Utilizing financial market information in forecasting real
... asset classes is strengthened through indirect spillovers via other asset prices. These results call for a better understanding of international cross-market financial linkages, which so far has been missing in the literature. Phylaktis and Ravazzolo (2005) use a data set of a group of Pacific Basin ...
... asset classes is strengthened through indirect spillovers via other asset prices. These results call for a better understanding of international cross-market financial linkages, which so far has been missing in the literature. Phylaktis and Ravazzolo (2005) use a data set of a group of Pacific Basin ...
fixed exchange rates
... Numbers are for fiscal years, which start in October of the previous calendar year. All numbers are expressed as a percentage of GDP. ...
... Numbers are for fiscal years, which start in October of the previous calendar year. All numbers are expressed as a percentage of GDP. ...
Regime Switches in Exchange Rate Volatility and Uncovered
... In this paper, we employ a regime-switching model to investigate what role exchange rate volatilities play in the failure of UIP. The idea to use regime-switching models in examining exchange rates is not new. After Hamilton (1989) proposed the regime-switching model to examine the persistency of r ...
... In this paper, we employ a regime-switching model to investigate what role exchange rate volatilities play in the failure of UIP. The idea to use regime-switching models in examining exchange rates is not new. After Hamilton (1989) proposed the regime-switching model to examine the persistency of r ...
FINANCIAL MARKETS AND INSTITIUTIONS: A Modern Perspective
... FI as the result of activities related to contingent assets and liabilities – OBS activity can increase FIs’ interest rate risk, credit risk, and foreign exchange risk – OBS activity can also be used to hedge (i.e., reduce) FIs’ interest rate risk, credit risk, and foreign exchange risk – large comm ...
... FI as the result of activities related to contingent assets and liabilities – OBS activity can increase FIs’ interest rate risk, credit risk, and foreign exchange risk – OBS activity can also be used to hedge (i.e., reduce) FIs’ interest rate risk, credit risk, and foreign exchange risk – large comm ...
FINANCIAL MARKETS AND INSTITIUTIONS: A Modern Perspective
... FI as the result of activities related to contingent assets and liabilities – OBS activity can increase FIs’ interest rate risk, credit risk, and foreign exchange risk – OBS activity can also be used to hedge (i.e., reduce) FIs’ interest rate risk, credit risk, and foreign exchange risk – large comm ...
... FI as the result of activities related to contingent assets and liabilities – OBS activity can increase FIs’ interest rate risk, credit risk, and foreign exchange risk – OBS activity can also be used to hedge (i.e., reduce) FIs’ interest rate risk, credit risk, and foreign exchange risk – large comm ...
Foreign Currency Borrowing: The Case of Hungary
... test the model on Central and Eastern European countries: the rapid growth of FX borrowing is explained mostly by the competition of foreign-owned banks for market shares and interest rate differentials. Rosenberg and Tirpák (2008) similarly find a significant role of foreign funding, interest rate ...
... test the model on Central and Eastern European countries: the rapid growth of FX borrowing is explained mostly by the competition of foreign-owned banks for market shares and interest rate differentials. Rosenberg and Tirpák (2008) similarly find a significant role of foreign funding, interest rate ...
SP92: The Equivalence of Screen Based Continuous-Auction and Dealer Markets
... the stock, whereas a continuous-auction market has no formally specified intermediary. On the other hand auction markets may feature traders that perform the role of the dealer in that they participate in the market by submitting limit orders and provide liquidity. A dealer market licenses some trad ...
... the stock, whereas a continuous-auction market has no formally specified intermediary. On the other hand auction markets may feature traders that perform the role of the dealer in that they participate in the market by submitting limit orders and provide liquidity. A dealer market licenses some trad ...
Boom, Gloom, Doom: Balance Sheets, Monetary Fragmentation
... links the value of domestic currency closely to the dollar or other authoritative international currencies. Such exchange-rate pledges were intended to rein in inflationary expectations. In this they usually had some immediate successes. However, ERBS programs had other, more troubling financial con ...
