Rating agencies` signals during the European
... different agencies.3 However, other research demonstrates a potential for unequal reactions to sovereign credit signals across agencies (e.g. Brooks et al., 2004; Alsakka and ap Gwilym, 2010; Hill and Faff, 2010; Afonso, 2011). Therefore, pooling ratings data from different agencies together (as don ...
... different agencies.3 However, other research demonstrates a potential for unequal reactions to sovereign credit signals across agencies (e.g. Brooks et al., 2004; Alsakka and ap Gwilym, 2010; Hill and Faff, 2010; Afonso, 2011). Therefore, pooling ratings data from different agencies together (as don ...
View/Open
... larger taxation of agrifood sector than it really is. This situation often takes place at the early stage of transition. When national currency is overvalued PSE shows greater support. In the Soviet economy rouble was overvalued. At the beginning of transitional stage it was undervalued due to the s ...
... larger taxation of agrifood sector than it really is. This situation often takes place at the early stage of transition. When national currency is overvalued PSE shows greater support. In the Soviet economy rouble was overvalued. At the beginning of transitional stage it was undervalued due to the s ...
The Brilliant Economic Theory of Everything: Q. E. D.
... on the economy through its effect on import prices and relative prices. Under this circumstance, exchange rate channel plays a role as either shock absorber or amplifier in implementing the monetary policy, but how much it can absorb (or amplify) depends on the exchange rate pass-through. In particu ...
... on the economy through its effect on import prices and relative prices. Under this circumstance, exchange rate channel plays a role as either shock absorber or amplifier in implementing the monetary policy, but how much it can absorb (or amplify) depends on the exchange rate pass-through. In particu ...
Equilibrium Real Exchange Rate, Misalignment, and Export
... the economy. There is a vast theoretical and empirical literature that suggests that RER misalignment is one of the key indicators in identifying a country’s economic vulnerability. Particularly, persistence of RER overvaluation is regarded as a precursor to the crisis (Edwards 1989 and 2000, Willia ...
... the economy. There is a vast theoretical and empirical literature that suggests that RER misalignment is one of the key indicators in identifying a country’s economic vulnerability. Particularly, persistence of RER overvaluation is regarded as a precursor to the crisis (Edwards 1989 and 2000, Willia ...
Automated Trading Desk and Price Prediction in High
... studies of finance’, the application to financial markets not of economics but of wider social-science disciplines such as anthropology, politics, geography, sociology and science and technology studies (STS). STS-inflected work has been particularly prominent within social studies of finance, and m ...
... studies of finance’, the application to financial markets not of economics but of wider social-science disciplines such as anthropology, politics, geography, sociology and science and technology studies (STS). STS-inflected work has been particularly prominent within social studies of finance, and m ...
Correlated Trading and Returns
... Finance Group, FEE, Universiteit van Amsterdam and De Nederlandsche Bank; Roetersstaat 11; 1018 WB Amsterdam; The Netherlands; Email: [email protected] ...
... Finance Group, FEE, Universiteit van Amsterdam and De Nederlandsche Bank; Roetersstaat 11; 1018 WB Amsterdam; The Netherlands; Email: [email protected] ...
Commodity Markets and Futures prices - Farmdoc
... Many factors determine the value of livestock products and hence, livestock futures contracts. New information on any one or combination of factors will have a price effect on the futures. In an efficiently operating market, price effects will be immediate and unbiased. The timing of some new inform ...
... Many factors determine the value of livestock products and hence, livestock futures contracts. New information on any one or combination of factors will have a price effect on the futures. In an efficiently operating market, price effects will be immediate and unbiased. The timing of some new inform ...
The Yen and Its East Asian Neighbors 1980
... rate system. In practice, however, Indonesia and the Philippines are similar in that the rupiah and the peso are both managed tightly in terms of their U.S. dollar exchange rates over a short time horizon, while they have shown significant trend depreciation over a longer horizon (table 7.2); their ...
... rate system. In practice, however, Indonesia and the Philippines are similar in that the rupiah and the peso are both managed tightly in terms of their U.S. dollar exchange rates over a short time horizon, while they have shown significant trend depreciation over a longer horizon (table 7.2); their ...
Bid-ask spread components on the foreign exchange market: The
... This thesis is written in order to obtain my second master’s degree in Business Engineering with a major in Finance. The subject was chosen because it had so many different elements in it which could provide me with the necessary variation during the whole period I worked on it and because I have a ...
