Target Zones with State Dependent Probability of Realignment
Title | Target Zones with State Dependent Probability of Realignment PDF eBook |
Author | |
Publisher | |
Pages | 49 |
Release | 1991 |
Genre | |
ISBN |
European Foreign Exchange Movements and Financial Institutions
Title | European Foreign Exchange Movements and Financial Institutions PDF eBook |
Author | John Doukas |
Publisher | Psychology Press |
Pages | 192 |
Release | 1994 |
Genre | Business & Economics |
ISBN | 9781560246633 |
Here are new insights into the process of European financial integration which continues to remain in the forefront of international financial developments. Based on the most recent econometric techniques and theoretical innovations, this book provides a timely core of theoretical and empirical studies on European currency movements, the European Monetary System (EMS), and developments in European banking and financial markets. European Foreign Exchange Movements and Financial Institutions offers an understanding of the current exchange rate movements within the EMS and the functioning of European financial institutions in an environment moving toward greater financial and economic integration. Contributing authors from Europe and the United States study and examine: foreign exchange risk and EMS EMS exchange rate fluctuations the effects of risk-based capital standing on European financial institutions and the rest of the world European banking acquisitions and corporate control issues interest rates and the cost structure of the French banking system European Foreign Exchange Movements and Financial Institutions is a valuable source of helpful information for students in MBA and PhD programs and for technically-oriented finance professionals with banking research interests.
Target Zones and Exchange Rates
Title | Target Zones and Exchange Rates PDF eBook |
Author | Geert Bekaert |
Publisher | |
Pages | 64 |
Release | 1996 |
Genre | Foreign exchange administration |
ISBN |
In this paper we develop an empirical model of exchange rates in a target zone. The model is general enough to nest most theoretical and empirical models in the existing literature. We find evidence of two types of jumps in exchange rates. Realignment jumps are those that are associated with the periodic realignments of the target zone and within-the-band jumps are those that can be accommodated within the current target zone. The exchange rate may jump outside the current target zone band, in the case of a realignment, but when no jump occurs the target zone is credible (there is zero probability of a realignment) and the exchange rate must stay within the band. We incorporate jumps, in general, by conditioning the distribution of exchange rate changes on a jump variable where the probability and size of a jump vary over time as a function of financial and macroeconomic variables. With this more general model, we revisit the empirical evidence from the European Monetary System regarding the conditional distribution of exchange rate changes, the credibility of the system, and the size of the foreign exchange risk premia. In contrast to some previous findings, we conclude that the FF/DM rate exhibits considerable non-linearities, realignments are predictable and the credibility of the system did not increase after 1987. Moreover, our model implies that the foreign exchange risk premium becomes large during speculative crises. A comparison with the Deutschemark/Dollar rate suggests that an explicit target zone does have a noticeable effect on the time-series behavior of exchange rates.
The Quarterly Review of Economics and Finance
Title | The Quarterly Review of Economics and Finance PDF eBook |
Author | |
Publisher | |
Pages | 868 |
Release | 2000 |
Genre | Business |
ISBN |
International Macroeconomics
Title | International Macroeconomics PDF eBook |
Author | Amalia Morales Zumaquero |
Publisher | Nova Publishers |
Pages | 426 |
Release | 2006 |
Genre | Business & Economics |
ISBN | 9781594549014 |
The international macroeconomics area has experienced substantial growth over the past decade. The goal of this volume is to present the most important developments in the international macroeconomics field in recent years. The literature in this area has evolved mainly in four directions that constitute the four parts of this book. In particular, Part I focuses on the purchasing power parity (PPP) puzzle, Part II presents papers that try to explain the behaviour of nominal and real exchange rates, Part III covers the financial crises, currency crises and contagion recent literature and, finally, the behaviour of exchange rates, inflation and output convergence in Central and Eastern European transition economies are considered in Part IV.
Currency Options And Exchange Rate Economics
Title | Currency Options And Exchange Rate Economics PDF eBook |
Author | Zhaohui Chen |
Publisher | World Scientific |
Pages | 218 |
Release | 1998-04-21 |
Genre | Business & Economics |
ISBN | 9814499161 |
This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Working Paper Series
Title | Working Paper Series PDF eBook |
Author | |
Publisher | |
Pages | 514 |
Release | 1996 |
Genre | Economics |
ISBN |