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Author: Paul de Grauwe
Publisher: Wiley-Blackwell
ISBN: 9780631180166
Category : Business & Economics
Languages : en
Pages : 273
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Book Description
"Exchange Rate Theory presents a novel and elegant theory to explain the excessive variability of foreign exchange rate returns. The theory is novel in the sense that it focuses on interaction between market agents as the primary source of the variability in those speculative prices. It is shown that simple interactions between market participants using different information is sufficient to generate deterministic chaos." "In the first part of this book the authors survey existing exchange rate theories and ask whether these theories are useful in explaining actual exchange rate movements. They demonstrate that the 1970s were characterized by the belief that exchange rates could be understood by an analysis of the fundamentals (inflation rates, interest rates and monetary policy). Subsequently, this belief has all but disappeared but researchers have been content to analyze the statistical properties of exchange rates, abandoning the theory and the models." "The second part of the book uses chaos theory to construct an innovative framework for the understanding of exchange markets. These models, which integrate fundamentalism and chartism, create complex exchange rate movements which appear to be random. These models are used to explain several of the anomalies observed in exchange rate markets and to evaluate the possibility of exchange rate prediction."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author: Paul de Grauwe
Publisher: Wiley-Blackwell
ISBN: 9780631180166
Category : Business & Economics
Languages : en
Pages : 273
Get Book Here
Book Description
"Exchange Rate Theory presents a novel and elegant theory to explain the excessive variability of foreign exchange rate returns. The theory is novel in the sense that it focuses on interaction between market agents as the primary source of the variability in those speculative prices. It is shown that simple interactions between market participants using different information is sufficient to generate deterministic chaos." "In the first part of this book the authors survey existing exchange rate theories and ask whether these theories are useful in explaining actual exchange rate movements. They demonstrate that the 1970s were characterized by the belief that exchange rates could be understood by an analysis of the fundamentals (inflation rates, interest rates and monetary policy). Subsequently, this belief has all but disappeared but researchers have been content to analyze the statistical properties of exchange rates, abandoning the theory and the models." "The second part of the book uses chaos theory to construct an innovative framework for the understanding of exchange markets. These models, which integrate fundamentalism and chartism, create complex exchange rate movements which appear to be random. These models are used to explain several of the anomalies observed in exchange rate markets and to evaluate the possibility of exchange rate prediction."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author: Adam S. Iqbal
Publisher: Springer Nature
ISBN: 3030935558
Category : Business & Economics
Languages : en
Pages : 246
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Book Description
One of the great challenges that many participants in foreign exchange (FX) markets face is sifting through the often overwhelming amount of information that is available. Media outlets stream updates on international politics, economics, and other factors that move FX prices twenty-four hours a day. It is difficult to work out what is and what is not important. This book helps its reader overcome these challenges by combining the insights gained from a market practitioner who has traded FX at Goldman Sachs, PIMCO, and Barclays Investment Bank, with textbook-level modern financial macroeconomic theory. The book covers macroeconomics relating to exchange rate determination. While you could obtain this information from a disparate set of sources―textbooks, academic literature, industry research notes, conversations with other market practitioners, and theories cited in media reports―this book brings all of these sources together to translate the information into concrete FX views that are firmly rooted in the macroeconomic theory of risk premiums, interest rates, and inflation, among other topics. The book promotes time consistent thought that avoids the daily temptation to jump from that day’s economic narrative to the next. Of particular interest to buy- and sell-side industry practitioners, finance and economics graduate students, academics, and others interested in FX markets, this book teaches its readers how to do this and improve their own trading and understanding of the FX markets.
Author: Imad A Moosa
Publisher: World Scientific
ISBN: 9814468509
Category : Business & Economics
Languages : en
Pages : 512
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Book Description
Exchange rate economics is an important field of investigation for academics, professionals and policy-makers. This book provides a comprehensive survey of the theory of and empirical evidence on the determination and effects of exchange rates. The exposition utilizes both diagrammatic and mathematical representations of the underlying models. The book is a comprehensive reference for those engaged in this field of research.
Author: John F. Bilson
Publisher: University of Chicago Press
ISBN: 0226050998
Category : Business & Economics
Languages : en
Pages : 542
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Book Description
This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
Author: Richard T. Baillie
Publisher: Cambridge University Press
ISBN: 9780521396905
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Author: Takatoshi Ito
Publisher: University of Chicago Press
ISBN: 0226386937
Category : Business & Economics
Languages : en
Pages : 466
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Book Description
The exchange rate is a crucial variable linking a nation's domestic economy to the international market. Thus choice of an exchange rate regime is a central component in the economic policy of developing countries and a key factor affecting economic growth. Historically, most developing nations have employed strict exchange rate controls and heavy protection of domestic industry-policies now thought to be at odds with sustainable and desirable rates of economic growth. By contrast, many East Asian nations maintained exchange rate regimes designed to achieve an attractive climate for exports and an "outer-oriented" development strategy. The result has been rapid and consistent economic growth over the past few decades. Changes in Exchange Rates in Rapidly Developing Countries explores the impact of such diverse exchange control regimes in both historical and regional contexts, focusing particular attention on East Asia. This comprehensive, carefully researched volume will surely become a standard reference for scholars and policymakers.
Author: Jacob Frenkel
Publisher: Routledge
ISBN: 1135043493
Category : Business & Economics
Languages : en
Pages : 389
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Book Description
This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.
Author: Ronald MacDonald
Publisher: Routledge
ISBN: 1134838220
Category : Foreign exchange
Languages : en
Pages : 334
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Book Description
''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Author: Romain Lafarguette
Publisher: International Monetary Fund
ISBN: 1513569406
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author: Mr.Guillermo Calvo
Publisher: International Monetary Fund
ISBN: 1451921217
Category : Business & Economics
Languages : en
Pages : 50
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Book Description
This paper presents a theoretical and empirical analysis of policies aimed at setting a more depreciated level of the real exchange rate. An intertemporal optimizing model suggests that, in the absence of changes in fiscal policy, a more depreciated level of the real exchange can only be attained temporarily. This can be achieved by means of higher inflation and/or higher real interest rates, depending on the degree of capital mobility. Evidence for Brazil, Chile, and Colombia supports the model’s prediction that undervalued real exchange rates are associated with higher inflation.
