Author: Benoît Mercereau
Publisher: International Monetary Fund
ISBN: 1451853238
Category : Business & Economics
Languages : en
Pages : 37
Book Description
The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as the variance and covariance of the risky assets or demographic variables, affect the real exchange rate. The predictions of the model are contrasted with the Balassa-Samuelson effect. A new transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk-hedging opportunities is also explored.
Stock Markets and the Real Exchange Rate
Author: Benoît Mercereau
Publisher: International Monetary Fund
ISBN: 1451853238
Category : Business & Economics
Languages : en
Pages : 37
Book Description
The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as the variance and covariance of the risky assets or demographic variables, affect the real exchange rate. The predictions of the model are contrasted with the Balassa-Samuelson effect. A new transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk-hedging opportunities is also explored.
Publisher: International Monetary Fund
ISBN: 1451853238
Category : Business & Economics
Languages : en
Pages : 37
Book Description
The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as the variance and covariance of the risky assets or demographic variables, affect the real exchange rate. The predictions of the model are contrasted with the Balassa-Samuelson effect. A new transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk-hedging opportunities is also explored.
Exchange Rate Movements and International Interdependence of Stock Markets
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451974493
Category : Business & Economics
Languages : en
Pages : 52
Book Description
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Publisher: International Monetary Fund
ISBN: 1451974493
Category : Business & Economics
Languages : en
Pages : 52
Book Description
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Essays on International Stock Markets and Real Exchange Rate Dynamics
Author: Kai Tim Wong (Douglas)
Publisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 224
Book Description
Publisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 224
Book Description
Stock Markets and Real Exchange Rate: an Intertemporal Approach
Author: Benoît Mercereau
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
Book Description
Exchange Rates, Capital Flows, and Monetary Policy in a Changing World Economy
Author: William C. Gruben
Publisher: Springer Science & Business Media
ISBN: 1461561752
Category : Business & Economics
Languages : en
Pages : 247
Book Description
The dramatic growth of international capital flow has provided unprecedented opportunities and risks in emerging markets. This book is the result of a conference exploring this phenomenon, sponsored by the Federal Reserve Bank of Dallas. The issues explored include direct versus portfolio investment; exchange rates and economic growth; and optimal exchange rate policy for stabilizing inflation in developing countries. It concludes with a panel discussion on central bank coordination in the midst of exchange rate instability.
Publisher: Springer Science & Business Media
ISBN: 1461561752
Category : Business & Economics
Languages : en
Pages : 247
Book Description
The dramatic growth of international capital flow has provided unprecedented opportunities and risks in emerging markets. This book is the result of a conference exploring this phenomenon, sponsored by the Federal Reserve Bank of Dallas. The issues explored include direct versus portfolio investment; exchange rates and economic growth; and optimal exchange rate policy for stabilizing inflation in developing countries. It concludes with a panel discussion on central bank coordination in the midst of exchange rate instability.
Exchange Rates and Corporate Performance
Author: Yakov Amihud
Publisher: Beard Books
ISBN: 9781587981593
Category : Business & Economics
Languages : en
Pages : 268
Book Description
This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
Publisher: Beard Books
ISBN: 9781587981593
Category : Business & Economics
Languages : en
Pages : 268
Book Description
This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
International Asset Markets and Real Exchange Rate Volatility
Author: Martin Bodenstein
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 48
Book Description
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 48
Book Description
Exchange Rates and International Finance Markets
Author: Erich Streissler
Publisher: Routledge
ISBN: 1134472684
Category : Business & Economics
Languages : en
Pages : 157
Book Description
In this book, Streissler poses the important question of whether exchange rates are ultimately tied down by economic fundamentals. This is a wide-ranging study considering issues such as flexible exchange rates and interest parity.
Publisher: Routledge
ISBN: 1134472684
Category : Business & Economics
Languages : en
Pages : 157
Book Description
In this book, Streissler poses the important question of whether exchange rates are ultimately tied down by economic fundamentals. This is a wide-ranging study considering issues such as flexible exchange rates and interest parity.
Exchange Rate Dynamics and the Stock Market
Author: Eliana A. Cardoso
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 38
Book Description
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 38
Book Description
Real Exchange Rate Uncertainty and Private Investment in Developing Countries
Author: Luis Servén
Publisher: World Bank Publications
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 24
Book Description
Serven examines empirically the link between real exchange rate uncertainty and private investment in developing countries using a large cross country-time series data set. He builds a GARCH-based measure of real exchange rate volatility and finds that it has a strong negative impact on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The impact of uncertainty is not uniform, however. There is some evidence of threshold effects, so that uncertainty only matters when it exceeds some critical level. In addition, the negative impact of real exchange rate uncertainty on investment is significantly larger in economies that are highly open and in those with less developed financial systems.
Publisher: World Bank Publications
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 24
Book Description
Serven examines empirically the link between real exchange rate uncertainty and private investment in developing countries using a large cross country-time series data set. He builds a GARCH-based measure of real exchange rate volatility and finds that it has a strong negative impact on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The impact of uncertainty is not uniform, however. There is some evidence of threshold effects, so that uncertainty only matters when it exceeds some critical level. In addition, the negative impact of real exchange rate uncertainty on investment is significantly larger in economies that are highly open and in those with less developed financial systems.