... This thesis is written in order to obtain my second master’s degree in Business Engineering with a major in Finance. The subject was chosen because it had so many different elements in it which could provide me with the necessary variation during the whole period I worked on it and because I have a ...
DP2016/02 Persistence and Volatility of Real Exchange Britta Gehrke and Fang Yao
... the structural sources of the dynamic behavior of a process at different frequencies. A number of recent studies uses this approach for an analysis of business cycle frequencies only (see, e.g., Ravn and Simonelli, 2007, Justiniano, Primiceri, and Tambalotti, 2010, and Enders, Müller, and Scholl, 2 ...
... the structural sources of the dynamic behavior of a process at different frequencies. A number of recent studies uses this approach for an analysis of business cycle frequencies only (see, e.g., Ravn and Simonelli, 2007, Justiniano, Primiceri, and Tambalotti, 2010, and Enders, Müller, and Scholl, 2 ...
Do retail traders suffer from high frequency traders?
... from (better priced) limit orders to market orders. Moreover, if the crowding-out phenomenon disproportionately affects a particular group of traders, such as unsophisticated retail traders, then one may worry that the implied redistribution has a negative impact on markets overall — even if standar ...
... from (better priced) limit orders to market orders. Moreover, if the crowding-out phenomenon disproportionately affects a particular group of traders, such as unsophisticated retail traders, then one may worry that the implied redistribution has a negative impact on markets overall — even if standar ...
Scotland analysis: Currency and monetary policy
... independent fiscal and monetary policies could be used to stabilise the economy. If an independent Scottish state were to adopt its own floating currency, evidence suggests that it would result in a more volatile exchange rate. In fixed exchange rate regimes the volatility might be felt more on domesti ...
... independent fiscal and monetary policies could be used to stabilise the economy. If an independent Scottish state were to adopt its own floating currency, evidence suggests that it would result in a more volatile exchange rate. In fixed exchange rate regimes the volatility might be felt more on domesti ...
Real Exchange Rates, Saving and Growth: Is there a Link?
... saving rates. China is the most prominent current example, but over previous decades the association between depreciated real exchange rates and high saving rates has also been observed in high-performing Asian economies such as Korea, Malaysia, and Thailand, as well as in Chile. The opposite conste ...
... saving rates. China is the most prominent current example, but over previous decades the association between depreciated real exchange rates and high saving rates has also been observed in high-performing Asian economies such as Korea, Malaysia, and Thailand, as well as in Chile. The opposite conste ...
NBER WORKING PAPER SERIES Richard Clarida Daniel Waldman
... long run to an inflation shock, even though on impact it can appreciate in response to this shock. We show that in a traditional overshooting model in which the central bank sets a growth rate for the money stock, the exchange rate would be expected depreciate in response to an inflation shock. The ...
... long run to an inflation shock, even though on impact it can appreciate in response to this shock. We show that in a traditional overshooting model in which the central bank sets a growth rate for the money stock, the exchange rate would be expected depreciate in response to an inflation shock. The ...
Leaving the euro: A practical guide
... The euro-zone accounts for 13% of global GDP, a far bigger share than the 5% or so of the worst-affected Asian countries during the 1997-98 crisis. And the dollar-euro is by far the most active currency pair, comprising 28% of all trades. These factors mean that we cannot blithely assume that a euro ...
... The euro-zone accounts for 13% of global GDP, a far bigger share than the 5% or so of the worst-affected Asian countries during the 1997-98 crisis. And the dollar-euro is by far the most active currency pair, comprising 28% of all trades. These factors mean that we cannot blithely assume that a euro ...
How Should the Foreign-directed Enterprises Face the Impact of RMB Appreciation?
... between China and the western developed countries, mainly United States, Japan and Britain. The main reason for the western developed countries to push China appreciate RMB is that the under-value of RMB promotes China’s export and trade surplus, and finally will threaten the employment of U.S. and ...
... between China and the western developed countries, mainly United States, Japan and Britain. The main reason for the western developed countries to push China appreciate RMB is that the under-value of RMB promotes China’s export and trade surplus, and finally will threaten the employment of U.S. and ...
Locals, foreigners, and multi-market trading of equities: Intraday
... Board market. The trading system on both boards is electronic and order-driven. Broker screens display depth at the three best bid and ask prices, but do not reveal trader identity. This unusual institutional setting helps us study some interesting questions. What market and investor behaviors occur ...