... links the value of domestic currency closely to the dollar or other authoritative international currencies. Such exchange-rate pledges were intended to rein in inflationary expectations. In this they usually had some immediate successes. However, ERBS programs had other, more troubling financial con ...
NBER WORKING PAPER SERIES INFLATION, EXCHANGE RATES AND STABILIZATION Working Paper No. 1739
... back to around 20 percent, the tariffs and quotas are back, the budget has deteriorated, the debt crisis is on and unemployment stands for a few years already at record levels. In retrospect the exchange rate experiment, has proved a terrible mistake because of the neglect of the effects of wage ind ...
... back to around 20 percent, the tariffs and quotas are back, the budget has deteriorated, the debt crisis is on and unemployment stands for a few years already at record levels. In retrospect the exchange rate experiment, has proved a terrible mistake because of the neglect of the effects of wage ind ...
WORKING PAPER SERIES Estimates of Fundamental Real
... standard trade determinants, we incorporate into the model the above-mentioned factors that are important specifically for pre-accession economies. The trade equations extended in this way have been estimated in an econometric panel in our previous work8. In order to ensure consistency, macro-econom ...
... standard trade determinants, we incorporate into the model the above-mentioned factors that are important specifically for pre-accession economies. The trade equations extended in this way have been estimated in an econometric panel in our previous work8. In order to ensure consistency, macro-econom ...
Securities Trading and Settlement in Europe
... exchanges and settlement agencies from user-owned institutions to shareholder-owned, profit-driven corporations. While demutualization is leading to more consolidated trading and settlement systems, it creates the potential for increased operational risk and monopoly pricing. As Europe progresses to ...
... exchanges and settlement agencies from user-owned institutions to shareholder-owned, profit-driven corporations. While demutualization is leading to more consolidated trading and settlement systems, it creates the potential for increased operational risk and monopoly pricing. As Europe progresses to ...
INDEX METHODOLOGY
... For the total return index, one month forward implied yields are used for each currency. The “implied yield” is the predicted yield based on the premise that the yield curve on a particular day is a strong indication of the future state. Where unavailable for historical time periods, monthly local c ...
... For the total return index, one month forward implied yields are used for each currency. The “implied yield” is the predicted yield based on the premise that the yield curve on a particular day is a strong indication of the future state. Where unavailable for historical time periods, monthly local c ...
We estimate a small macro model, where the short
... The data we use are annual from 1970 to 2006 when the foreign country is the US. All data are in natural logs except the interest rate. Foreign real interest rates are the nominal 90-day rate minus last period inflation rate as a proxy for expected inflation. All data are from the IMF data base. The ...
... The data we use are annual from 1970 to 2006 when the foreign country is the US. All data are in natural logs except the interest rate. Foreign real interest rates are the nominal 90-day rate minus last period inflation rate as a proxy for expected inflation. All data are from the IMF data base. The ...
The advantages and disadvantages of various exchange rate regimes
... fluctuations in world prices of the commodities that they produce, especially mineral and agricultural commodities, as well as fluctuations in the foreign exchange values of major currencies, especially the dollar, yen, and euro. Some countries see the currency to which they are linked moving one di ...
... fluctuations in world prices of the commodities that they produce, especially mineral and agricultural commodities, as well as fluctuations in the foreign exchange values of major currencies, especially the dollar, yen, and euro. Some countries see the currency to which they are linked moving one di ...
An Analysis of Exchange Rate Volatility and
... between the commodity markets (traded internationally) falls, expected trade increases leading to a fall in exchange rate volatility. So far, we have looked at the impact of exchange rate volatility on trade. Most of the theories discussed so far take exchange rate volatility as an exogenous variabl ...
... between the commodity markets (traded internationally) falls, expected trade increases leading to a fall in exchange rate volatility. So far, we have looked at the impact of exchange rate volatility on trade. Most of the theories discussed so far take exchange rate volatility as an exogenous variabl ...
