Author : Ronald MacDonald
Publisher : Routledge
Page : 334 pages
File Size : 33,75 MB
Release : 2005
Category : Foreign exchange
ISBN : 1134838220
''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
Page : 33 pages
File Size : 26,24 MB
Release : 2021-02-12
Category : Business & Economics
ISBN : 1513569406
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 : Samya Beidas-Strom
Publisher : International Monetary Fund
Page : 34 pages
File Size : 42,80 MB
Release : 2014-12-12
Category : Business & Economics
ISBN : 1498333486
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.
Author :
Publisher : Academic Press
Page : 613 pages
File Size : 23,68 MB
Release : 2015-05-05
Category : Business & Economics
ISBN : 0128023511
Incorporating currencies, payment methods, and protocols that computers use to talk to each other, digital currencies are poised to grow in use and importance. The Handbook of Digital Currency gives readers a way to learn about subjects outside their specialties and provides authoritative background and tools for those whose primary source of information is journal articles. Taking a cross-country perspective, its comprehensive view of the field includes history, technicality, IT, finance, economics, legal, tax and regulatory environment. For those who come from different backgrounds with different questions in mind, The Handbook of Digital Currency is an essential starting point. Discusses all major strategies and tactics associated with digital currencies, their uses, and their regulations Presents future scenarios for the growth of digital currencies Written for regulators, crime prevention units, tax authorities, entrepreneurs, micro-financiers, micro-payment businesses, cryptography experts, software developers, venture capitalists, hedge fund managers, hardware manufacturers, credit card providers, money changers, remittance service providers, exchanges, and academics Winner of the 2015 "Outstanding Business Reference Source" by the Reference and User Services Association (RUSA)
Author : Matthias Kalkuhl
Publisher : Springer
Page : 620 pages
File Size : 22,74 MB
Release : 2016-04-12
Category : Business & Economics
ISBN : 3319282018
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author : Mr. Haroon Mumtaz
Publisher : International Monetary Fund
Page : 43 pages
File Size : 36,34 MB
Release : 2003-04-01
Category : Business & Economics
ISBN : 1451895534
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When heterogeneity is properly taken into account, estimates of the real exchange rate half-life fall dramatically, to little more than one year, or significantly below Rogoff''s "consensus view" of three to five years. We show that corrected estimates are consistent with plausible nominal rigidities, thus, arguably, solving the PPP puzzle.
Author : Dani Rodrick
Publisher : Elsevier
Page : 1066 pages
File Size : 28,22 MB
Release : 2009-11-09
Category : Business & Economics
ISBN : 0080931723
What guidance does academic research really provide to economic policy development? The critical and analytical surveys in this volume investigate links between policies and outcomes by surveying work from broad macroeconomic policies to interventions in microfinance. Asserting that there are no universal correspondences between policies and outcomes, contributors demonstrate instead that only an intense familiarity with the development context and the universe of applicable economic models can generate successful policies. Getting cause-and-effect right is essential for policy design and implementation. With the goal of drawing researchers and policy makers closer, this volume highlights our increasing understanding of ways to combine economic theorizing with careful, thoughtful empirical work. - Presents an accurate, self-contained survey of the current state of the field - Summarizes the most recent discussions, and elucidates new developments - Although original material is also included, the main aim is the provision of comprehensive and accessible surveys
Author : Carol L. Osler
Publisher :
Page : 0 pages
File Size : 33,22 MB
Release : 2007
Category :
ISBN :
This paper examines whether rational, fully informed speculators will smooth exchange rates. Friedman's (1953) claim that they must do so is challenged, based on the exclusion of interest rate differentials from his interpretation of speculator behavior. Once one recognizes that interest rates matter to speculators, it becomes apparent that rational speculators could sometimes violate Friedman's description of their behavior, and buy currency when its value is relatively high or sell currency when its value is low. For this reason the presence of rational, fully informed speculators may increase exchange rate volatility under floating exchange rates. Whether or not speculators increase exchange rate volatility depends on the extent of speculative activity and the types of economic shocks that dominate. At low levels of speculative activity, speculation will be stabilizing when the dominant shocks to exchange rates are associated exclusively with real economic activity, such as international trade in goods and services. It becomes destabilizing when the dominant shocks are changes in interest rates, perceived risk, or transactions costs�tors whose influence on exchange rates derives in part from their direct effect on speculators' positions.
Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 32 pages
File Size : 21,68 MB
Release : 1990-05-01
Category : Business & Economics
ISBN : 1451975007
This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.
Author : Richard T. Baillie
Publisher : Cambridge University Press
Page : 280 pages
File Size : 21,77 MB
Release : 1989
Category : Business & Economics
ISBN : 9780521396905
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.
