Explaining Forward Exchange Bias ... Intraday PDF Download
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Author: Richard K. Lyons
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 28
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Book Description
Intraday interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the central bank's interest rate defense. In equilibrium, however, buyers of the vulnerable currency must be compensated on average with an intraday capital gain as long as no devaluation occurs. That is, currencies under attack should typically appreciate intraday. Using data on intraday exchange rate changes within the EMS, we find this prediction is borne out.
Author: Richard K. Lyons
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 28
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Book Description
Intraday interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the central bank's interest rate defense. In equilibrium, however, buyers of the vulnerable currency must be compensated on average with an intraday capital gain as long as no devaluation occurs. That is, currencies under attack should typically appreciate intraday. Using data on intraday exchange rate changes within the EMS, we find this prediction is borne out.
Author: Norman C. Miller
Publisher: Edward Elgar Publishing
ISBN: 9781781957103
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
Norman Miller provides a fresh perspective on balance of payments and exchange rate theories, including intertemporal open economy models that focus on the optimum current account. To this end, he proves that any non-zero balance of payments must always be associated with a disequilibrium in either a commodity or an asset market. In this rigorous yet readable book, important welfare and policy implications are carefully examined. Norman Miller develops a new theory of the balance of payments associated with commodity market disequilibrium, a loanable funds theory of exchange rate and a modern foreign exchange market theory of the exchange rate that incorporates capital flows.
Author: Beate Reszat
Publisher: Routledge
ISBN: 1134766181
Category : Business & Economics
Languages : en
Pages : 285
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Book Description
In recent years, Japan's financial market has seen dramatic changes, in particular the explosive growth of currency trading and the increasing international role of the yen. This book gives a comprehensive overview of this activity. This work is the first non-Japanese language title to examine the prolific rise of Japan's foreign currency exchange market, its idiosyncracies, and its future role in the global economy. It is vital reading for economists and students of Japan-related subjects.
Author: Marianne Baxter
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 68
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Book Description
This paper develops a set of approximate band-pass filters designed for use in a wide range of economic applications. In particular, we design and implement a specific band-pass filter which isolates business-cycle fluctuations in macroeconomic time series. This filter was designed to isolate fluctuations in the data which persist for periods of two through eight years. This filter also 'detrends' the data, in the sense that it will render stationary time series that are integrated of order two or less, or that contain deterministic time trends. We apply our filter to several of the key macroeconomic time series, and describe the picture of the U.S. postwar business cycle that emerges from our analysis. We also provide detailed comparisons with several alternative detrending methods.
Author: Hua He
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 72
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Book Description
This paper develops a multi-period rational expectations model of stock trading in which investors have differential information concerning the underlying value of the stock. Investors trade competitively in the stock market based on their private information and the information revealed by the market-clearing prices, as well as other public news. We examine how trading volume is related to the information flow in the market and how investors' trading reveals their private information.
Author: Alain P. Chaboud
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 32
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Book Description
Author: National Bureau of Economic Research
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 308
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Book Description
Author: Hayne E. Leland
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 62
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Book Description
Author: Patricia M. Anderson
Publisher:
ISBN:
Category : Job hunting
Languages : en
Pages : 48
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Book Description
In this paper, we estimate matching functions using disaggregate data. We find strong support for the matching approach, with most specifications implying slightly increasing returns to scale. This finding does not appear to arise from our inclusion of additional controls or from the level of disaggregation, and so we conclude that earlier findings of constant returns in the US may be due to the various approximations needed to construct an aggregate time series. We also find evidence of endogenous job competition between the employed and nonemployed, so that the estimated parameters from a matching function cannot be interpreted as structural parameters.
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 448
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Book Description
