Three Essays in Finance
Author : Edward Glidewell
Publisher :
Page : pages
File Size : 19,17 MB
Release : 2004
Category :
ISBN :
Author : Edward Glidewell
Publisher :
Page : pages
File Size : 19,17 MB
Release : 2004
Category :
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Author : Byong-Ju Lee
Publisher : Stanford University
Page : 132 pages
File Size : 49,45 MB
Release : 2011
Category :
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This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Author : Walter E. Pohl
Publisher :
Page : 190 pages
File Size : 33,19 MB
Release : 2009
Category : Finance
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Author : Minh Hoai Chau
Publisher :
Page : 162 pages
File Size : 44,40 MB
Release : 1999
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Author : Vitaly Serbin
Publisher :
Page : 250 pages
File Size : 33,57 MB
Release : 2001
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Author : Gang Xiao
Publisher :
Page : 0 pages
File Size : 35,46 MB
Release : 2012
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Author : Liang Peng
Publisher :
Page : 120 pages
File Size : 36,95 MB
Release : 2002
Category :
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Author : Da Eun Jung
Publisher :
Page : 91 pages
File Size : 41,87 MB
Release : 2013
Category : Electronic dissertations
ISBN : 9781303262654
Author : Yixin Liu
Publisher :
Page : 194 pages
File Size : 44,75 MB
Release : 2007
Category : Capital costs
ISBN :
Author : Erik Devos
Publisher :
Page : 288 pages
File Size : 35,92 MB
Release : 2003
Category : Business forecasting
ISBN :