... Board market. The trading system on both boards is electronic and order-driven. Broker screens display depth at the three best bid and ask prices, but do not reveal trader identity. This unusual institutional setting helps us study some interesting questions. What market and investor behaviors occur ...
Trade Effect of a Single Currency in East Africa
... Kenya, Tanzania and Uganda have each adopted the export-led growth model as the main guide to national economic development and are implementing strategies for expanding their shares of the global export trade both in the traditional export destinations as well as regionally with each other. Strateg ...
... Kenya, Tanzania and Uganda have each adopted the export-led growth model as the main guide to national economic development and are implementing strategies for expanding their shares of the global export trade both in the traditional export destinations as well as regionally with each other. Strateg ...
High frequency trading: assessing the impact on market
... offering co-location services (thereby facilitating low latency). Furthermore, its participants hold little to no over-night positions. This minimum inventory position characteristic adds some insight to the core business model used by those that engage in HFT. HFT traders realise profits from small ...
... offering co-location services (thereby facilitating low latency). Furthermore, its participants hold little to no over-night positions. This minimum inventory position characteristic adds some insight to the core business model used by those that engage in HFT. HFT traders realise profits from small ...
Global Macro Risks in Currency Excess Returns
... The exchange rate, Sj,t , is expressed as USD per foreign currency units so that a higher exchange rate represents an appreciation of the foreign currency relative to the USD. In the early part of the sample, exchange rates and interest rates for Australia, Belgium, Canada, France, Germany, Italy, J ...
... The exchange rate, Sj,t , is expressed as USD per foreign currency units so that a higher exchange rate represents an appreciation of the foreign currency relative to the USD. In the early part of the sample, exchange rates and interest rates for Australia, Belgium, Canada, France, Germany, Italy, J ...
What Drives CNH Market Equilibrium?
... dollar as the key reserve currency. That they are now moving in the direction of reducing their dependence on the U.S. dollar by internationalizing the renminbi stems from several motivations. Economic and political forces are driving the current global monetary system rapidly toward its end game. A ...
... dollar as the key reserve currency. That they are now moving in the direction of reducing their dependence on the U.S. dollar by internationalizing the renminbi stems from several motivations. Economic and political forces are driving the current global monetary system rapidly toward its end game. A ...
MultiFractality in Foreign Currency Markets
... MacKinlay (1988), Lo (1991), Peters (1991, 1994), Evertsz (1995a, 1995b), Evertsz and Berkner (1995), Corazza (1996), Campbell, Lo and MacKinlay (1997) and Corazza, Malliaris and Nardelli (1997) provide statistical evidence that asset prices do not follow random walks. To account for this discrepanc ...
... MacKinlay (1988), Lo (1991), Peters (1991, 1994), Evertsz (1995a, 1995b), Evertsz and Berkner (1995), Corazza (1996), Campbell, Lo and MacKinlay (1997) and Corazza, Malliaris and Nardelli (1997) provide statistical evidence that asset prices do not follow random walks. To account for this discrepanc ...
Banking and Currency Crises: How Common Are Twins?
... phenomena. Banking and currency crises appeared to arise virtually at the same time in Thailand, Indonesia, Malaysia, and Korea in 1997-98. In fact, the incidence of “twin” crises has been relatively widespread, occurring in such diverse parts of the world as in Latin America in the early and mid-19 ...
... phenomena. Banking and currency crises appeared to arise virtually at the same time in Thailand, Indonesia, Malaysia, and Korea in 1997-98. In fact, the incidence of “twin” crises has been relatively widespread, occurring in such diverse parts of the world as in Latin America in the early and mid-19 ...
This PDF is a selection from an out-of-print volume from... Bureau of Economic Research
... arguments, though our (taxonomic) analysis will naturally extend to both sets of arguments. Note however that we will not be discussing whether the saving so resulting from any specific trade regime, whether larger or smaller than in alternative trade regimes, is socially optimal; this issue is defe ...
... arguments, though our (taxonomic) analysis will naturally extend to both sets of arguments. Note however that we will not be discussing whether the saving so resulting from any specific trade regime, whether larger or smaller than in alternative trade regimes, is socially optimal; this issue is defe ...
The Currency Market and its Satellites
... Also US traders still do this; so they use unnatural one for e.g. CHF but natural quote for GBP etc ...
... Also US traders still do this; so they use unnatural one for e.g. CHF but natural quote for GBP etc ...