Economic fundamentals do matter for the NZD/AUD exchange rate occasional paper
... Arbitrage in capital investment will also tend to result in PPP-type behaviour over the very long run. For example, if a country's exchange rate is such that the cost of labour is low relative to other countries, then production will be attracted to the relatively more competitive economy. Productio ...
... Arbitrage in capital investment will also tend to result in PPP-type behaviour over the very long run. For example, if a country's exchange rate is such that the cost of labour is low relative to other countries, then production will be attracted to the relatively more competitive economy. Productio ...
Chap010
... US$ which was convertible to gold at $35/oz. Agreed not to engage in competitive devaluations for trade purposes and defend their currencies Weak currencies could be devalued up to 10% ...
... US$ which was convertible to gold at $35/oz. Agreed not to engage in competitive devaluations for trade purposes and defend their currencies Weak currencies could be devalued up to 10% ...
OTC derivatives: A primer on market infrastructure and regulatory
... instruments. For example, in figure 2 interest rate swaps have the largest notional amounts, but this does not mean they carry the most risk. In reality, the risk exposure from a particular type of OTC derivatives contract depends on various factors, such as the concentration of positions and the v ...
... instruments. For example, in figure 2 interest rate swaps have the largest notional amounts, but this does not mean they carry the most risk. In reality, the risk exposure from a particular type of OTC derivatives contract depends on various factors, such as the concentration of positions and the v ...
CHAPTER 12—EXCHANGE-RATE DETERMINATION MULTIPLE
... © 2011 Cengage Learning. All Rights Reserved. This edition is intended for use outside of the U.S. only, with content that may be different from the U.S. Edition. May not be scanned, copied, duplicated, or posted to a publicly accessible website, in whole or in part. ...
... © 2011 Cengage Learning. All Rights Reserved. This edition is intended for use outside of the U.S. only, with content that may be different from the U.S. Edition. May not be scanned, copied, duplicated, or posted to a publicly accessible website, in whole or in part. ...
Essay Questions
... financed part of their massive military expenditures by printing money. Further, labor forces and productivity capacity had been reduced sharply through war losses. As a result, price levels were higher everywhere at the conclusion of the war in 1918. Of special note is the German hyperinflation tha ...
... financed part of their massive military expenditures by printing money. Further, labor forces and productivity capacity had been reduced sharply through war losses. As a result, price levels were higher everywhere at the conclusion of the war in 1918. Of special note is the German hyperinflation tha ...
Essay Questions
... financed part of their massive military expenditures by printing money. Further, labor forces and productivity capacity had been reduced sharply through war losses. As a result, price levels were higher everywhere at the conclusion of the war in 1918. Of special note is the German hyperinflation tha ...
... financed part of their massive military expenditures by printing money. Further, labor forces and productivity capacity had been reduced sharply through war losses. As a result, price levels were higher everywhere at the conclusion of the war in 1918. Of special note is the German hyperinflation tha ...
Shopping - MBA6113-Technology
... figured that once in a while the strategy wasn't going to work. It was often best, he concluded, to move out of the way when the market was moving sharply in one direction or another. He did not want to be stuck holding big blocks of stocks when their values unexpectedly plunged. If trading in a par ...
... figured that once in a while the strategy wasn't going to work. It was often best, he concluded, to move out of the way when the market was moving sharply in one direction or another. He did not want to be stuck holding big blocks of stocks when their values unexpectedly plunged. If trading in a par ...
$doc.title
... constructed using WPIs is 7.61, fairly close to the 7.81 standard deviation found using CPIs (Table 1). The closeness of these measures suggests that volatile distribution costs are unlikely to be a significant source of real exchange rate volatility. 2. THE WORLD ECONOMY Here we develop a two-count ...
... constructed using WPIs is 7.61, fairly close to the 7.81 standard deviation found using CPIs (Table 1). The closeness of these measures suggests that volatile distribution costs are unlikely to be a significant source of real exchange rate volatility. 2. THE WORLD ECONOMY Here we develop a two-count ...