A Chaotic Monetary Model of the Exchange Rate
Title | A Chaotic Monetary Model of the Exchange Rate PDF eBook |
Author | Paul de Grauwe |
Publisher | |
Pages | 48 |
Release | 1990 |
Genre | Foreign exchange |
ISBN |
Deterministic Chaos in the Foreign Exchange Market
Title | Deterministic Chaos in the Foreign Exchange Market PDF eBook |
Author | Paul De Grauwe |
Publisher | |
Pages | 64 |
Release | 1990 |
Genre | Chaotic behavior in systems |
ISBN |
Exchange Rate Theory
Title | Exchange Rate Theory PDF eBook |
Author | Paul de Grauwe |
Publisher | |
Pages | 273 |
Release | 1993 |
Genre | Foreign exchange rates |
ISBN |
Exchange Rate Theory
Title | Exchange Rate Theory PDF eBook |
Author | Paul de Grauwe |
Publisher | Wiley-Blackwell |
Pages | 273 |
Release | 1993-01-01 |
Genre | Business & Economics |
ISBN | 9780631180166 |
"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
Exchange Rate Determination Puzzle - Long Run Behavior and Short Run Dynamics
Title | Exchange Rate Determination Puzzle - Long Run Behavior and Short Run Dynamics PDF eBook |
Author | Falkmar Butgereit |
Publisher | diplom.de |
Pages | 121 |
Release | 2009-07-02 |
Genre | Business & Economics |
ISBN | 3836632187 |
Inhaltsangabe:Introduction: As the foreign exchange rate market operates twenty-four hours a day and seven days a week it can be described as a global marketplace trading in continuous time. The importance of this market place on weal and woe of economies and agents cannot be overestimated. Long lasting disputes about exchange rate over- and under-evaluation between countries (as most prominently the case between China and the USA) and its implications for international trade, growth rates of economies, unemployment levels, financial money flows, and so forth illustrate this point. As reported by the Bank of International Settlement in its triennial Central Bank Survey 2007, covering 54 countries and jurisdictions, the daily average foreign exchange turnover as of April 2007 has reached a mind-staggering $3.21 trillion. This amount marks an increase of 69 percent compared to the $1.97 trillion three years earlier and highlights the still increasing importance of the exchange rate markets. The U.S. dollar is by far the most important currency as it is involved in 86 percent of all transactions amounting to some $2.7 trillion per day. This is by far bigger than the volume of U.S. international trade in goods and services which for the month April 2007 amounted to (imports + exports) $317.5 billion.1 Indeed, only 17 percent of exchange market turnover has been reported to occur with non-financial customer counterparties, while 43 percent of transactions occur between reporting dealers (i.e. the interbank market) and 40 percent occur between reporting and non-reporting financial institutions (e.g. hedge funds, mutual funds, pension funds, insurance companies). Accordingly, more than 2/3 of the turnover was traded as derivatives such as foreign exchange swaps, outright forwards, or options, while only 1/3 constituted spot rate transactions. These are important facts to consider when talking about forces of exchange rate determination. On ground of these figures one may reasonably explain why old-fashion standard models like the monetary model or purchasing power parity may only hold in the very long run and exchange rate movements may be much more subject to trades based on heterogeneous expectations incurred by investors, speculators and market makers. Particularly at the short-run exchange rates exhibit considerably greater volatility than macroeconomic time series leaving an impression of noisy and chaotic behavior. Throughout this work it [...]
The Monetary Approach to the Exchange Rate
Title | The Monetary Approach to the Exchange Rate PDF eBook |
Author | Mr.Mark P. Taylor |
Publisher | International Monetary Fund |
Pages | 28 |
Release | 1992-05-01 |
Genre | Business & Economics |
ISBN | 1451978804 |
We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dynamic error correction framework leads to exchange rate forecasts which are superior to those generated by a random walk forecasting model.
Chaos in a Standard Equilibrium Exchange Rate Model
Title | Chaos in a Standard Equilibrium Exchange Rate Model PDF eBook |
Author | Sergio Da Silva |
Publisher | |
Pages | 20 |
Release | 1999 |
Genre | Foreign exchange rates |
ISBN |