the periodic realignments of the target zone and within-the-band jumps are those that can be accommodated within the current target zone. The exchange rate may jump outside the current target zone band, in the case of a realignment, but when no jump occurs the target zone is credible (there is zero probability of a realignment) and the exchange rate must stay within the band. We incorporate jumps, in general, by conditioning the distribution of exchange rate changes on a jump variable where the probability and size of a jump vary over time as a function of financial and macroeconomic variables. With this more general model, we revisit the empirical evidence from the European Monetary System regarding the conditional distribution of exchange rate changes, the credibility of the system, and the size of the foreign exchange risk premia. In contrast to some previous findings, we conclude that the FF/DM rate exhibits considerable non-linearities, realignments are predictable and the credibility of the system did not increase after 1987. Moreover, our model implies that the foreign exchange risk premium becomes large during speculative crises. A comparison with the Deutschemark/Dollar rate suggests that an explicit target zone does have a noticeable effect on the time-series behavior of exchange rates.
